# EDGAR Filing Document

**Accession Number:** 0001314414
**File Stem:** 0001580642-23-001360
**Filing Date:** 2023-3
**Character Count:** 198435
**Document Hash:** 37085967141895f886cd7b8fa490c474
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001580642-23-001360.hdr.sgml**: 20230309

**ACCESSION NUMBER**: 0001580642-23-001360

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230309

**DATE AS OF CHANGE**: 20230309

**EFFECTIVENESS DATE**: 20230309

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Northern Lights Fund Trust
- **CENTRAL INDEX KEY:** 0001314414
- **IRS NUMBER:** 043023766
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21720
- **FILM NUMBER:** 23719303

**BUSINESS ADDRESS:**
- **STREET 1:** 225 PICTORIA DRIVE
- **STREET 2:** SUITE 450
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45246
- **BUSINESS PHONE:** 631-470-2600

**MAIL ADDRESS:**
- **STREET 1:** 17605 WRIGHT STREET
- **STREET 2:** SUITE 200
- **CITY:** OMAHA
- **STATE:** NE
- **ZIP:** 68130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Strategy Shares
- **DATE OF NAME CHANGE:** 20160223

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Mutual Fund & Variable Insurance Trust
- **DATE OF NAME CHANGE:** 20160223

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Northern Lights Fund Trust
- **DATE OF NAME CHANGE:** 20050121

## Series and Classes Contracts Data

### Donoghue Forlines Tactical Income Fund (Series ID: S000029686)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000091243 | Donoghue Forlines Tactical Income Fund Class A | PWRAX           |
| C000091244 | Donoghue Forlines Tactical Income Fund Class C | PWRCX           |
| C000091245 | Donoghue Forlines Tactical Income Fund Class I | PWRIX           |

### Donoghue Forlines Dividend Fund (Series ID: S000042237)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000131094 | Donoghue Forlines Dividend Fund Class A | PWDAX           |
| C000131095 | Donoghue Forlines Dividend Fund Class I | PWDIX           |
| C000148993 | Donoghue Forlines Dividend Fund Class C | PWDCX           |

### Donoghue Forlines Momentum Fund (Series ID: S000053876)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000169555 | Donoghue Forlines Momentum Fund Class A Shares | MOJAX           |
| C000169556 | Donoghue Forlines Momentum Fund Class C Shares | MOJCX           |
| C000169557 | Donoghue Forlines Momentum Fund Class I Shares | MOJOX           |

### Donoghue Forlines Risk Managed Income Fund (Series ID: S000059058)

| Class ID   | Class Name                                         | Ticker Symbol   |
|:---|:---|:---|
| C000193677 | Donoghue Forlines Risk Managed Income Fund Class A | FLOAX           |
| C000193678 | Donoghue Forlines Risk Managed Income Fund Class C | FLOCX           |
| C000193679 | Donoghue Forlines Risk Managed Income Fund Class I | FLOTX           |

### Donoghue Forlines Tactical Allocation Fund (Series ID: S000061654)

| Class ID   | Class Name                                         | Ticker Symbol   |
|:---|:---|:---|
| C000199674 | Donoghue Forlines Tactical Allocation Fund Class A | GTAAX           |
| C000199675 | Donoghue Forlines Tactical Allocation Fund Class C | GLACX           |
| C000199676 | Donoghue Forlines Tactical Allocation Fund Class I | GTAIX           |

**united states<br> securities and exchange commission<br> washington, d.c. 20549<br>form n-csr<br>certified shareholder report of registered management<br> investment companies**

Investment Company Act file number <u>811-21720</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Northern Lights Fund Trust</u> 

(Exact name of registrant as specified in charter)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>225 Pictoria Drive, Suite 450 Cincinnati, OH 45246</u> 

(Address of principal executive offices) (Zip code)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>The Corporation Trust Company</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>1209 Orange Street</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Wilmington, DE 19801</u> 

(Name and address of agent for service)

Registrant's telephone number, including area code: <u>631-470-2600</u> 

Date of fiscal year end: <u>6/30</u> 

Date of reporting period: <u>12/31/22</u> 

**Item 1. Reports to Stockholders.**

![(DONOGHUE FORLINES FUNDS LOGO)](df001_v1.jpg)

---

| | | |
|:---|:---|:---|
| **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** |
| **Class** | **A:** | **GTAAX** |
| **Class** | **C:** | **GLACX** |
| **Class** | **I:** | **GTAIX** |
| **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** |
| **Class** | **A:** | **PWRAX** |
| **Class** | **C:** | **PWRCX** |
| **Class** | **I:** | **PWRIX** |
| **Donoghue Forlines Dividend Fund** | **Donoghue Forlines Dividend Fund** | **Donoghue Forlines Dividend Fund** |
| **Class** | **A:** | **PWDAX** |
| **Class** | **C:** | **PWDCX** |
| **Class** | **I:** | **PWDIX** |
| **Donoghue Forlines Momentum Fund** | **Donoghue Forlines Momentum Fund** | **Donoghue Forlines Momentum Fund** |
| **Class** | **A:** | **MOJAX** |
| **Class** | **C:** | **MOJCX** |
| **Class** | **I:** | **MOJOX** |
| **Donoghue Forlines Risk Managed Income Fund** | **Donoghue Forlines Risk Managed Income Fund** | **Donoghue Forlines Risk Managed Income Fund** |
| **Class** | **A:** | **FLOAX** |
| **Class** | **C:** | **FLOCX** |
| **Class** | **I:** | **FLOTX** |

---

Semi-Annual Report

December 31, 2022

**1-877-779-7462**

www.donoghueforlinesfunds.com

This report and the financial statements contained herein are submitted for the general information of shareholders and are not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Nothing herein contained is to be considered an offer of sale or solicitation of an offer to buy shares of the Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, Donoghue Forlines Risk Managed Income Fund, Donoghue Forlines Momentum Fund, or Donoghue Forlines Tactical Allocation Fund. Such offering is made only by prospectus, which includes details as to offering price and other material information.

**Distributed by Northern Lights Distributors, LLC**

**Member FINRA**

**Donoghue Forlines Tactical Allocation Fund**

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the periods ended December 31, 2022, compared to its benchmarks:

---

| | | | |
|:---|:---|:---|:---|
| | <br>Six Months | <br>One Year | Annualized<br>Since Inception (a) |
| Donoghue Forlines Tactical Allocation Fund - Class A | 1.07% | (14.72)% | (0.54)% |
| Donoghue Forlines Tactical Allocation Fund - Class A *with load* | (3.98)% | (18.99)% | (1.62)% |
| Donoghue Forlines Tactical Allocation Fund - Class C | 0.60% | (15.36)% | (1.30)% |
| Donoghue Forlines Tactical Allocation Fund - Class I | 1.21% | (14.48)% | (0.29)% |
| HFRU Hedge Fund Composite Index (b) | 1.42% | (4.60)% | 1.19% |
| MSCI AC World Index (c) | 2.28% | (18.37)% | 5.88% |

---

\* The performance data quoted is historical. **Past performance is no guarantee of future results**. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Returns greater than 1 year are annualized. The total annual operating expenses as stated in the fee table of the Fund's Class A, Class C and Class I prospectus dated October 28, 2022 is 1.86%, 2.61% and 1.61% for Class A, Class C, and Class I shares, respectively. Class A shares are subject to a maximum sales charge imposed on purchases of 5.00%. For performance information current to the most recent month-end, please call 1-877-779-7462.

(a) Inception
date is April 6, 2018.

(b) The
HFRU Hedge Fund Composite USD Index is designed to be representative of the overall composition of the UCITS-Compliant hedge fund universe.
It is comprised of all eligible hedge fund strategies; including, but not limited to equity hedge, event driven, macro, and relative
value arbitrage. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund's
returns, Index returns do not reflect any fees or expenses.

(c) The
MSCI AC World Index is designed to represent performance of the full opportunity set of large- and mid-cap stocks across 23 developed
and 24 emerging markets. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund's
returns, Index returns do not reflect any fees or expenses.

---

| | |
|:---|:---|
| **Portfolio Composition as of December 31, 2022** | **Portfolio Composition as of December 31, 2022** |
| **Holdings By Investment Type** | % **of Net Assets** |
| Exchange-Traded Funds - Equity | 50.6% |
| Money Market Fund | 26.0% |
| Exchange-Traded Funds - Fixed Income | 23.3% |
| Collateral For Securities Loaned | 6.0% |
| Liabilities in Excess of Other Assets | (5.9)% |
|  | 100.0% |

---

Please refer to the Schedule of Investments in this semi-annual report for a detailed listing of the Fund's holdings.

**Donoghue Forlines Tactical Income Fund**

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the periods ended December 31, 2022, compared to its benchmarks:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | | Annualized | Annualized | Annualized | Annualized |
|  | <br>Six Months | <br>One Year | Five Year | Ten Year | Since Inception (a) | Since Inception (b) |
| Donoghue Forlines Tactical Income Fund - Class A | (1.22)% | (9.59)% | (1.06)% | 0.66% | 1.13% | N/A |
| Donoghue Forlines Tactical Income Fund - Class A *with load* | (6.15)% | (14.08)% | (2.07)% | 0.15% | 0.70% | N/A |
| Donoghue Forlines Tactical Income Fund - Class C | (1.68)% | (10.37)% | (1.96)% | N/A | N/A | (0.77)% |
| Donoghue Forlines Tactical Income Fund - Class I | (1.05)% | (9.39)% | (0.97)% | 0.85% | 1.31% | N/A |
| Bloomberg Global Aggregate Bond Index (c) | (2.71)% | (16.25)% | (1.66)% | (0.44)% | 0.49% | (0.37)% |
| HFRU Hedge Fund Composite Index (d) | 1.42% | (4.60)% | 1.17% | 2.53% | 2.35% | 2.05% |
| Reference Index (e) | (0.20)% | (9.36)% | 0.08% | 1.37% | 1.66% | 1.14% |

---

\* The performance data quoted is historical. **Past performance is no guarantee of future results**. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Returns greater than 1 year are annualized. The total annual operating expenses as stated in the fee table of the Fund's prospectus dated October 28, 2022 is 2.10%, 2.85% and 1.85%, for Class A, Class C and Class I shares, respectively. Class A Shares are subject to a maximum sales charge of 5.00% imposed on purchases. For performance information current to the most recent month-end, please call 1-877-779-7462.

(a) Inception
date is September 14, 2010 for Class A and Class I shares.

(b) Inception
date is November 25, 2014 for Class C shares.

(c) The
Bloomberg Global Aggregate Bond Index is composed of the U.S. Aggregate Index, the Pan-European Index and the Japanese component of the
Global Treasury Index. All issues must be fixed rate, nonconvertible and have at least one year remaining to maturity. Securities from
countries classified as emerging markets are excluded. The index is weighted according to each country's market capitalization except
for Japan, which is weighted by the market capitalization of the 40 largest Japanese government bonds. This Index has been selected as
the Fund's new primary benchmark as it is more representative of the Fund's investment strategy and portfolio holdings. Index
returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund's returns, Index returns
do not reflect any fees or expenses.

(d) The
HFRU Hedge Fund Composite USD Index is designed to be representative of the overall composition of the UCITS-Compliant hedge fund universe.
It is comprised of all eligible hedge fund strategies; including, but not limited to equity hedge, event driven, macro, and relative
value arbitrage. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund's
returns, Index returns do not reflect any fees or expenses.

(e) The
Reference Index is a benchmark comprised of 60% HFRU Hedge Fund Composite and 40% Bloomberg Barclays Global Aggregate Bond Index. Index
returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund's returns, Index returns
do not reflect any fees or expenses.

---

| | |
|:---|:---|
| **Portfolio Composition as of December 31, 2022** | **Portfolio Composition as of December 31, 2022** |
| **Holdings By Investment Type** | % **of Net Assets** |
| Money Market Funds | 48.3% |
| Exchange-Traded Funds - Fixed Income | 34.0% |
| Exchange-Traded Funds - Equity | 12.7% |
| Open End Funds - Equity | 5.0% |
| Collateral For Securities Loaned | 3.5% |
| Liabilities in Excess of Other Assets | (3.5)% |
|  | 100.0% |

---

Please refer to the Schedule of Investments in this semi-annual report for a detailed listing of the Fund's holdings.

**Donoghue Forlines Dividend Fund** 

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the periods ended December 31, 2022, compared to its benchmarks:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | | | Annualized | Annualized | Annualized |
|  | <br>Six Months | <br>One Year | Five Year | Since Inception (a) | Since Inception (b) |
| Donoghue Forlines Dividend Fund - Class A | 0.87% | (10.01)% | (0.42)% | 3.35% | N/A |
| Donoghue Forlines Dividend Fund - Class A *with load* | (4.17)% | (14.53)% | (1.44)% | 2.77% | N/A |
| Donoghue Forlines Dividend Fund - Class C | 0.48% | (10.68)% | (1.16)% | N/A | 1.01% |
| Donoghue Forlines Dividend Fund - Class I | 0.89% | (9.82)% | (0.17)% | 3.59% | N/A |
| Russell 1000 Value Total Return Index (c) | 6.11% | (7.54)% | 6.67% | 8.59% | 7.35% |
| S&P 500 Value Total Return Index (d) | 6.98% | (5.22)% | 7.58% | 9.21% | 8.22% |

---

\* The performance data quoted is historical. **Past performance is no guarantee of future results**. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Returns greater than 1 year are annualized. The total annual operating expenses as stated in the fee table of the Fund's Class A, Class C and Class I prospectus dated October 28, 2022 is 1.81%, 2.56% and 1.56% for Class A, Class C, and Class I shares, respectively. Class A shares are subject to a maximum sales charge imposed on purchases of 5.00%. For performance information current to the most recent month-end, please call 1-877-779-7462.

(a) Inception
date is November 7, 2013 for Class A and Class I shares.

(b) Inception
date is November 25, 2014 for Class C shares.

(c) The
Russell 1000 Value Total Return Index is a market-capitalization weighted index of those firms in the Russell 1000 with lower price-to-book
ratios and lower forecasted growth values. The Russell 1000 includes the largest 1000 firms in the Russell 3000, which represents approximately
98% of the investable U.S. equity market. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly.
Unlike the Fund's returns, Index returns do not reflect any fees or expenses.

(d) The
S&P 500 Value Total Return Index is a market cap-weighted index that covers the complete market cap of the S&P 500 Index. All
S&P Index stocks are represented in both and/or each Growth and Value index. The value factors used to determine a stock's value
score are book value to price ratio, cash flow to price ratio, sales to price ratio and dividend yield. Index returns assume reinvestment
of dividends. Investors may not invest in an Index directly. Unlike the Fund's returns, Index returns do not reflect any fees or
expenses. This Index has been selected as Fund's new primary benchmark as it is more representative of the Fund's investment
strategy and portfolio holdings.

---

| | |
|:---|:---|
| **Portfolio Composition as of December 31, 2022** | **Portfolio Composition as of December 31, 2022** |
| **Holdings By Investment Type** | % **of Net Assets** |
| Common Stocks | 98.3% |
| Collateral For Securities Loaned | 15.5% |
| Money Market Funds | 1.8% |
| Liabilities in Excess of Other Assets | (15.6)% |
|  | 100.0% |

---

Please refer to the Schedule of Investments in this semi-annual report for a detailed listing of the Fund's holdings.

**Donoghue Forlines Momentum Fund** 

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the periods ended December 31, 2022, compared to its benchmarks:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | | Annualized | Annualized |
| | <br>Six Months | <br>One Year | 5 Year | Since Inception (a) |
| Donoghue Forlines Momentum Fund - Class A | (5.91)% | (22.95)% | 0.10% | 2.22% |
| Donoghue Forlines Momentum Fund - Class A *with load* | (11.32)% | (27.37)% | (1.08)% | 1.22% |
| Donoghue Forlines Momentum Fund - Class C | (6.26)% | (23.52)% | (0.64)% | 1.48% |
| Donoghue Forlines Momentum Fund - Class I | (5.84)% | (22.78)% | 0.35% | 2.48% |
| Russell 1000 Total Return Index (b) | 2.30% | (19.13)% | 9.13% | 10.89% |
| S&P 500 Total Return Index (c) | 2.31% | (18.11)% | 9.42% | 11.16% |

---

\* The performance data quoted is historical. **Past performance is no guarantee of future results**. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Returns greater than 1 year are annualized. The total annual operating expenses before fee waiver and/or reimbursement as stated in the fee table of the Fund's prospectus dated October 28, 2022 is 2.66%, 3.41% and 2.41% for Class A, Class C, and Class I shares, respectively. Class A shares are subject to a maximum sales charge imposed on purchases of 5.00%. For performance information current to the most recent month-end, please call 1-877-779-7462.

(a) Inception
date is December 23, 2016.

(b) The
Russell 1000 Total Return Index consists of the 1000 largest companies within the Russell 3000 index. Also known as Market Oriented Index,
because it represents the group of stocks from which most active money managers choose.

(c) The
S&P 500 Total Return Index is an unmanaged free-float capitalization-weighted index which measures the performance of 500 large-cap
common stocks actively traded in the United States. Index returns assume reinvestment of dividends. Investors may not invest in an Index
directly. Unlike the Fund's returns, Index returns do not reflect any fees or expenses.

---

| | |
|:---|:---|
| **Portfolio Composition as of December 31, 2022** | **Portfolio Composition as of December 31, 2022** |
| **Holdings By Investment Type** | % **of Net Assets** |
| Common Stocks | 99.3% |
| Collateral For Securities Loaned | 13.2% |
| Money Market Funds | 0.8% |
| Liabilities in Excess of Other Assets | (13.3)% |
|  | 100.0% |

---

Please refer to the Schedule of Investments in this semi-annual report for a detailed listing of the Fund's holdings.

**Donoghue Forlines Risk Managed Income Fund**

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the periods ended December 31, 2022, compared to its benchmark:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | | Annualized | Annualized |
| | <br>Six Months | <br>One Year | Five Year | Since Inception (a) |
| Donoghue Forlines Risk Managed Income Fund - Class A | (1.17)% | (3.69)% | 1.42% | 1.42% |
| Donoghue Forlines Risk Managed Income Fund - Class A *with load* | (6.14)% | (8.49)% | 0.38% | 0.38% |
| Donoghue Forlines Risk Managed Income Fund - Class C | (1.82)% | (4.57)% | 0.75% | 0.73% |
| Donoghue Forlines Risk Managed Income Fund - Class I | (1.30)% | (3.59)% | 1.73% | 1.70% |
| S&P/LSTA U.S. Leveraged Loan 100 Index (c) | 5.15% | (0.60)% | 3.08% | 3.08% |

---

\* The performance data quoted is historical. **Past performance is no guarantee of future results**. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Returns greater than 1 year are annualized. The total annual operating expenses as stated in the fee table of the Fund's prospectus dated October 28, 2022 is 1.75%, 2.50% and 1.50% for Class A, Class C, and Class I shares, respectively. Class A shares are subject to a maximum sales charge imposed on purchases of 5.00%. For performance information current to the most recent month-end, please call 1-877-779-7462.

(a) Inception
date is December 27, 2017.

(b) The
S&P/LSTA U.S. Leveraged Loan 100 Index is designed to reflect the performance of the largest facilities in the leveraged loan market.
Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund's returns, Index
returns do not reflect any fees or expenses.

---

| | |
|:---|:---|
| **Portfolio Composition as of December 31, 2022** | **Portfolio Composition as of December 31, 2022** |
| **Holdings By Investment Type** | % **of Net Assets** |
| Money Market Fund | 100.0% |
| Open End Fund- Fixed Income | 0.2% |
| Liabilities in Excess of Other Assets | (0.2)% |
|  | 100.0% |

---

Please refer to the Schedule of Investments in this semi-annual report for a detailed listing of the Fund's holdings.

---

| |
|:---|
| **DONOGHUE FORLINES TACTICAL ALLOCATION FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 73.9%** |  |
|  | **EQUITY - 50.6%** |  |
| 229860 | Donoghue Forlines Yield Enhanced Real Asset ETF<sup>(a)</sup> | $5869452 |
| 54263 | FCF International Quality ETF<sup>(a)</sup> | 1372241 |
| 95461 | FCF US Quality ETF | 4441533 |
| 62770 | iShares Exponential Technologies ETF<sup>(b)</sup> | 2971532 |
|  |  | 14654758 |
|  | **FIXED INCOME - 23.3%** |  |
| 21383 | iShares 0-5 Year High Yield Corporate Bond ETF | 874351 |
| 36833 | iShares 1-3 Year Treasury Bond ETF | 2989734 |
| 25174 | iShares 3-7 Year Treasury Bond ETF | 2892241 |
|  |  | 6756326 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $23,091,487)** | 21411084 |
|  | **SHORT-TERM INVESTMENTS — 32.0%** |  |
|  | **COLLATERAL FOR SECURITIES LOANED - 6.0%** |  |
| 1739175 | Mount Vernon Liquid Assets Portfolio, LLC, 4.49% (Cost $1,739,175)<sup>(c)(d)</sup> | 1739175 |
|  | **MONEY MARKET FUND - 26.0%** |  |
| 7538791 | Fidelity Government Portfolio Institutional Class, 4.06% (Cost $7,538,791)<sup>(c)</sup> | 7538791 |
|  | **TOTAL SHORT-TERM INVESTMENTS (Cost $9,277,966)** | 9277966 |
|  | **TOTAL INVESTMENTS – 105.9% (Cost $32,369,453)** | $30689050 |
|  | **LIABILITIES IN EXCESS OF OTHER ASSETS - (5.9)%** | (1715312) |
|  | **NET ASSETS - 100.0%** | $28973738 |

---

ETF - Exchange-Traded Fund

LLC - Limited Liability Company

<sup>(a)</sup> Affiliated Company – Donoghue Forlines Tactical Allocation Fund holds in excess of 5% of outstanding voting securities of this security.

<sup>(b)</sup> All or a portion of this security is on loan. Total loaned securities had a value of $1,680,570 as of December 31, 2022.

<sup>(c)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

<sup>(d)</sup> Security was purchased with cash received as collateral for securities on loan at December 31, 2022. Total collateral had a value of $1,739,175 at December 31, 2022.

See accompanying notes to financial statements.

---

| |
|:---|
| **DONOGHUE FORLINES TACTICAL INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 46.7%** |  |
|  | **EQUITY - 12.7%** |  |
| 137098 | Donoghue Forlines Yield Enhanced Real Asset ETF<sup>(a)</sup> | $3500784 |
| 46668 | FCF US Quality ETF | 2171332 |
|  |  | 5672116 |
|  | **FIXED INCOME - 34.0%** |  |
| 76955 | iShares 0-5 Year High Yield Corporate Bond ETF<sup>(b)</sup> | 3146690 |
| 104849 | iShares 3-7 Year Treasury Bond ETF | 12046101 |
|  |  | 15192791 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $21,368,106)** | 20864907 |
|  | **OPEN END FUNDS — 5.0%** |  |
|  | **EQUITY - 5.0%** |  |
| 260653 | Donoghue Forlines Dividend Fund Class I (Cost $2,244,201)<sup>(a)</sup> | 2225975 |
|  | **SHORT-TERM INVESTMENTS — 51.8%** |  |
|  | **COLLATERAL FOR SECURITIES LOANED - 3.5%** |  |
| 1557650 | Mount Vernon Liquid Assets Portfolio, LLC, 4.49% (Cost $1,557,650)<sup>(c) (d)</sup> | 1557650 |
|  | **MONEY MARKET FUNDS - 48.3%** |  |
| 21565740 | Fidelity Government Portfolio Institutional Class, 4.06% (Cost $21,565,740)<sup>(c)</sup> | 21565740 |
|  | **TOTAL SHORT-TERM INVESTMENTS (Cost $23,123,390)** | 23123390 |
|  | **TOTAL INVESTMENTS - 103.5% (Cost $46,735,697)** | $46214272 |
|  | **LIABILITIES IN EXCESS OF OTHER ASSETS - (3.5)%** | (1586435) |
|  | **NET ASSETS - 100.0%** | $44627837 |

---

ETF - Exchange-Traded Fund

LLC - Limited Liability Company

<sup>(a)</sup> Affiliated Company – Donoghue Forlines Tactical Income Fund holds in excess of 5% of outstanding voting securities of this security.

<sup>(b)</sup> All or a portion of this security is on loan. Total loaned securities had a value of $1,525,197 as of December 31, 2022.

<sup>(c)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

<sup>(d)</sup> Security was purchased with cash received as collateral for securities on loan at December 31, 2022. Total collateral had a value of $1,557,650 at December 31, 2022.

See accompanying notes to financial statements.

---

| |
|:---|
| **DONOGHUE FORLINES DIVIDEND FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 98.3%** |  |
|  | **AEROSPACE & DEFENSE - 2.0%** |  |
| 3131 | General Dynamics Corporation | $776832 |
|  | **ASSET MANAGEMENT - 1.9%** |  |
| 2381 | Ameriprise Financial, Inc. | 741372 |
|  | **BANKING - 1.9%** |  |
| 10823 | Popular, Inc. | 717781 |
|  | **BEVERAGES - 4.1%** |  |
| 12424 | Coca-Cola Company (The) | 790290 |
| 4260 | PepsiCo, Inc. | 769612 |
|  |  | 1559902 |
|  | **BIOTECH & PHARMA - 12.2%** |  |
| 9844 | Bristol-Myers Squibb Company | 708276 |
| 9050 | Gilead Sciences, Inc. | 776943 |
| 4440 | Johnson & Johnson | 784326 |
| 7210 | Merck & Company, Inc. | 799950 |
| 15765 | Pfizer, Inc. | 807798 |
| 71651 | Viatris, Inc. | 797476 |
|  |  | 4674769 |
|  | **CABLE & SATELLITE - 2.0%** |  |
| 21570 | Comcast Corporation, Class A | 754303 |
|  | **CHEMICALS - 4.1%** |  |
| 15505 | Dow, Inc. | 781297 |
| 9297 | LyondellBasell Industries N.V., Class A | 771930 |
|  |  | 1553227 |
|  | **DIVERSIFIED INDUSTRIALS - 2.0%** |  |
| 3474 | Illinois Tool Works, Inc.<sup>(a)</sup> | 765322 |
|  | **ELECTRIC UTILITIES - 5.7%** |  |
| 19164 | FirstEnergy Corporation | 803738 |
| 18617 | NRG Energy, Inc.<sup>(a)</sup> | 592393 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **DONOGHUE FORLINES DIVIDEND FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 98.3% (Continued)** |  |
|  | **ELECTRIC UTILITIES - 5.7% (Continued)** |  |
| 19533 | OGE Energy Corporation | $772530 |
|  |  | 2168661 |
|  | **FOOD - 4.2%** |  |
| 14725 | Campbell Soup Company | 835644 |
| 10834 | Kellogg Company<sup>(a)</sup> | 771814 |
|  |  | 1607458 |
|  | **HEALTH CARE FACILITIES & SERVICES - 2.1%** |  |
| 5205 | Quest Diagnostics, Inc. | 814270 |
|  | **INSTITUTIONAL FINANCIAL SERVICES - 3.9%** |  |
| 6861 | Evercore, Inc., Class A | 748398 |
| 35632 | Virtu Financial, Inc., Class A | 727249 |
|  |  | 1475647 |
|  | **INSURANCE - 5.9%** |  |
| 12567 | American International Group, Inc. | 794737 |
| 24899 | Equitable Holdings, Inc. | 714601 |
| 8813 | Principal Financial Group, Inc. | 739587 |
|  |  | 2248925 |
|  | **LEISURE FACILITIES & SERVICES - 1.9%** |  |
| 5377 | Darden Restaurants, Inc.<sup>(a)</sup> | 743800 |
|  | **MEDICAL EQUIPMENT & DEVICES - 2.1%** |  |
| 7346 | Abbott Laboratories | 806517 |
|  | **OIL & GAS PRODUCERS - 7.6%** |  |
| 28316 | Coterra Energy, Inc. | 695724 |
| 11708 | Devon Energy Corporation | 720159 |
| 5615 | EOG Resources, Inc. | 727255 |
| 11810 | ONEOK, Inc.<sup>(a)</sup> | 775917 |
|  |  | 2919055 |
|  | **PUBLISHING & BROADCASTING - 1.9%** |  |
| 4169 | Nexstar Media Group, Inc. | 729700 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **DONOGHUE FORLINES DIVIDEND FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 98.3% (Continued)** |  |
|  | **RETAIL - DISCRETIONARY - 4.0%** |  |
| 9335 | Best Buy Company, Inc.<sup>(a)</sup> | $748760 |
| 6761 | Williams-Sonoma, Inc.<sup>(a)</sup> | 776975 |
|  |  | 1525735 |
|  | **RETAIL REIT - 2.1%** |  |
| 6688 | Simon Property Group, Inc.<sup>(a)</sup> | 785706 |
|  | **SEMICONDUCTORS - 3.7%** |  |
| 9980 | Microchip Technology, Inc. | 701095 |
| 4379 | Texas Instruments, Inc. | 723498 |
|  |  | 1424593 |
|  | **SOFTWARE - 1.9%** |  |
| 34421 | Gen Digital, Inc. | 737642 |
|  | **SPECIALTY FINANCE - 7.4%** |  |
| 7293 | Discover Financial Services | 713474 |
| 19745 | Fidelity National Financial, Inc. | 742808 |
| 20079 | OneMain Holdings, Inc. | 668831 |
| 21030 | Synchrony Financial | 691046 |
|  |  | 2816159 |
|  | **SPECIALTY REITS - 1.9%** |  |
| 14661 | Iron Mountain, Inc. | 730851 |
|  | **TECHNOLOGY HARDWARE - 2.0%** |  |
| 15895 | Cisco Systems, Inc. | 757238 |
|  | **TECHNOLOGY SERVICES - 2.0%** |  |
| 5308 | International Business Machines Corporation<sup>(a)</sup> | 747844 |
|  | **TELECOMMUNICATIONS - 2.1%** |  |
| 20275 | Verizon Communications, Inc. | 798835 |
|  | **TRANSPORTATION & LOGISTICS - 3.8%** |  |
| 7886 | CH Robinson Worldwide, Inc.<sup>(a)</sup> | 722042 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **DONOGHUE FORLINES DIVIDEND FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 98.3% (Continued)** |  |
|  | **TRANSPORTATION & LOGISTICS - 3.8% (Continued)** |  |
| 4165 | United Parcel Service, Inc., Class B | $724044 |
|  |  | 1446086 |
|  | **TRANSPORTATION EQUIPMENT - 1.9%** |  |
| 17641 | Allison Transmission Holdings, Inc. | 733866 |
|  | **TOTAL COMMON STOCKS (Cost $37,608,760)** | 37562096 |
|  | **SHORT-TERM INVESTMENTS — 17.3%** |  |
|  | **MONEY MARKET FUNDS - 1.8%** |  |
| 644794 | Dreyfus Treasury Securities Cash Management Institutional Class, 3.89%<sup>(b)</sup> | 644794 |
| 36662 | Fidelity Government Portfolio Institutional Class, 4.06%<sup>(b)</sup> | 36662 |
|  | **TOTAL MONEY MARKET FUNDS (Cost $681,456)** | 681456 |
|  | **COLLATERAL FOR SECURITIES LOANED - 15.5%** |  |
| 5920882 | Mount Vernon Liquid Assets Portfolio, LLC, 4.49% (Cost $5,920,882)<sup>(b) (c)</sup> | 5920882 |
|  | **TOTAL SHORT-TERM INVESTMENTS (Cost $6,602,338)** | 6602338 |
|  | **TOTAL INVESTMENTS - 115.6% (Cost $44,211,098)** | $44164434 |
|  | **LIABILITIES IN EXCESS OF OTHER ASSETS - (15.6)%** | (5958302) |
|  | **NET ASSETS - 100.0%** | $38206132 |

---

LLC - Limited Liability Company

NV - Naamioze Vennootschap

REIT - Real Estate Investment Trust

<sup>(a)</sup> All or a portion of this security is on loan. Total loaned securities had a value of $5,747,894 as of December 31, 2022.

<sup>(b)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

<sup>(c)</sup> Security was purchased with cash received as collateral for securities on loan at December 31, 2022. Total collateral had a value of $5,920,882 at December 31, 2022.

See accompanying notes to financial statements.

---

| |
|:---|
| **DONOGHUE FORLINES MOMENTUM FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 99.3%** |  |
|  | **AEROSPACE & DEFENSE - 2.1%** |  |
| 432 | Lockheed Martin Corporation | $210164 |
|  | **ASSET MANAGEMENT - 3.9%** |  |
| 631 | Ameriprise Financial, Inc. | 196475 |
| 885 | LPL Financial Holdings, Inc. | 191311 |
|  |  | 387786 |
|  | **BEVERAGES - 2.1%** |  |
| 3292 | Coca-Cola Company (The) | 209404 |
|  | **BIOTECH & PHARMA - 12.3%** |  |
| 2608 | Bristol-Myers Squibb Company | 187646 |
| 564 | Eli Lilly and Company | 206334 |
| 2384 | Gilead Sciences, Inc. | 204666 |
| 1334 | Jazz Pharmaceuticals plc<sup>(a)</sup> | 212520 |
| 1901 | Merck & Company, Inc. | 210916 |
| 662 | Vertex Pharmaceuticals, Inc.<sup>(a),(b)</sup> | 191172 |
|  |  | 1213254 |
|  | **CHEMICALS - 1.7%** |  |
| 1935 | CF Industries Holdings, Inc. | 164862 |
|  | **CONSUMER SERVICES - 2.0%** |  |
| 1852 | Grand Canyon Education, Inc.<sup>(a)</sup> | 195682 |
|  | **ELECTRIC UTILITIES - 2.1%** |  |
| 2136 | Consolidated Edison, Inc. | 203582 |
|  | **FOOD - 4.3%** |  |
| 890 | Hershey Company (The) | 206097 |
| 2409 | Lamb Weston Holdings, Inc. | 215268 |
|  |  | 421365 |
|  | **HEALTH CARE FACILITIES & SERVICES - 2.0%** |  |
| 381 | Humana, Inc. | 195144 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **DONOGHUE FORLINES MOMENTUM FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 99.3% (Continued)** |  |
|  | **INDUSTRIAL SUPPORT SERVICES - 2.0%** |  |
| 347 | WW Grainger, Inc. | $193019 |
|  | **INSURANCE - 3.8%** |  |
| 741 | Erie Indemnity Company, Class A | 184302 |
| 2335 | Principal Financial Group, Inc. | 195953 |
|  |  | 380255 |
|  | **INTERNET MEDIA & SERVICES - 1.8%** |  |
| 5513 | Zillow Group, Inc., Class C<sup>(a),(b)</sup> | 177574 |
|  | **OIL & GAS PRODUCERS - 3.7%** |  |
| 5729 | Antero Resources Corporation<sup>(a),(b)</sup> | 177542 |
| 3013 | Occidental Petroleum Corporation | 189788 |
|  |  | 367330 |
|  | **PUBLISHING & BROADCASTING - 3.8%** |  |
| 1105 | Nexstar Media Group, Inc. | 193408 |
| 2621 | World Wrestling Entertainment, Inc., Class A | 179591 |
|  |  | 372999 |
|  | **RENEWABLE ENERGY - 1.8%** |  |
| 653 | Enphase Energy, Inc.<sup>(a),(b)</sup> | 173019 |
|  | **RETAIL - CONSUMER STAPLES - 2.0%** |  |
| 862 | Casey's General Stores, Inc. | 193390 |
|  | **RETAIL - DISCRETIONARY - 6.0%** |  |
| 1690 | AutoNation, Inc.<sup>(a),(b)</sup> | 181337 |
| 1142 | Genuine Parts Company | 198148 |
| 450 | Ulta Beauty, Inc.<sup>(a)</sup> | 211082 |
|  |  | 590567 |
|  | **SEMICONDUCTORS - 7.7%** |  |
| 380 | Broadcom, Inc. | 212469 |
| 2875 | Lattice Semiconductor Corporation<sup>(a)</sup> | 186530 |
| 2644 | Microchip Technology, Inc. | 185741 |
| 2784 | ON Semiconductor Corporation<sup>(a),(b)</sup> | 173638 |
|  |  | 758378 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **DONOGHUE FORLINES MOMENTUM FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 99.3% (Continued)** |  |
|  | **SOFTWARE - 10.0%** |  |
| 5286 | Bentley Systems, Inc. | $195371 |
| 1217 | Cadence Design Systems, Inc.<sup>(a)</sup> | 195499 |
| 9119 | Gen Digital, Inc. | 195420 |
| 1646 | PTC, Inc.<sup>(a)</sup> | 197585 |
| 617 | Synopsys, Inc.<sup>(a)</sup> | 197002 |
|  |  | 980877 |
|  | **SPECIALTY REITS - 2.0%** |  |
| 3854 | Iron Mountain, Inc. | 192122 |
|  | **STEEL - 2.0%** |  |
| 2015 | Steel Dynamics, Inc.<sup>(b)</sup> | 196866 |
|  | **TECHNOLOGY HARDWARE – 2.0%** |  |
| 7173 | Pure Storage, Inc., Class A<sup>(a)</sup> | 191949 |
|  | **TECHNOLOGY SERVICES - 14.2%** |  |
| 2356 | Amdocs Ltd. | 214161 |
| 1968 | Booz Allen Hamilton Holding Corporation | 205696 |
| 1110 | CDW Corporation | 198224 |
| 454 | FactSet Research Systems, Inc. | 182149 |
| 1106 | Jack Henry & Associates, Inc. | 194169 |
| 965 | Visa, Inc., Class A<sup>(b)</sup> | 200488 |
| 1238 | WEX, Inc. <sup>(a)</sup> | 202599 |
|  |  | 1397486 |
|  | **TELECOMMUNICATIONS - 2.0%** |  |
| 1382 | T-Mobile US, Inc.<sup>(a)</sup> | 193480 |
|  | **TRANSPORTATION EQUIPMENT - 2.0%** |  |
| 4674 | Allison Transmission Holdings, Inc. | 194438 |
|  | **TOTAL COMMON STOCKS (Cost $10,271,098)** | 9754992 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **DONOGHUE FORLINES MOMENTUM FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **SHORT-TERM INVESTMENTS — 14.0%** |  |
|  | **COLLATERAL FOR SECURITIES LOANED - 13.2%** |  |
| 1298109 | Mount Vernon Liquid Assets Portfolio, LLC, 4.49% (Cost $1,298,109)<sup>(c)(d)</sup> | $1298109 |
|  | **MONEY MARKET FUND - 0.8%** |  |
| 81017 | Fidelity Government Portfolio Institutional Class, 4.06% (Cost $81,017)<sup>(c)</sup> | 81017 |
|  | **TOTAL SHORT-TERM INVESTMENTS (Cost $1,379,126)** | 1379126 |
|  | **TOTAL INVESTMENTS - 113.3% (Cost $11,650,224)** | $11134118 |
|  | **LIABILITIES IN EXCESS OF OTHER ASSETS - (13.3)%** | (1304272) |
|  | **NET ASSETS - 100.0%** | $9829846 |

---

LLC - Limited Liability Company

LTD - Limited Company

PLC - Public Limited Company

REIT - Real Estate Investment Trust

<sup>(a)</sup> Non-income producing security.

<sup>(b)</sup> All or a portion of this security is on loan. Total loaned securities had a value of $1,268,463 as of December 31, 2022.

<sup>(c)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

<sup>(d)</sup> Security was purchased with cash received as collateral for securities on loan at December 31, 2022. Total collateral had a value of $1,298,109 at December 31, 2022.

See accompanying notes to financial statements.

---

| |
|:---|
| **DONOGHUE FORLINES RISK MANAGED INCOME FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **OPEN END FUNDS — 0.2%** |  |
|  | **FIXED INCOME - 0.2%** |  |
| 3 | Eaton Vance Floating-Rate Advantaged Fund Class I | $32 |
| 5798 | Hartford Floating Rate Fund Class Y | 44184 |
| 5762 | Lord Abbett Floating Rate Fund Class I | 45229 |
| 6011 | Virtus Seix Floating Rate High Income Fund Class I | 46528 |
|  |  | 135973 |
|  | **TOTAL OPEN END FUNDS (Cost $134,810)** | 135973 |
|  | **SHORT-TERM INVESTMENT — 100.0%** |  |
|  | **MONEY MARKET FUND – 100.0%** |  |
| 77891180 | Fidelity Government Portfolio Institutional Class, 4.06% (Cost $77,891,180)<sup>(a)</sup> | 77891180 |
|  | **TOTAL INVESTMENTS – 100.2% (Cost $78,025,990)** | $78027153 |
|  | **LIABILITIES IN EXCESS OF OTHER ASSETS- (0.2)%** | (170274) |
|  | **NET ASSETS - 100.0%** | $77856879 |

---

<sup>(a)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)** |
| **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Donoghue Forlines**<br>**Tactical Allocation**<br>**Fund** | **Donoghue Forlines**<br>**Tactical Income**<br>**Fund** | **Donoghue Forlines**<br>**Dividend**<br>**Fund** | **Donoghue Forlines**<br>**Momentum**<br>**Fund** | **Donoghue Forlines**<br>**Risk Managed Income**<br>**Fund** |
| **ASSETS** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investment securities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unaffilited investments at cost | $24386259 | $40909611 | $44211098 | $11650224 | $78025990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affilited investments at cost | 7983194 | 5826086 |  |  |  |
| &nbsp;&nbsp;&nbsp;Total investments at cost | $32369453 | $46735697 | $44211098 | $11650224 | $78025990 |
| &nbsp;&nbsp;&nbsp;Unaffiliated investments at value \* | $23447357 | $40487513 | $44164434 | $11134118 | $78027153 |
| &nbsp;&nbsp;&nbsp;Affiliated investments at value | 7241693 | 5726759 |  |  |  |
| &nbsp;&nbsp;&nbsp;Total investments at value | 30689050 | 46214272 | 44164434 | 11134118 | 78027153 |
| &nbsp;&nbsp;&nbsp;Receivable for Fund shares sold | 343 | 577 | 163 | 123 | 11126 |
| &nbsp;&nbsp;&nbsp;Dividends and interest receivable | 44051 | 76051 | 37952 | 8436 | 242454 |
| &nbsp;&nbsp;&nbsp;Prepaid expenses and other assets | 30349 | 28769 | 26051 | 27894 | 33663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL ASSETS** | 30763793 | 46319669 | $44228600 | 11170571 | 78314396 |
| **LIABILITIES** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Security lending collateral (Note 5) | 1739175 | 1557650 | 5920882 | 1298109 |  |
| &nbsp;&nbsp;&nbsp;Payable for Fund shares repurchased | 956 | 52605 | 13662 | 14669 | 373466 |
| &nbsp;&nbsp;&nbsp;Investment advisory fees payable | 13318 | 37003 | 30760 | 1402 | 43579 |
| &nbsp;&nbsp;&nbsp;Distribution (12b-1) fees payable | 2569 | 1528 | 7417 | 726 | 553 |
| &nbsp;&nbsp;&nbsp;Payable to related parties | 9576 | 16506 | 4758 | 5213 | 19860 |
| &nbsp;&nbsp;&nbsp;Payable to trustees | 779 | 761 | 780 | 821 | 660 |
| &nbsp;&nbsp;&nbsp;Accrued expenses and other liabilities | 23682 | 25779 | 44209 | 19785 | 19399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL LIABILITIES** | 1790055 | 1691832 | $6022468 | 1340725 | 457517 |
| **NET ASSETS** | $**28973738** | $**44627837** | $**38206132** | $**9829846** | $**77856879** |
| **COMPOSITION OF NET ASSETS:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid in capital | $36222412 | $67478272 | $158618715 | $12109203 | $83544114 |
| &nbsp;&nbsp;&nbsp;Accumulated losses | (7248674) | (22850435) | (120412583) | (2279357) | (5687235) |
| **NET ASSETS** | $**28973738** | $**44627837** | $**38206132** | $**9829846** | $**77856879** |
| **NET ASSET VALUE PER SHARE:** |  |  |  |  |  |
| Class A Shares: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net Assets | $**8785740** | $**3146250** | $**10282026** | $**968913** | $**107** |
| &nbsp;&nbsp;&nbsp;Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | **966712** | **365014** | **1197754** | **98142** | **11** |
| &nbsp;&nbsp;&nbsp;Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share | $**9.09** | $**8.62** | $**8.58** | $**9.87** | $**9.68** **(b)** |
| &nbsp;&nbsp;&nbsp;Maximum offering price per share (net asset value plus maximum sales charge of 5.00%) (a) | $**9.57** | $**9.07** | $**9.04** | $**10.39** | $**10.19** |
| Class C Shares: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net Assets | $**640839** | $**965374** | $**5994315** | $**577007** | $**648172** |
| &nbsp;&nbsp;&nbsp;Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | **71503** | **113391** | **704216** | **61197** | **68446** |
| &nbsp;&nbsp;&nbsp;Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share | $**8.96** | $**8.51** | $**8.51** | $**9.43** | $**9.47** |
| Class I Shares: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net Assets | $**19547159** | $**40516213** | $**21929791** | $**8283926** | $**77208600** |
| &nbsp;&nbsp;&nbsp;Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | **2158071** | **4712519** | **2568105** | **828043** | **8082905** |
| &nbsp;&nbsp;&nbsp;Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share | $**9.06** | $**8.60** | $**8.54** | $**10.00** | $**9.55** |

---

\* Includes Securities Loaned $1,680,570; $1,525,197; $5,747,894; $1,268,463; $0

(a) On
investments of $50,000 or more, the offering price is reduced.

(b) NAV
does not recalculate due to rounding of net assets.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **STATEMENTS OF OPERATIONS (Unaudited)** |
| **For the Six Months Ended December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Donoghue Forlines**<br>**Tactical Allocation**<br>**Fund** | **Donoghue Forlines**<br>**Tactical Income**<br>**Fund** | **Donoghue Forlines**<br>**Dividend**<br>**Fund** | **Donoghue Forlines**<br>**Momentum**<br>**Fund** | **Donoghue Forlines**<br>**Risk Managed Income**<br>**Fund** |
| **INVESTMENT INCOME** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividends - Unaffiliated Investments (including foreign dividend tax withholding of $0, $0, $540, $0, and $0, respectively) | $227193 | $543314 | $562004 | $83960 | $466578 |
| &nbsp;&nbsp;&nbsp;Dividends - Affiliated Investments | 297159 | 109239 |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest | 88699 | 237224 | 8243 | 2242 | 913259 |
| &nbsp;&nbsp;&nbsp;Securities lending | 37471 | 61272 | 3901 | 3751 | 28860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL INVESTMENT INCOME** | 650522 | 951049 | 574148 | 89953 | 1408697 |
| **EXPENSES** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investment advisory fees | 124360 | 234182 | 183541 | 54789 | 288291 |
| &nbsp;&nbsp;&nbsp;Distribution (12b-1) fees: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 12755 | 4363 | 13904 | 1331 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 3548 | 5356 | 31930 | 3350 | 3346 |
| &nbsp;&nbsp;&nbsp;Administration fees | 24131 | 30968 | 25524 | 13060 | 51893 |
| &nbsp;&nbsp;&nbsp;Registration fees | 20179 | 25226 | 25229 | 20200 | 25201 |
| &nbsp;&nbsp;&nbsp;Accounting services fees | 21034 | 21718 | 21218 | 19935 | 23811 |
| &nbsp;&nbsp;&nbsp;Third party administrative servicing fees | 6059 | 14128 | 11129 | 3029 | 14168 |
| &nbsp;&nbsp;&nbsp;Transfer agent fees | 4311 | 7346 | 14702 | 2337 | 22676 |
| &nbsp;&nbsp;&nbsp;Legal fees | 7589 | 7564 | 6304 | 6303 | 6320 |
| &nbsp;&nbsp;&nbsp;Audit fees | 9338 | 9323 | 9324 | 9324 | 9324 |
| &nbsp;&nbsp;&nbsp;Trustees' fees and expenses | 8066 | 8066 | 8066 | 8065 | 8065 |
| &nbsp;&nbsp;&nbsp;Compliance officer fees | 6044 | 6295 | 6042 | 4028 | 11056 |
| &nbsp;&nbsp;&nbsp;Printing and postage expenses | 5075 | 7552 | 6658 | 2521 | 7587 |
| &nbsp;&nbsp;&nbsp;Custodian fees | 2539 | 2532 | 2518 | 2521 | 2538 |
| &nbsp;&nbsp;&nbsp;Insurance expense | 1562 | 1562 | 1419 | 1370 | 1614 |
| &nbsp;&nbsp;&nbsp;Other expenses | 2519 | 2520 | 2520 | 2520 | 2520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL EXPENSES** | 259109 | 388701 | 370028 | 154683 | 478427 |
| &nbsp;&nbsp;&nbsp;Less: Fees waived by the Advisor | (44089) |  |  | (40508) |  |
| &nbsp;&nbsp;&nbsp;Less: Fees waived by the Advisor for affiliated investments | (6506) | (2249) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**NET EXPENSES** | 208514 | 386452 | 370028 | 114175 | 478427 |
| **NET INVESTMENT INCOME (LOSS)** | 442008 | 564597 | 204120 | (24222) | 930270 |
| **REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized loss from unaffiliated investments | (3070548) | (2143645) | (585851) | (752651) | (2241155) |
| &nbsp;&nbsp;&nbsp;Net realized loss from affiliated investments | (1165549) | (520175) |  |  |  |
| &nbsp;&nbsp;&nbsp;Distributions of realized gains from underlying investment companies | 43641 | 21658 |  |  |  |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation on unaffiliated investments | 3327238 | 1085399 | 688486 | 170061 | 3947 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation on affiliated investments | 896693 | 432758 |  |  |  |
| **NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS** | 31475 | (1124005) | 102635 | (582590) | (2237208) |
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | $**473483** | $**(559408)** | $**306755** | $**(606812)** | $**(1306938)** |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Tactical Allocation Fund** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** |
|  | **(Unaudited)** |  |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | $442008 | $890926 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) from security transactions | (4236097) | 3678599 |
| &nbsp;&nbsp;&nbsp;Distributions of realized gains from underlying investment companies | 43641 | 548091 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments | 4223931 | (11724580) |
| Net increase (decrease) in net assets resulting from operations | 473483 | (6606964) |
| **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions paid: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (137667) | (238486) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (8067) | (14250) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (321896) | (641934) |
| Net decrease in net assets resulting from distributions to shareholders | (467630) | (894670) |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 279858 | 615057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C |  | 15961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 814845 | 2577958 |
| &nbsp;&nbsp;&nbsp;Net asset value of shares issued in reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 133405 | 232647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 7801 | 14221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 313880 | 592131 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (1975311) | (3653438) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (103579) | (23736) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (6875255) | (15396874) |
| Net decrease in net assets resulting from shares of beneficial interest | (7404356) | (15026073) |
| **TOTAL DECREASE IN NET ASSETS** | (7398503) | (22527707) |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Period/Year | 36372241 | 58899948 |
| &nbsp;&nbsp;&nbsp;End of Period/Year | $**28973738** | $**36372241** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 29898 | 59315 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 14666 | 21502 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (215264) | (342573) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (170700) | (261756) |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold |  | 1514 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 868 | 1327 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (11625) | (2305) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | (10757) | 536 |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 87456 | 247662 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 34663 | 55020 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (736705) | (1461115) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (614586) | (1158433) |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Tactical Income Fund** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** |
|  | **(Unaudited)** |  |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | $564597 | $861957 |
| &nbsp;&nbsp;&nbsp;Net realized loss from security transactions | (2663820) | (1920796) |
| &nbsp;&nbsp;&nbsp;Distributions of realized gains from underlying investment companies | 21658 | 228485 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments | 1518157 | (4149150) |
| Net decrease in net assets resulting from operations | (559408) | (4979504) |
| **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;Total Distributions paid: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (9106) | (75255) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (556) | (15247) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (138262) | (949025) |
| Net decrease in net assets resulting from distributions to shareholders | (147924) | (1039527) |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 18764 | 189007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 13442 | 79309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 4345652 | 8847146 |
| &nbsp;&nbsp;&nbsp;Net asset value of shares issued in reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 8164 | 67444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 512 | 14165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 127603 | 862401 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (509325) | (1521539) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (233860) | (134997) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (5752738) | (16504399) |
| Net decrease in net assets resulting from shares of beneficial interest | (1981786) | (8101463) |
| **TOTAL DECREASE IN NET ASSETS** | (2689118) | (14120494) |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Period/Year | 47316955 | 61437449 |
| &nbsp;&nbsp;&nbsp;End of Period/Year | $**44627837** | $**47316955** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 2156 | 20009 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 962 | 7039 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (58524) | (161081) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (55406) | (134033) |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 1560 | 8508 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 61 | 1490 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (26724) | (14064) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (25103) | (4066) |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 492291 | 924421 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 15083 | 90635 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (660051) | (1756509) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (152677) | (741453) |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Dividend Fund** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** |
|  | **(Unaudited)** |  |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | $204120 | $734360 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) from security transactions | (585851) | 1164918 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments | 688486 | (3642765) |
| Net increase (decrease) in net assets resulting from operations | 306755 | (1743487) |
| **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;Total Distributions paid: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (53890) | (228548) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (7666) | (82079) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (133155) | (457873) |
| Net decrease in net assets resulting from distributions to shareholders | (194711) | (768500) |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 180054 | 986840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 16046 | 272286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 4568732 | 2392234 |
| &nbsp;&nbsp;&nbsp;Net asset value of shares issued in reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 50704 | 217207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 6959 | 74717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 126693 | 432845 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (1410661) | (3518301) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (785111) | (2360188) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (2108559) | (6606664) |
| Net increase (decrease) in net assets resulting from shares of beneficial interest | 644857 | (8109024) |
| **TOTAL INCREASE (DECREASE) IN NET ASSETS** | 756901 | (10621011) |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Period/Year | 37449231 | 48070242 |
| &nbsp;&nbsp;&nbsp;End of Period/Year | $**38206132** | $**37449231** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 20758 | 105703 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 5976 | 23352 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (161580) | (379365) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (134846) | (250310) |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 1870 | 30117 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 812 | 8051 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (91409) | (256170) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (88727) | (218002) |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 530020 | 258889 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 15000 | 46791 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (244971) | (717509) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | 300049 | (411829) |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Momentum Fund** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** |
|  | **(Unaudited)** |  |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment loss | $(24222) | $(156253) |
| &nbsp;&nbsp;&nbsp;Net realized loss from security transactions | (752651) | (620130) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments | 170061 | (1432607) |
| Net decrease in net assets resulting from operations | (606812) | (2208990) |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 2400 | 765988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 3776 | 43092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 430063 | 875922 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (59499) | (925183) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (188721) | (294434) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (996312) | (3115634) |
| Net decrease in net assets resulting from shares of beneficial interest | (808293) | (2650249) |
| **TOTAL DECREASE IN NET ASSETS** | (1415105) | (4859239) |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Period/Year | 11244951 | 16104190 |
| &nbsp;&nbsp;&nbsp;End of Period/Year | $**9829846** | $**11244951** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 225 | 59876 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (5717) | (82491) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (5492) | (22615) |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 373 | 3605 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (18288) | (25806) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (17915) | (22201) |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 39382 | 72099 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (92751) | (263738) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (53369) | (191639) |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Risk Managed Income Fund** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** |
|  | **(Unaudited)** |  |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | $930270 | $1232021 |
| &nbsp;&nbsp;&nbsp;Net realized loss from security transactions | (2241155) | (2580562) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/(depreciation) on investments | 3947 | (1096744) |
| Net decrease in net assets resulting from operations | (1306938) | (2445285) |
| **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions paid: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (93) | (346) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (4362) | (3271) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (943023) | (1243173) |
| Net decrease in net assets resulting from distributions to shareholders | (947478) | (1246790) |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C |  | 10000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 17090345 | 87041210 |
| &nbsp;&nbsp;&nbsp;Net asset value of shares issued in reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 93 | 347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 4149 | 3071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 816141 | 756051 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (19978) | (84861) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (18439) | (32131) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (26135128) | (59845616) |
| Net increase (decrease) in net assets resulting from shares of beneficial interest | (8262817) | 27848071 |
| **TOTAL INCREASE (DECREASE) IN NET ASSETS** | (10517233) | 24155996 |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Period/Year | 88374112 | 64218116 |
| &nbsp;&nbsp;&nbsp;End of Period/Year | $**77856879** | $**88374112** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 10 | 34 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (2081) | (8388) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (2071) | (8354) |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold |  | 1002 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 438 | 307 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (1929) | (3220) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (1491) | (1911) |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 1749911 | 8661464 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 85418 | 75758 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (2708253) | (6046499) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | (872924) | 2690723 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Tactical Allocation Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Period Ended**<br>**June 30,**<br>**2018 (1)** |
| Net asset value, beginning of period/year | $9.13 | $10.92 | $9.06 | $9.80 | $9.88 | $10.00 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (2) | 0.12 | 0.17 | 0.07 | 0.11 | 0.19 | 0.01 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.02 | (1.76) | 1.86 | (0.76) | (0.10) | (0.10 |
| Total from investment operations | 0.10 | (1.59) | 1.93 | (0.65) | 0.09 | (0.09 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.14 | (0.20) | (0.07) | (0.09) | (0.17) | (0.03 |
| Total distributions | (0.14 | (0.20) | (0.07) | (0.09) | (0.17) | (0.03 |
| Paid-in-Capital From Redemption Fees (2) |  |  |  |  |  | 0.00 |
| Net asset value, end of period/year | $9.09 | $9.13 | $10.92 | $9.06 | $9.80 | $9.88 |
| Total return (4) | 1.07 | (14.88)% | 21.34% | (6.73)% | 0.95% | (0.85 |
| Net assets, at end of period/year (000s) | $8786 | $10388 | $15277 | $15318 | $16944 | $12060 |
| Ratio of expenses to average net assets before Advisory fee waiver/recapture (6) | 1.71 | 1.52% | 1.46% | 1.32% | 1.32% | 1.71 |
| Ratio of net expenses to average net assets (6) | 1.45 | 1.45% (9) | 1.45% | 1.32% | 1.34% | 1.45 |
| Ratio of net investment income to average net assets (68) | 2.51 | 1.67% (9) | 0.64% | 1.10% | 1.95% | 3.56 |
| Portfolio Turnover Rate | 150 | 290% | 150% | 294% | 210% | 11 |

---

(1) The
Fund commenced operations April 6, 2018.

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

(3) Amount
is less than $0.01.

(4) Total
returns are historical in nature and assumes reinvestment of dividends and capital gain distributions.

(5) Not
annualized.

(6) The
ratios of expenses and net investment income to average net assets do not reflect the Fund's proportionate share of income and expenses
of underlying investment companies in which the Fund invests.

(7) Annualized.

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

(9) Ratios
including fees waived by the advisor for investments in affiliates.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net expenses to average net assets | 1.41% (7) | 1.38% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net investment income to average net assets | 2.55% (7) | 1.74% |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Tactical Allocation Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Period Ended**<br>**June 30,**<br>**2018 (1)** |
| Net asset value, beginning of period/year | $9.02 | $10.85 | $9.02 | $9.79 | $9.86 | $10.00 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) (2) | 0.08 | 0.10 | (0.01) | 0.03 | 0.11 | 0.06 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.03 | (1.75) | 1.86 | (0.75) | (0.09) | (0.17 |
| Total from investment operations | 0.05 | (1.65) | 1.85 | (0.72) | 0.02 | (0.11 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.11 | (0.18) | (0.02) | (0.05) | (0.09) | (0.03 |
| Total distributions | (0.11 | (0.18) | (0.02) | (0.05) | (0.09) | (0.03 |
| Paid-in-Capital From Redemption Fees (2) |  |  |  |  |  | 0.00 |
| Net asset value, end of period/year | $8.96 | $9.02 | $10.85 | $9.02 | $9.79 | $9.86 |
| Total return (4) | 0.60 | (15.51)% | 20.54% | (7.46)% | 0.26% | (1.14 |
| Net assets, at end of period/year (000s) | $641 | $742 | $886 | $647 | $915 | $600 |
| Ratio of expenses to average net assets before Advisory fee waiver/recapture (6) | 2.46 | 2.27% | 2.21% | 2.07% | 2.07% | 2.46 |
| Ratio of net expenses to average net assets (6) | 2.20 | 2.20% (9) | 2.20% | 2.07% | 2.09% | 2.20 |
| Ratio of net investment income (loss) to average net assets (68) | 1.77 | 0.95% (9) | (0.05)% | 0.26% | 1.18% | 2.53 |
| Portfolio Turnover Rate | 150 | 290% | 150% | 294% | 210% | 11 |

---

(1) The
Fund commenced operations April 6, 2018.

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

(3) Amount
is less than $0.01.

(4) Total
returns are historical in nature and assumes reinvestment of dividends and capital gain distributions.

(5) Not
annualized.

(6) The
ratios of expenses and net investment income to average net assets do not reflect the Fund's proportionate share of income and expenses
of underlying investment companies in which the Fund invests.

(7) Annualized.

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

(9) Ratios
including fees waived by the advisor for investments in affiliates.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net expenses to average net assets | 2.16% (7) | 2.13% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net investment income to average net assets | 1.81% (7) | 1.02% |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Tactical Allocation Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Period Ended**<br>**June 30,**<br>**2018 (1)** |
| Net asset value, beginning of period/year | $9.10 | $10.87 | $9.02 | $9.78 | $9.88 | $10.00 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (2) | 0.13 | 0.20 | 0.08 | 0.13 | 0.21 | 0.11 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.02 | (1.76) | 1.87 | (0.76) | (0.09) | (0.19 |
| Total from investment operations | 0.11 | (1.56) | 1.95 | (0.63) | 0.12 | (0.08 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.15 | (0.21) | (0.10) | (0.13) | (0.22) | (0.04 |
| Total distributions | (0.15 | (0.21) | (0.10) | (0.13) | (0.22) | (0.04 |
| Paid-in-Capital From Redemption Fees (2) |  |  |  |  |  | 0.00 |
| Net asset value, end of period/year | $9.06 | $9.10 | $10.87 | $9.02 | $9.78 | $9.88 |
| Total return (4) | 1.21 | (14.65)% | 21.63% | (6.52)% | 1.27% | (0.83 |
| Net assets, at end of period/year (000s) | $19547 | $25242 | $42736 | $68640 | $99627 | $93740 |
| Ratio of expenses to average net assets before Advisory fee waiver/recapture (6) | 1.46 | 1.27% | 1.21% | 1.07% | 1.07% | 1.46 |
| Ratio of net expenses to average net assets (6) | 1.20 | 1.20% (9) | 1.20% | 1.07% | 1.09% | 1.20 |
| Ratio of net investment income to average net assets (68) | 2.71 | 1.93% (9) | 0.83% | 1.35% | 2.20% | 4.36 |
| Portfolio Turnover Rate | 150 | 290% | 150% | 294% | 210% | 11 |

---

(1) The
Fund commenced operations April 6, 2018.

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

(3) Amount
is less than $0.01.

(4) Total
returns are historical in nature and assumes reinvestment of dividends and capital gain distributions.

(5) Not
annualized.

(6) The
ratios of expenses and net investment income to average net assets do not reflect the Fund's proportionate share of income and expenses
of underlying investment companies in which the Fund invests.

(7) Annualized.

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

(9) Ratios
including fees waived by the advisor for investments in affiliates.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net expenses to average net assets | 1.16% (7) | 1.13% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net investment income to average net assets | 2.75% (7) | 2.0% |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Tactical Income Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Year Ended**<br>**June 30,**<br>**2018** |
| Net asset value, beginning of period/year | $8.75 | $9.78 | $9.22 | $9.94 | $9.70 | $10.05 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (1) | 0.09 | 0.12 | 0.11 | 0.15 | 0.28 | 0.27 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.20 | (1.00) | 0.57 | (0.72) | 0.22 | (0.34) |
| Total from investment operations | (0.11 | (0.88) | 0.68 | (0.57) | 0.50 | (0.07) |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.02 | (0.15) | (0.12) | (0.15) | (0.26) | (0.28) |
| Total distributions | (0.02 | (0.15) | (0.12) | (0.15) | (0.26) | (0.28) |
| Net asset value, end of period/year | $8.62 | $8.75 | $9.78 | $9.22 | $9.94 | $9.70 |
| Total return (2) | (1.22 | (9.12)% | 7.37% | (5.82)% | 5.24% | (0.72)% |
| Net assets, at end of period/year (000s) | $3146 | $3679 | $5422 | $7266 | $13910 | $26645 |
| Ratio of expenses to average net assets (3) | 1.87 | 1.78% (5) | 1.70% | 1.61% | 1.54% | 1.54% |
| Ratio of net investment income to average net assets (34) | 2.16 | 1.30% (5) | 1.18% | 1.55% | 2.87% | 2.74% |
| Portfolio Turnover Rate | 302 | 545% | 205% | 221% | 175% | 274% |

---

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

(2) Total
returns are historical in nature and exclude the effect of applicable sales charges and assumes reinvestment of dividends and capital
gain distributions.

(3) The
ratios of expenses and net investment income to average net assets do not reflect the Fund's proportionate share of income and expenses
of underlying investment companies in which the Fund invests.

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

(5) Ratios
including fees waived by the advisor for investments in affiliates.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net expenses to average net assets | 1.86% (7) | 1.76% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net investment income to average net assets | 2.17% (7) | 1.32% |

---

(6) Not
annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Tactical Income Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Year Ended**<br>**June 30,**<br>**2018** |
| Net asset value, beginning of period/year | $8.66 | $9.71 | $9.13 | $9.83 | $9.60 | $9.95 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (1) | 0.06 | 0.04 | 0.04 | 0.06 | 0.20 | 0.19 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.21 | (0.98) | 0.55 | (0.69) | 0.22 | (0.33) |
| Total from investment operations | (0.15 | (0.94) | 0.59 | (0.63) | 0.42 | (0.14) |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  | (0.11) | (0.01) | (0.07) | (0.19) | (0.21) |
| Total distributions |  | (0.11) | (0.01) | (0.07) | (0.19) | (0.21) |
| Net asset value, end of period/year | $8.51 | $8.66 | $9.71 | $9.13 | $9.83 | $9.60 |
| Total return (2) | (1.68 | (9.74)% | 6.47% | (6.50)% | 4.47% | (1.41)% |
| Net assets, at end of period/year (000s) | $965 | $1199 | $1384 | $3416 | $3493 | $4861 |
| Ratio of expenses to average net assets (3) | 2.62 | 2.53% (5) | 2.45% | 2.36% | 2.29% | 2.29% |
| Ratio of net investment income to average net assets (34) | 1.37 | 0.46% (5) | 0.39% | 0.64% | 2.10% | 1.95% |
| Portfolio Turnover Rate | 302 | 545% | 205% | 221% | 175% | 274% |

---

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

(2) Total
returns are historical in nature and exclude the effect of applicable sales charges and assumes reinvestment of dividends and capital
gain distributions.

(3) The
ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund's proportionate share of income and
expenses of underlying investment companies in which the Fund invests.

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

(5) Ratios
including fees waived by the advisor for investments in affiliates.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net expenses to average net assets | 2.61% (7) | 2.51% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net investment income to average net assets | 1.38% (7) | 0.48% |

---

(6) Not
annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Tactical Income Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Year Ended**<br>**June 30,**<br>**2018** |
| Net asset value, beginning of period/year | $8.72 | $9.74 | $9.20 | $9.93 | $9.71 | $10.06 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (1) | 0.11 | 0.14 | 0.14 | 0.18 | 0.30 | 0.30 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.20 | (0.99) | 0.55 | (0.72) | 0.23 | (0.34) |
| Total from investment operations | (0.09 | (0.85) | 0.69 | (0.54) | 0.53 | (0.04) |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.03 | (0.17) | (0.15) | (0.19) | (0.31) | (0.31) |
| Total distributions | (0.03 | (0.17) | (0.15) | (0.19) | (0.31) | (0.31) |
| Net asset value, end of period/year | $8.60 | $8.72 | $9.74 | $9.20 | $9.93 | $9.71 |
| Total return (2) | (1.05 | (8.87)% | 7.50% | (5.54)% | 5.56% | (0.47)% |
| Net assets, at end of period/year (000s) | $40516 | $42439 | $54631 | $77885 | $135463 | $133392 |
| Ratio of expenses to average net assets (3) | 1.62 | 1.53% (5) | 1.45% | 1.36% | 1.29% | 1.29% |
| Ratio of net investment income to average net assets (34) | 2.45 | 1.52% (5) | 1.43% | 1.80% | 3.03% | 3.01% |
| Portfolio Turnover Rate | 302 | 545% | 205% | 221% | 175% | 274% |

---

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

(2) Total
returns are historical in nature and assumes reinvestment of dividends and capital gain distributions.

(3) The
ratios of expenses and net investment income to average net assets do not reflect the Fund's proportionate share of income and expenses
of underlying investment companies in which the Fund invests.

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

(5) Ratios
including fees waived by the advisor for investments in affiliates.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net expenses to average net assets | 1.61% (7) | 1.51% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net investment income to average net assets | 2.46% (7) | 1.54% |

---

(6) Not
Annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Dividend Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Year Ended**<br>**June 30,**<br>**2018** |
| Net asset value, beginning of period/year | $8.56 | $9.15 | $7.01 | $8.43 | $11.60 | $11.75 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (1) | 0.05 | 0.15 | 0.13 | 0.13 | 0.20 | 0.28 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | 0.01 | (0.58) | 2.35 | (1.41 | (0.79 | (0.07 |
| Total from investment operations | 0.06 | (0.43) | 2.48 | (1.28 | (0.59 | 0.21 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.04) | (0.16) | (0.34) | (0.14) | (0.18) | (0.27) |
| &nbsp;&nbsp;&nbsp;Net realized gains |  |  |  |  | (2.40 | (0.09 |
| Total distributions | (0.04 | (0.16) | (0.34) | (0.14 | (2.58 | (0.36 |
| Paid-in-Capital From Redemption Fees (1) |  |  |  | 0.00 | 0.00 | 0.00 |
| Net asset value, end of period/year | $8.58 | $8.56 | $9.15 | $7.01 | $8.43 | $11.60 |
| Total return (3) | 0.75 | (4.82)% | 36.34% | (15.48 | (5.82 | 1.65 |
| Net assets, at end of period/year (000s) | $10282 | $11406 | $14488 | $17009 | $56578 | $124630 |
| Ratio of expenses to average net assets (5) | 2.02 | 1.81% | 1.83% | 1.66 | 1.52 | 1.43 |
| Ratio of net investment income to average net assets (56) | 1.12 | 1.66% | 1.65% | 1.70 | 1.97 | 2.27 |
| Portfolio Turnover Rate | 92 | 156% | 309% | 253 | 319 | 265 |

---

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

(2) Amount
 is less than $0.01.

(3) Total
 returns are historical in nature and exclude the effect of applicable sales charges and assumes
 reinvestment of dividends and capital gain distributions.

(4) Includes
 adjustments in accordance with accounting principles generally accepted in the United States
 and, consequently, the net asset value for financial reporting purposes and the returns based
 upon those net asset values may differ from the net asset values and returns for shareholder
 transactions.

(5) The
 ratios of expenses and net investment income to average net assets do not reflect the Fund's
 proportionate share of income and expenses of underlying investment companies in which the
 Fund invests.

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

(7) Not
 Annualized.

(8) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Dividend Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Year Ended**<br>**June 30,**<br>**2018** |
| Net asset value, beginning of period/year | $8.49 | $9.08 | $6.94 | $8.38 | $11.51 | $11.67 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (1) | 0.02 | 0.08 | 0.07 | 0.07 | 0.12 | 0.18 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | 0.01 | (0.58) | 2.33 | (1.41) | (0.77) | (0.07 |
| Total from investment operations | 0.03 | (0.50) | 2.40 | (1.34) | (0.65) | 0.11 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.01) | (0.09) | (0.26) | (0.10) | (0.08) | (0.18) |
| &nbsp;&nbsp;&nbsp;Net realized gains |  |  |  |  | (2.40) | (0.09 |
| Total distributions | (0.01 | (0.09) | (0.26) | (0.10) | (2.48) | (0.27 |
| Paid-in-Capital From Redemption Fees (1) |  |  |  |  |  | 0.00 |
| Net asset value, end of period/year | $8.51 | $8.49 | $9.08 | $6.94 | $8.38 | $11.51 |
| Total return (3) | 0.36 | (5.58)% | 35.42% | (16.15)% | (6.43)% | 0.85 |
| Net assets, at end of period/year (000s) | $5994 | $6729 | $9174 | $12788 | $32900 | $52777 |
| Ratio of expenses to average net assets (5) | 2.77 | 2.56% | 2.58% | 2.41% | 2.27% | 2.18 |
| Ratio of net investment income to average net assets (5) (6) | 0.37 | 0.90% | 0.89% | 0.96% | 1.20% | 1.52 |
| Portfolio Turnover Rate | 92 | 156% | 309% | 253% | 319% | 265 |

---

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

(2) Amount
 is less than $0.01.

(3) Total
 returns are historical in nature and exclude the effect of applicable sales charges and assumes
 reinvestment of dividends and capital gain distributions.

(4) Includes
 adjustments in accordance with accounting principles generally accepted in the United States
 and, consequently, the net asset value for financial reporting purposes and the returns based
 upon those net asset values may differ from the net asset values and returns for shareholder
 transactions.

(5) The
 ratios of expenses and net investment income (loss) to average net assets do not reflect
 the Fund's proportionate share of income and expenses of underlying investment companies
 in which the Fund invests.

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

(7) Not
 annualized.

(8) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Dividend Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Year Ended**<br>**June 30,**<br>**2018** |
| Net asset value, beginning of period/year | $8.52 | $9.11 | $6.99 | $8.39 | $11.60 | $11.76 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (1) | 0.06 | 0.18 | 0.15 | 0.15 | 0.22 | 0.31 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | 0.02 | (0.59) | 2.34 | (1.40) | (0.78 | (0.08 |
| Total from investment operations | 0.08 | (0.41) | 2.49 | (1.25) | (0.56 | 0.23 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.06) | (0.18) | (0.37) | (0.15) | (0.25) | (0.30) |
| &nbsp;&nbsp;&nbsp;Net realized gains |  |  |  |  | (2.40 | (0.09 |
| Total distributions | (0.06) | (0.18) | (0.37) | (0.15) | (2.65 | (0.39 |
| Paid-in-Capital From Redemption Fees (1) |  |  |  |  | 0.00 | 0.00 |
| Net asset value, end of period/year | $8.54 | $8.52 | $9.11 | $6.99 | $8.39 | $11.60 |
| Total return (3) | 0.89% (7) | (4.60)% | 36.60% | (15.19)% | (5.53 | 1.84 |
| Net assets, at end of period/year (000s) | $21930 | $19314 | $24408 | $28164 | $205128 | $567854 |
| Ratio of expenses to average net assets (5) | 1.77% (8) | 1.56% | 1.58% | 1.41% | 1.27 | 1.18 |
| Ratio of net investment income to average net assets (56) | 1.35% (8) | 1.90% | 1.89% | 1.95% | 2.20 | 2.51 |
| Portfolio Turnover Rate | 92% (7) | 156% | 309% | 253% | 319 | 265 |

---

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

(2) Amount
 is less than $0.01.

(3) Total
 returns are historical in nature and assumes reinvestment of dividends and capital gain distributions.

(4) Includes
 adjustments in accordance with accounting principles generally accepted in the United States
 and, consequently, the net asset value for financial reporting purposes and the returns based
 upon those net asset values may differ from the net asset values and returns for shareholder
 transactions.

(5) The
 ratios of expenses and net investment income to average net assets do not reflect the Fund's
 proportionate share of income and expenses of underlying investment companies in which the
 Fund invests.

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

(7) Not
 annualized.

(8) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Momentum Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Year Ended**<br>**June 30,**<br>**2018** |
| Net asset value, beginning of period/year | $10.49 | $12.32 | $7.76 | $10.38 | $10.63 | $10.20 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) (2) | (0.03) | (0.15) | (0.10) | (0.06) | 0.00 | (0.01) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.59) | (1.68) | 4.66 | (2.11 | 0.33 | 0.94 |
| Total from investment operations | (0.62) | (1.83) | 4.56 | (2.17 | 0.33 | 0.93 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  |  |  |  | (0.01) |  |
| &nbsp;&nbsp;&nbsp;Net realized gains |  |  |  | (0.45) | (0.57) | (0.50) |
| &nbsp;&nbsp;&nbsp;Return of capital |  |  |  | (0.00 |  |  |
| Total distributions |  |  |  | (0.45 | (0.58 | (0.50 |
| Paid-in-Capital From Redemption Fees (2) |  |  |  |  | 0.00 | 0.00 |
| Net asset value, end of period/year | $9.87 | $10.49 | $12.32 | $7.76 | $10.38 | $10.63 |
| Total return (4) | (5.91)% (6) | (14.85)% | 58.76% | (21.99 | 3.36 | 8.99 |
| Net assets, at end of period/year (000s) | $969 | $1088 | $1555 | $1314 | $5610 | $3420 |
| Ratio of expenses to average net assets before fee waivers/recapture (10) | 2.99% (7) | 2.64% | 2.46% | 1.97 | 1.76 | 1.86 |
| Ratio of net expenses after waiver/recapture to average net assets (10) | 2.25% (7) | 2.25% | 2.25% | 1.97 | 1.76 | 1.91 |
| Ratio of net investment income (loss) to average net assets (910) | (0.61)% (7) | (1.23)% | (0.98)% | (0.56) | 0.03 | (0.09) |
| Portfolio Turnover Rate | 210% (6) | 222% | 400% | 428 | 571 | 484 |

---

(1) The
 Fund commenced operations December 23, 2016.

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

(3) Amount
 is less than $0.01.

(4) Total
 returns are historical in nature and assumes reinvestment of dividends and capital gain distributions.

(5) For
 the period ended June 30, 2018, 0.31% of the Fund's total return consisted of a reimbursement
 by a related party. Excluding this item, total return would have been 8.68%.

(6) Not
 annualized.

(7) Annualized.

(8) Represents
 the ratio of expenses to average net assets inclusive of the Advisor's recapture of waived/reimbursed
 fees from prior periods.

(9) 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.

(10) The
 ratios of expenses and net investment income to average net assets do not reflect the Fund's
 proportionate share of income and expenses of underlying investment companies in which the
 Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Momentum Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Year Ended**<br>**June 30,**<br>**2018** |
| Net asset value, beginning of period/year | $10.06 | $11.90 | $7.55 | $10.19 | $10.51 | $10.17 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment loss (2) | (0.07) | (0.22) | (0.17) | (0.13) | (0.07) | (0.09) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.56) | (1.62) | 4.52 | (2.06 | 0.32 | 0.93 |
| Total from investment operations | (0.63) | (1.84) | 4.35 | (2.19 | 0.25 | 0.84 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gains |  |  |  | (0.45) | (0.57) | (0.50) |
| &nbsp;&nbsp;&nbsp;Return of capital |  |  |  | (0.00 |  |  |
| Total distributions |  |  |  | (0.45 | (0.57) | (0.50 |
| Paid-in-Capital From Redemption Fees (2) |  |  |  |  |  | 0.00 |
| Net asset value, end of period/year | $9.43 | $10.06 | $11.90 | $7.55 | $10.19 | $10.51 |
| Total return (4) | (6.26)% (7) | (15.46)% | 57.62% | (22.61 | 2.64% | 8.11 |
| Net assets, at end of period/year (000s) | $577 | $796 | $1205 | $2223 | $3828 | $1845 |
| Ratio of expenses to average net assets before fee waivers (10) | 3.74% (8) | 3.39% | 3.21% | 2.72 | 2.51% | 2.66 |
| Ratio of net expenses after waiver to average net assets (10) | 3.00% (8) | 3.00% | 3.00% | 2.72 | 2.51% | 2.66 |
| Ratio of net investment loss to average net assets (910) | (1.36)% (8) | (1.94)% | (1.76)% | (1.35) | (0.71)% | (0.89) |
| Portfolio Turnover Rate | 210% (7) | 222% | 400% | 428 | 571% | 484 |

---

(1) The
 Fund commenced operations December 23, 2016.

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

(3) Amount
 is less than $0.01.

(4) Total
 returns are historical in nature and assumes reinvestment of dividends and capital gain distributions.

(5) For
 the period ended June 30, 2018, 0.31% of the Fund's total return consisted of a reimbursement
 by a related party. Excluding this item, total return would have been 7.80%.

(6) Includes
 adjustments in accordance with accounting principles generally accepted in the United States
 and, consequently, the net asset value for financial reporting purposes and the returns based
 upon those net asset values may differ from the net asset values and returns for shareholder
 transactions.

(7) Not
 annualized.

(8) Annualized.

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

(10) The
 ratios of expenses and net investment income to average net assets do not reflect the Fund's
 proportionate share of income and expenses of underlying investment companies in which the
 Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Momentum Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Year Ended**<br>**June 30,**<br>**2018** |
| Net asset value, beginning of period/year | $10.62 | $12.44 | $7.82 | $10.42 | $10.67 | $10.21 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) (2) | (0.02) | (0.12) | (0.07) | (0.03) | 0.03 | 0.00 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.60) | (1.70) | 4.69 | (2.12 | 0.32 | 0.96 |
| Total from investment operations | (0.62) | (1.82) | 4.62 | (2.15 | 0.35 | 0.96 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  |  |  |  | (0.03) | (0.00) |
| &nbsp;&nbsp;&nbsp;Net realized gains |  |  |  | (0.45) | (0.57) | (0.50) |
| &nbsp;&nbsp;&nbsp;Return of capital |  |  |  | (0.00 |  |  |
| Total distributions |  |  |  | (0.45 | (0.60) | (0.50 |
| Paid-in-Capital From Redemption Fees (2) |  |  |  |  |  | 0.00 |
| Net asset value, end of period/year | $10.00 | $10.62 | $12.44 | $7.82 | $10.42 | $10.67 |
| Total return (4) | (5.84)% (6) | (14.63)% | 59.08% | (21.70 | 3.53% | 9.30 |
| Net assets, at end of period/year (000s) | $8284 | $9361 | $13344 | $14110 | $42194 | $32927 |
| Ratio of expenses to average net assets before fee waivers/recapture (10) | 2.74% (7) | 2.39% | 2.21% | 1.72 | 1.51% | 1.62 |
| Ratio of net expenses after waiver/recapture to average net assets (10) | 2.00% (7) | 2.00% | 2.00% | 1.72 | 1.51% | 1.66 |
| Ratio of net investment income (loss) to average net assets (910) | (0.36)% (7) | (0.95)% | (0.74)% | (0.31) | 0.28% | 0.04 |
| Portfolio Turnover Rate | 210% (6) | 222% | 400% | 428 | 571% | 484 |

---

(1) The
 Fund commenced operations December 23, 2016.

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

(3) Amount
 is less than $0.01.

(4) Total
 returns are historical in nature and assumes reinvestment of dividends and capital gain distributions.

(5) For
 the period ended June 30, 2018, 0.30% of the Fund's total return consisted of a reimbursement
 by a related party. Excluding this item, total return would have been 9.00%.

(6) Not
 annualized.

(7) Annualized.

(8) Represents
 the ratio of expenses to average net assets inclusive of the Advisor's recapture of waived/reimbursed
 fees from prior periods.

(9) 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.

(10) The
 ratios of expenses and net investment income/(loss) to average net assets do not reflect
 the Fund's proportionate share of income and expenses of underlying investment companies
 in which the Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Risk Managed Income Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Period Ended**<br>**June 30,**<br>**2018 (1)** |
| Net asset value, beginning of period/year | $9.82 | $10.14 | $9.53 | $9.93 | $9.88 | $10.00 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (2) | 0.08 | 0.17 | 0.25 | 0.30 | 0.33 | 0.12 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.18 | (0.38) | 0.63 | (0.51) | 0.02 | (0.10 |
| Total from investment operations | (0.10 | (0.21) | 0.88 | (0.21) | 0.35 | 0.02 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.04) | (0.11) | (0.27) | (0.19) | (0.30) | (0.14) |
| Total distributions | (0.04 | (0.11) | (0.27) | (0.19) | (0.30) | (0.14 |
| Paid-in-Capital From Redemption Fees (2) |  |  |  |  |  | 0.00 |
| Net asset value, end of period/year | $9.68 | $9.82 | $10.14 | $9.53 | $9.93 | $9.88 |
| Total return (4) | (0.96 | (2.14)% | 9.25% | (2.14)% | 3.61% | 0.17 |
| Net assets, at end of period/year (000s) | $107 | $20 | $106 | $97 | $265 | $46 |
| Ratio of expenses to average net assets before fee waivers/recapture (8) | 1.32 | 1.32% | 1.41% | 1.40% | 1.33% | 2.38 |
| Ratio of net expenses to average net assets (8) | 1.32 | 1.32% | 1.41% | 1.40% | 1.33% | 2.25 |
| Ratio of net investment income to average net assets (78) | 1.64 | 1.66% | 2.50% | 3.00% | 3.27% | 2.31 |
| Portfolio Turnover Rate | 807 | 358% | 148% | 412% | 209% | 9 |

---

(1) The
 Fund commenced operations December 27, 2017.

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

(3) Amount
 is less than $0.01.

(4) Total
 returns are historical in nature and assumes reinvestment of dividends and capital gain distributions.

(5) Not
 annualized.

(6) Annualized.

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

(8) The
 ratios of expenses and net investment income to average net assets do not reflect the Fund's
 proportionate share of income and expenses of underlying investment companies in which the
 Fund invests.

(9) Actual
 Net Assets.

(10) Includes
 adjustments in accordance with accounting principles generally accepted in the United States
 and, consequently, the net asset value for financial reporting purposes and the returns based
 upon those net asset values (10) may differ from the net asset value and returns for shareholder
 transactions.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Risk Managed Income Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Period Ended**<br>**June 30,**<br>**2018 (1)** |
| Net asset value, beginning of period/year | $9.71 | $10.04 | $9.42 | $9.86 | $9.79 | $10.00 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (2) | 0.05 | 0.06 | 0.18 | 0.15 | 0.25 | 0.07 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.23) | (0.34) | 0.61 | (0.44) | 0.08 | (0.08 |
| Total from investment operations | (0.18) | (0.28) | 0.79 | (0.29) | 0.33 | (0.01 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.06) | (0.05) | (0.17) | (0.15) | (0.26) | (0.20 |
| Total distributions | (0.06) | (0.05) | (0.17) | (0.15) | (0.26) | (0.20 |
| Net asset value, end of period/year | $9.47 | $9.71 | $10.04 | $9.42 | $9.86 | $9.79 |
| Total return (3) | (1.82)% (4) | (2.84)% | 8.58% (9) | (2.94)% | 3.36% | (0.11 |
| Net assets, at end of period/year (000s) | $648 | $679 | $722 | $531 | $398 | $100 |
| Ratio of expenses to average net assets before fee waivers/recapture (8) | 2.07% (6) | 2.07% | 2.16% | 2.15% | 2.08% | 3.13 |
| Ratio of net expenses to average net assets (8) | 2.07% (6) | 2.07% | 2.16% | 2.15% | 2.08% | 3.00 |
| Ratio of net investment income to average net assets (78) | 1.11% (6) | 0.58% | 1.77% | 1.57% | 2.55% | 1.33 |
| Portfolio Turnover Rate | 807% (4) | 358% | 148% | 412% | 209% | 9 |

---

(1) The
 Fund commenced operations December 27, 2017.

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

(3) Total
 returns are historical in nature and assumes reinvestment of dividends and capital gain distributions.

(4) Not
 annualized.

(5) Not
 in 000's.

(6) Annualized.

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

(8) The
 ratios of expenses and net investment income to average net assets do not reflect the Fund's
 proportionate share of income and expenses of underlying investment companies in which the
 Fund invests.

(9) Includes
 adjustments in accordance with accounting principles generally accepted in the United States
 and, consequently, the net asset value for financial reporting purposes and the returns based
 upon those net asset values may differ from the net asset value and returns for shareholder
 transactions.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Risk Managed Income Fund** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period/Year |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **Six Months Ended**<br>**December 31,**<br>**2022**<br>**(Unaudited)** |<br>**Year Ended**<br>**June 30,**<br>**2022** |<br>**Year Ended**<br>**June 30,**<br>**2021** |<br>**Year Ended**<br>**June 30,**<br>**2020** |<br>**Year Ended**<br>**June 30,**<br>**2019** |<br>**Period Ended**<br>**June 30,**<br>**2018 (1)** |
| Net asset value, beginning of period/year | $9.79 | $10.12 | $9.51 | $9.97 | $9.92 | $10.00 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (2) | 0.10 | 0.14 | 0.28 | 0.27 | 0.34 | 0.17 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments | (0.23) | (0.34) | 0.63 | (0.46) | 0.05 | (0.10 |
| Total from investment operations | (0.13) | (0.20) | 0.91 | (0.19) | 0.39 | 0.07 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.11) | (0.13) | (0.30) | (0.27) | (0.34 | (0.15 |
| Total distributions | (0.11) | (0.13) | (0.30) | (0.27) | (0.34 | (0.15 |
| Paid-in-Capital From Redemption Fees (2) |  |  |  |  | 0.00 | 0.00 |
| Net asset value, end of period/year | $9.55 | $9.79 | $10.12 | $9.51 | $9.97 | $9.92 |
| Total return (4) | (1.30)% (5) | (1.96)% | 9.61% | (1.93)% | 3.93 | 0.66 |
| Net assets, at end of period/year (000s) | $77209 | $87675 | $63391 | $56331 | $79514 | $72373 |
| Ratio of expenses to average net assets before fee waivers (8) | 1.07% (6) | 1.07% | 1.16% | 1.15% | 1.08 | 1.15 |
| Ratio of net expenses to average net assets (8) | 1.07% (6) | 1.07% | 1.16% | 1.15% | 1.08 | 1.13 |
| Ratio of net investment income to average net assets (78) | 2.11% (6) | 1.37% | 2.76% | 2.79% | 3.41 | 3.40 |
| Portfolio Turnover Rate | 807% (5) | 358% | 148% | 412% | 209 | 9 |

---

(1) The
 Fund commenced operations December 27, 2017.

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

(3) Amount
 is less than $0.01.

(4) Total
 returns are historical in nature and assumes reinvestment of dividends and capital gain distributions.

(5) Not
 annualized.

(6) Annualized.

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

(8) The
 ratios of expenses and net investment income to average net assets do not reflect the Fund's
 proportionate share of income and expenses of underlying investment companies in which the
 Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited)** |
| **December 31, 2022** |

---

**1.** **ORGANIZATION** 

The Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, Donoghue Forlines Risk Managed Income Fund, Donoghue Forlines Momentum Fund and Donoghue Forlines Tactical Allocation Fund (each a "Fund" and collectively the "Funds") each are a diversified series of shares of beneficial interest of Northern Lights Fund Trust (the "Trust"), a trust organized under the laws of the State of Delaware on January 19, 2005. The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Donoghue Forlines Tactical Income Fund Class A and Class I shares commenced operations on September 14, 2010. The Donoghue Forlines Dividend Fund Class A and Class I shares commenced operations on November 7, 2013. Class C shares of both the Donoghue Forlines Tactical Income Fund and Donoghue Forlines Dividend Fund commenced operations on November 25, 2014. Class A, Class C and Class I shares of the Donoghue Forlines Risk Managed Income Fund commenced operations on December 27, 2017. Class A, Class C and Class I shares of the Donoghue Forlines Momentum Fund commenced operations on December 23, 2016. The Donoghue Forlines Tactical Allocation Fund Class A, Class C and Class I shares commenced operations on April 6, 2018.

The Funds' investment objectives are as follows:

**Donoghue Forlines Tactical Allocation Fund –** long-term capital appreciation.

**Donoghue Forlines Tactical Income Fund** – total return from income and capital appreciation with capital preservation as a secondary objective.

**Donoghue Forlines Dividend Fund** – total return from dividend income and capital appreciation. Capital preservation is a secondary objective of the Fund.

**Donoghue Forlines Momentum Fund** – capital growth with a secondary objective of generating income.

**Donoghue Forlines Risk Managed Income Fund** – total return from income and capital appreciation with capital preservation as a secondary objective.

Each Fund currently offers three classes of shares: Class A shares, Class C shares and Class I shares. Class A shares are offered at net asset value plus a maximum sales charge of 5.00%. Class C shares and Class I shares are offered at net asset value. Each class of shares of the Funds have identical rights and privileges except with respect to arrangements pertaining to shareholder servicing or distribution, class-related expenses, voting rights on matters affecting a single class of shares, and the exchange privilege of each class of shares. The Funds' share classes differ in the fees and expenses charged to shareholders and minimum investment amounts. 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. Class specific expenses are allocated to that share class.

**2.** **SIGNIFICANT ACCOUNTING POLICIES** 

The following is a summary of significant accounting policies followed by the Funds in 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 in conformity with GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standard Codification Topic 946 "Financial Services – Investment Companies" including Accounting Standards Update 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. 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. 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")

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

based on methods which 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". A Fund 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 Fund's holding. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost.

**Valuation of Underlying Funds** - The Funds may invest in portfolios of open-end or closed- end investment companies (the "Underlying Funds"). 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 to the methods established by the board of directors of the Underlying Funds.

Open-end investment companies are valued at their respective net asset values as reported by such investment companies. 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 net asset value 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.

The Funds 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 the Adviser as its valuation designee (the "Valuation Designee"). The Board may also enlist third party consultants such a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist the Valuation Designee in determining a security-specific fair value. The Board is responsible for reviewing and approving fair value methodologies utilized by the Valuation Designee, which approval shall be based upon whether the Valuation Designee followed the valuation procedures established by the Board.

**Fair Valuation Process –** The applicable investments are valued by the Valuation Designee pursuant to valuation procedures established by the Board. 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 Valuation Designee, the prices or values available do not represent the fair value of the instrument; factors which may cause the Valuation Designee to make such a judgment include, but are not limited to, the following: only a bid price or an asked price is available; the spread between bid and asked 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; and (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 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 a current bid from such independent dealers or other independent parties is unavailable, the Valuation Designee 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 Fund's 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.

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

Each Fund utilizes various methods to measure the fair value of all of its 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 on 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.

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 December 31, 2022 for the Funds' investments measured at fair value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** |
| **Assets \*** | Level 1 | Level 2 | Level 3 | Total |
| Exchange-Traded Funds | $21411084 | $— | $— | $21411084 |
| Collateral For Securities Loaned | 1739175 |  |  | 1739175 |
| Money Market Fund | 7538791 |  |  | 7538791 |
| Total | $30689050 | $— | $— | $30689050 |
| **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** |
| **Assets \*** | Level 1 | Level 2 | Level 3 | Total |
| Exchange-Traded Funds | $20864907 | $— | $— | $20864907 |
| Open End Funds | 2225975 |  |  | 2225975 |
| Collateral For Securities Loaned | 1557650 |  |  | 1557650 |
| Money Market Fund | 21565740 |  |  | 21565740 |
| Total | $46214272 | $— | $— | $46214272 |
| **Donoghue Forlines Dividend Fund** | **Donoghue Forlines Dividend Fund** | **Donoghue Forlines Dividend Fund** | **Donoghue Forlines Dividend Fund** | **Donoghue Forlines Dividend Fund** |
| **Assets \*** | Level 1 | Level 2 | Level 3 | Total |
| Common Stock | $37562096 | $— | $— | $37562096 |
| Collateral For Securities Loaned | 5920882 |  |  | 5920882 |
| Money Market Funds | 681456 |  |  | 681456 |
| Total | $44164434 | $— | $— | $44164434 |

---

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Donoghue Forlines Momentum Fund** | **Donoghue Forlines Momentum Fund** | **Donoghue Forlines Momentum Fund** | **Donoghue Forlines Momentum Fund** | **Donoghue Forlines Momentum Fund** |
| **Assets \*** | Level 1 | Level 2 | Level 3 | Total |
| Common Stock | $9754992 | $— | $— | $9754992 |
| Collateral For Securities Loaned | 1298109 |  |  | 1298109 |
| Money Market Fund | 81017 |  |  | 81017 |
| Total | $11134118 | $— | $— | $11134118 |
| **Donoghue Forlines Risk Managed Income Fund** | **Donoghue Forlines Risk Managed Income Fund** | **Donoghue Forlines Risk Managed Income Fund** | **Donoghue Forlines Risk Managed Income Fund** | **Donoghue Forlines Risk Managed Income Fund** |
| **Assets \*** | Level 1 | Level 2 | Level 3 | Total |
| Open End Funds | $135973 | $— | $— | $135973 |
| Money Market Fund | 77891180 |  |  | 77891180 |
| Total | $78027153 | $— | $— | $78027153 |

---

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

\* Refer to the Schedules of Investments for security or industry classifications.

**Security Transactions and Related Income –** Security transactions are accounted for on the trade date. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. The accounting records are maintained in U.S. dollars.

**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. ETFs trade like common stock and represent a fixed portfolio of securities. The Funds may purchase ETFs to gain exposure to a portion of the U.S. or a foreign market. The risks of owning ETFs generally reflect the risks of owning the underlying securities they are designed to track, although a potential lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

**Exchange Traded Notes –** The Funds may invest in exchange traded notes ("ETNs"). ETNs are a type of debt security that is linked to the performance of underlying securities. The risks of owning an ETN generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETN could result in it being more volatile. Additionally, ETNs have fees and expenses that reduce their value.

**Dividends and Distributions to Shareholders –** Dividends from net investment income, if any, are declared and paid quarterly. Distributable net realized capital gains, if any, are declared and distributed annually. Dividends from net investment income and distributions from net realized gains are recorded on the ex -dividend date and are determined in accordance with federal 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 net asset value per share of the Funds.

**Federal Income Tax –** The Funds intend to comply with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of their taxable income and net realized gains to shareholders. Therefore, no federal income tax provisions are 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 June 30, 2020 - 2022, or expected to be taken in the Funds' June 30, 2023 tax returns. The Funds identify their major tax jurisdictions as U.S. federal and Ohio, 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.

**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.

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 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 risk of loss due to these warranties and indemnities appears to be remote.

**3.** **INVESTMENT TRANSACTIONS** 

For the six months ended December 31, 2022, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments were as follows:

---

| | | |
|:---|:---|:---|
|  | Purchases | Sales |
| Donoghue Forlines Tactical Allocation Fund | $38489785 | $45298479 |
| Donoghue Forlines Tactical Income Fund | 83260146 | 85013837 |
| Donoghue Forlines Dividend Fund | 33823823 | 33311050 |
| Donoghue Forlines Momentum Fund | 22366925 | 23060927 |
| Donoghue Forlines Risk Managed Income Fund | 99440468 | 97107760 |

---

**4.** **INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES** 

Donoghue Forlines LLC serves as the Funds' investment advisor (the "Advisor").

Pursuant to investment advisory agreements 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. As compensation for its services and the related expenses borne by the Advisor, the Donoghue Tactical Income Fund, Donoghue Forlines Dividend Fund and Donoghue Forlines Momentum Fund pay the Advisor an investment advisory fee, computed and accrued daily and paid monthly, at an annual rate of 1.00% of the respective Fund's average daily net assets. As compensation for its services and the related expenses borne by the Advisor, the Donoghue Forlines Risk Managed Income Fund pays the Advisor an investment advisory fee, computed and accrued daily and paid monthly, at an annual rate of 0.65% of the Fund's average daily net assets. As compensation for its services and the related expenses borne by the Advisor, Donoghue Forlines Tactical Allocation Fund pays the Advisor an investment advisory fee, computed and accrued daily and paid monthly, at an annual rate of 0.75% of the Fund's average daily net assets. For the six months ended December 31, 2022, the Advisor earned fees as follows:

---

| | |
|:---|:---|
|  | Management Fee |
| Donoghue Forlines Tactical Allocation Fund | $124360 |
| Donoghue Forlines Tactical Income Fund | 234182 |
| Donoghue Forlines Dividend Fund | 183541 |
| Donoghue Forlines Momentum Fund | 54789 |
| Donoghue Forlines Risk Managed Income Fund | 288291 |

---

The Advisor has contractually agreed to waive all or part of its management fees and/or make payments to limit the expenses of the Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, Donoghue Forlines Risk Managed Income Fund and Donoghue Forlines Momentum Fund (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; 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 October 31, 2023, so that the total annual operating expenses do not exceed 2.25%, 3.00% and 2.00% of the average daily net assets of Class A, Class C and Class I shares, respectively, of each of the Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, Donoghue Forlines Donoghue Forlines Risk Managed Income Fund, and the Donoghue Forlines Momentum Fund. The total operating expenses do not exceed 1.45%, 2.20% and 1.20% of the average daily net assets of Class A, Class C and Class I shares, respectively, of the Donoghue

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

Forlines Tactical Allocation Fund. Contractual waivers and expense payments may be recouped by the Advisor from the Funds, to the extent that overall expenses fall below the expense limitation, within three years of the reimbursement.

During the six months ended December 31, 2022 the following funds waived fees pursuant to the expense limitation agreement.

---

| | |
|:---|:---|
| **Fund** | **Fees Waived** |
| Donoghue Forlines Tactical Allocation Fund | $44089 |
| Donoghue Forlines Momentum Fund | 40508 |

---

Fees waived or expenses reimbursed may be recouped by the Advisor from the Funds for a period up to three years from the date the fee or expense was waived or reimbursed. However, no recoupment payment will be made if it would result in the Funds exceeding the contractual expense limitation described above. The following table shows the remaining waived expenses subject to potential recovery which expire in:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund** | **June 30, 2023** | **June 30, 2024** | **June 30, 2025** | **Total** |
| Donoghue Forlines Tactical Allocation Fund | $– $| 6690 | $35277 | $41967 |
| Donoghue Forlines Momentum Fund | – | 35648 | 57849 | 93497 |

---

Pursuant to an exemptive order, each Fund may invest a portion of its assets in other funds managed by the Advisor. During the six months ended December 31, 2022 the Donoghue Forlines Tactical Income Fund and Donoghue Forlines Tactical Allocation Fund invested in the Donoghue Forlines Risk Managed Innovation ETF and the Donoghue Forlines Yield Enhanced Real Asset ETF which are sub-advised by the Advisor. The Advisor waived a portion of its advisory fee based on the Fund's investment in the above-mentioned funds as follows:

---

| | |
|:---|:---|
| **Fund** | **Fees Waived** |
| Donoghue Forlines Tactical Allocation Fund | $6506 |
| Donoghue Forlines Tactical Income Fund | 2249 |

---

The fees waived shown in the table above are not subject to recapture.

Distributor – The distributor of the Funds is Northern Lights Distributors, LLC (the "Distributor" or "NLD"). The Board has adopted, on behalf of the Funds, the Trust's Master Distribution and Shareholder Servicing Plan (the "Plan"), as amended, pursuant to Rule 12b-1 under the Investment Company Act of 1940, to pay for certain distribution activities and shareholder services. Under the Plan, each Fund may pay 0.25% per year of the average daily net assets of Class A shares and 1.00% per year of the average daily net assets of Class C shares for such distribution and shareholder service activities. For the six months ended December 31, 2022 the Funds incurred distribution fees as follows:

---

| | | |
|:---|:---|:---|
|  | Class A | Class C |
| Donoghue Forlines Tactical Allocation Fund | $12755 | $3548 |
| Donoghue Forlines Tactical Income Fund | 4363 | 5356 |
| Donoghue Forlines Dividend Fund | 13904 | 31930 |
| Donoghue Forlines Momentum Fund | 1331 | 3350 |
| Donoghue Forlines Risk Managed Income Fund | 17 | 3346 |

---

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

The Distributor acts as the Funds' principal underwriter in a continuous public offering of the Funds' Class A, Class C and Class I shares. During the six months ended December 31, 2022 the Distributor received underwriter commissions as follows:

---

| | | |
|:---|:---|:---|
|  |<br>Underwriter<br>Commissions | Amount<br>Retained By<br>Principal Underwriter |
| Donoghue Forlines Tactical Allocation Fund | $135 | $22 |
| Donoghue Forlines Tactical Income Fund | 503 | 78 |
| Donoghue Forlines Dividend Fund | 4574 | 734 |
| Donoghue Forlines Momentum Fund |  |  |
| Donoghue Forlines Risk Managed Income Fund |  |  |

---

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

*<u>Ultimus Fund Solutions, LLC ("UFS")</u>*, 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.

*<u>Northern Lights Compliance Services, LLC ("NLCS")</u>*, 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.

*<u>Blu Giant, LLC ("Blu Giant")</u>*, 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.

**5.** **INVESTMENTS IN AFFILIATED COMPANIES** 

An affiliated company is a company in which a Fund has ownership of at least 5% of the voting securities. Companies that are affiliates at December 31, 2022 are noted in the Fund's Schedule of Investments. Transactions during the period with the companies that are affiliated or were affiliates at the beginning of the period are as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** |
|  |  |  |  |  | Net Change in |  |  |  |
|  | Fair Value |  |  |  | Unrealized |  | Dividend |  |
|  | Beginning of |  |  | Realized Gain | Appreciation/ | Fair Value End | Credited to | Shares End |
|  | Year | Purchases | Sales Proceeds | (Loss) | (Depreciation) | of Year | Income | of Year |
| Donoghue Forlines Yield Enhanced Real Asset ETF | 3929250 | 6005426 | (3940877) | (494953) | 370606 | 5869452 | 168655 | 229860 |
| FCF International Quality ETF | 3631257 | 8766 | (2123273) | (670596) | 526087 | 1372241 | 128504 | 54263 |
|  |  |  |  | $(1165549) | $896693 | $7241693 | $297159 |  |
| **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** |
|  |  |  |  |  | Net Change in |  |  |  |
|  | Fair Value |  |  |  | Unrealized |  | Dividend |  |
|  | Beginning of |  |  | Realized Gain | Appreciation/ | Fair Value End | Credited to | Shares End |
|  | Year | Purchases | Sales Proceeds | (Loss) | (Depreciation) | of Year | Income | of Year |
| Donoghue Forlines Dividend Fund Class I | $— | $2244201 | $— | $— | $(18226) | $2225975 | $8646 | 260653 |
| Donoghue Forlines Yield Enhanced Real Asset ETF | 4025383 | 3581886 | (4037294) | (520175) | 450984 | 3500784 | 100593 | 137098 |
|  |  |  |  | $(520175) | $432758 | $5726759 | $109239 |  |

---

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**6.** **SECURITIES LENDING** 

Under an agreement (the "Securities Lending Agreement") with U.S Bank N.A., the Funds can lend their portfolio securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. For each securities loan, the borrower shall transfer collateral in an amount determined by applying the margin to the market value of the loaned available securities (102% for same currency and 105% for cross currency). Collateral is invested in highly liquid, short-term instruments such as money market funds in accordance with the Funds' security lending procedures. The Funds continue to receive interest or dividends on the securities loaned. The Funds manage credit exposure arising from these lending transactions by, in appropriate circumstances, entering into master netting agreements and collateral agreements with third party borrowers that provide in the event of default (such as bankruptcy or a borrower's failure to pay or perform), the right to net a third- party borrower's rights and obligations under such agreement and liquidate and set off collateral against the net amount owed by the counterparty.

The following table is a summary of the Portfolios' securities loaned and related collateral which are subject to a netting agreement as of December 31, 2022:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Gross Amounts Not Offset in the Statement of Assets & Liabilities | Gross Amounts Not Offset in the Statement of Assets & Liabilities | Gross Amounts Not Offset in the Statement of Assets & Liabilities | Gross Amounts Not Offset in the Statement of Assets & Liabilities | Gross Amounts Not Offset in the Statement of Assets & Liabilities | Gross Amounts Not Offset in the Statement of Assets & Liabilities | Gross Amounts Not Offset in the Statement of Assets & Liabilities |
|  |  | **Gross Amounts** | **Net Amounts of** |  |  |  |
|  |  | **Offset in the** | **Assets Presented** |  |  |  |
|  |  | **Statements of** | **in the Statements** | **Financial** |  |  |
|  | **Gross Amounts of** | **Assets &** | **of Assets &** | **Instruments** | **Pledged Collateral** | **Net Amount of** |
| **<u>Assets:</u>** | **Recognized Assets** | **Liabilities** | **Liabilities** | **Pledged** | **Received \*** | **Assets** |
| **Donoghue Forlines Tactical Allocation Fund** | **Donoghue Forlines Tactical Allocation Fund** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Description: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities Loaned | $1680570 | $— | $1680570 | $— | $1680570 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | $1680570 | $— | $1680570 | $— | $1680570 | $— |
| **Donoghue Forlines Tactical Income Fund** | **Donoghue Forlines Tactical Income Fund** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Description: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities Loaned | $1525197 | $— | $1525197 | $— | $1525197 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | $1525197 | $— | $1525197 | $— | $1525197 | $— |
| **Donoghue Forlines Dividend Fund** | **Donoghue Forlines Dividend Fund** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Description: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities Loaned | $5747894 | $— | $5747894 | $— | $5747894 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | $5747894 | $— | $5747894 | $— | $5747894 | $— |
| **Donoghue Forlines Momentum Fund** | **Donoghue Forlines Momentum Fund** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Description: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities Loaned | $1268463 | $— | $1268463 | $— | $1268463 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | $1268463 | $— | $1268463 | $— | $1268463 | $— |

---

\* The amount is limited to the asset balance and accordingly, does not include excess collateral pledged.

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

The following table breaks out the holdings received as collateral as of December 31, 2022:

---

| | |
|:---|:---|
| **<u>Securities Lending Transactions</u>** |  |
| &nbsp;&nbsp;&nbsp;**Overnight and Continuous** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Donoghue Forlines Tactical Allocation Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mount Vernon Liquid Assets Portfolio, LLC. | $1739175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Donoghue Forlines Tactical Income Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mount Vernon Liquid Assets Portfolio, LLC. | $1557650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Donoghue Forlines Dividend Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mount Vernon Liquid Assets Portfolio, LLC. | $5920882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Donoghue Forlines Momentum Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mount Vernon Liquid Assets Portfolio, LLC. | $1298109 |

---

The fair value of the securities loaned for Donoghue Forlines Tactical Allocation Fund, Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, and Donoghue Forlines Momentum Fund totaled $1,680,570, $1,525,197, $5,747,894, and $1,268,463, at December 31, 2022, respectively. The securities loaned are noted in the Schedule of Investments. The fair value of the "Collateral for Securities Loaned" on the Schedule of Investments includes only cash collateral received and reinvested that totaled $1,739,175, $1,557,650, $5,920,882, and $1,298,109, for the Donoghue Forlines Tactical Allocation Fund, Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, and Donoghue Forlines Momentum Fund at December 31, 2022, respectively. This amount is offset by a liability recorded as "Securities Lending Collateral" on the Statements of Assets and Liabilities.

**7.** **DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL** 

The tax character of distributions paid during the fiscal years ended June 30, 2022 and June 30, 2021 was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **For the period ended June 30, 2022** | **For the period ended June 30, 2022** | **For the period ended June 30, 2022** | **For the period ended June 30, 2022** | **For the period ended June 30, 2022** |
| <br>**Fund** | **Ordinary**<br>**Income** | **Long-Term**<br>**Capital Gains** | **Return of**<br>**Capital** |<br>**Total** |
| Donoghue Forlines Tactical Allocation Fund | 894670 |  |  | 894670 |
| Donoghue Forlines Tactical Income Fund | 1039527 |  |  | 1039527 |
| Donoghue Forlines Dividend Fund | 768500 |  |  | 768500 |
| Donoghue Forlines Momentum Fund |  |  |  |  |
| Donoghue Forlines Risk Managed Income Fund | 1246790 |  |  | 1246790 |
| **For the period ended June 30, 2021** | **For the period ended June 30, 2021** | **For the period ended June 30, 2021** | **For the period ended June 30, 2021** | **For the period ended June 30, 2021** |
| **Ordinary** | **Long-Term** | **Return of** |  |  |
| **Fund** | **Income** | **Capital Gains** | **Capital** | **Total** |
| Donoghue Forlines Tactical Allocation Fund | 548958 |  |  | 548958 |
| Donoghue Forlines Tactical Income Fund | 943678 |  |  | 943678 |
| Donoghue Forlines Dividend Fund | 2009933 |  |  | 2009933 |
| Donoghue Forlines Momentum Fund |  |  |  |  |
| Donoghue Forlines Risk Managed Income Fund | 1798951 |  |  | 1798951 |

---

As of June 30, 2022, the components of accumulated earnings/(deficit) on a tax basis were as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Fund** | **Undistributed**<br>**Ordinary**<br>**Income** | **Undistributed**<br>**Long-Term**<br>**Capital Gains** | **Capital Loss**<br>**Carry**<br>**Forwards** | **Other**<br>**Book/Tax**<br>**Differences** | **Post October Loss**<br>**and**<br>**Late Year Loss** | **Unrealized**<br>**Appreciation/**<br>**(Depreciation)** | **Total**<br>**Accumulated**<br>**Earnings/(Deficits)** |
| Donoghue Forlines Tactical Allocation Fund |  |  | (1093365) |  |  | (6161162) | (7254527) |
| Donoghue Forlines Tactical Income Fund | 18284 |  | (16889154) |  | (2149537) | (3122696) | (22143103) |
| Donoghue Forlines Dividend Fund | 193644 |  | (119633458) |  |  | (1084813) | (120524627) |
| Donoghue Forlines Momentum Fund |  |  | (886711) |  | (78641) | (707193) | (1672545) |
| Donoghue Forlines Risk Managed Income Fund |  |  | (880879) |  | (2548918) | (3022) | (3432819) |

---

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

The difference between book basis and tax basis undistributed net investment income, accumulated net realized gain/(loss), and unrealized depreciation from investments is primarily attributable to the tax deferral of losses on wash sales and adjustments for Corporation return of capital distributions.

Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Power Momentum Index Fund incurred and elected to defer such late year losses of $78,641.

Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Donoghue Forlines Tactical Income Fund and Donoghue Forlines Risk Managed Income Fund incurred and elected to defer such capital losses of $2,149,537 and $2,548,918.

At June 30, 2022, the Fund had capital loss carry forwards for federal income tax purposes available to offset future capital gains and capital losses utilized as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** |<br>**Short-Term** |<br>**Long-Term** |<br>**Total** | **CLCF**<br>**Utilized** |
| Donoghue Forlines Tactical Allocation Fund | 1093365 |  | 1093365 | 4433950 |
| Donoghue Forlines Tactical Income Fund | 16889154 |  | 16889154 | 1347953 |
| Donoghue Forlines Dividend Fund | 87421263 | 32212195 | 119633458 | 1624614 |
| Donoghue Forlines Momentum Fund | 886711 |  | 886711 |  |
| Donoghue Forlines Risk Managed Income Fund | 64927 | 815952 | 880879 |  |

---

Permanent book and tax differences, primarily attributable to the reclassification of Fund distributions, tax treatment of net operating losses, distributions in excess and the tax adjustments for prior year tax returns resulted in reclassifications for the Funds for the fiscal year ended June 30, 2022 as follows:

---

| | | |
|:---|:---|:---|
| <br>**Fund** | **Paid**<br>**In**<br>**Capital** |<br>**Accumulated**<br>**Earnings (Losses)** |
| Donoghue Forlines Tactical Allocation Fund | (8315) | 8315 |
| Donoghue Forlines Tactical Income Fund |  |  |
| Donoghue Forlines Dividend Fund |  |  |
| Donoghue Forlines Momentum Fund | (159601) | 159601 |
| Donoghue Forlines Risk Managed Income Fund | (14769) | 14769 |

---

**8.** **AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** |<br>**Tax Cost** | **Gross Unrealized**<br>**Appreciation** | **Gross Unrealized**<br>**Depreciation** | **Net Unrealized**<br>**Appreciation / Depreciation** |
| Donoghue Forlines Tactical Allocation Fund | $32626281 | $— | $(1937231) | $(1937231) |
| Donoghue Forlines Tactical Income Fund | 47818811 |  | (1604539) | (1604539) |
| Donoghue Forlines Dividend Fund | 44560761 | 1299278 | (1695605) | (396327) |
| Donoghue Forlines Momentum Fund | 11671250 | 66178 | (603310) | (537132) |
| Donoghue Forlines Risk Managed Income Fund | 78026228 | 925 |  | 925 |

---

**9.** **INVESTMENTS IN UNDERLYING INVESTMENT COMPANIES** 

The Donoghue Forlines Tactical Income Fund (the "Fund") currently invests a portion of its assets in the iShares 3 -7 Year Treasury Bond ETF (the "Security"). The iShares Fund seeks to track the investment results of an index composed of U.S. Treasury bonds with remaining maturities between three and seven years. The Fund may redeem their investments from the Security at any time if the Advisor determines that it is in the best interest of the Fund and their shareholders to do so. The performance of the Fund will be directly affected by the performance of the Security. The financial statements of Securities, including the portfolio of investments, can be found at the Securities and Exchange Commission's ("SEC") website

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

www.sec.gov and should be read in conjunction with the Funds' financial statements. As of December 31, 2022, the percentage of the Donoghue Forlines Tactical Income Fund's net assets invested in the iShares 3-7 Year Treasury Bond ETF was 27.0%.

The Donoghue Forlines Tactical Allocation Fund, Donoghue Forlines Tactical Income Fund and the Donoghue Forlines Risk Managed Income Fund (the "Funds") currently invests a portion of its assets in the Fidelity Government Portfolio Institutional Class (the "Fidelity Fund"). The Fidelity Fund seeks to obtain as high a level of current income as is consistent with the preservation of principal and liquidity within the limitations prescribed for the fund. The Funds may redeem their investments from the Fidelity Fund at any time if the Advisor determines that it is in the best interest of the Funds and their shareholders to do so. The performance of the Funds will be directly affected by the performance of the Fidelity Fund. The financial statements of Fidelity Fund, including the portfolio of investments, can be found at the SEC website www.sec.gov and should be read in conjunction with the Funds' financial statements. As of December 31, 2022, the percentage of the Donoghue Forlines Tactical Allocation Fund, Donoghue Forlines Tactical Income Fund's and the Donoghue Forlines Risk Managed Income Fund's net assets invested in the Fidelity Government Portfolio Institutional Class was 26.0%, 48.3% and 100.0%, respectively.

**10.** **CONTROL 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 December 31, 2022, the shareholders listed below held, for the benefit of others, more than 25% of an individual Fund and may be deemed to control that Fund. The Funds have no knowledge as to whether all or any portion of the shares owned, by the parties noted below, are also owned beneficially by any party who would be presumed to control the respective Funds.

---

| | | |
|:---|:---|:---|
| **Shareholder** | **Fund** | **Percent** |
| Matrix Trust Company | Donoghue Forlines Tactical Allocation Fund | 41.20% |
| TD Ameritrade, Inc. | Donoghue Forlines Tactical Income Fund | 31.80% |
| Pershing LLC | Donoghue Forlines Dividend Fund | 35.30% |
| Matrix Trust Company | Donoghue Forlines Momentum Fund | 53.40% |
| National Financial Services | Donoghue Forlines Risk Managed Income Fund | 49.10% |
| Pershing LLC | Donoghue Forlines Risk Managed Income Fund | 25.80% |

---

**11.** **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.

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **EXPENSE EXAMPLE (Unaudited)** |
| **December 31, 2022** |

---

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemptions fees on certain redemptions; (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2022 through December 31, 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 Example 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 sales charges (loads), or redemption fees. 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.

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  | ***Hypothetical*** | ***Hypothetical*** |
|  |  |  | ***Actual\**** | ***Actual\**** | *(5% return before expenses)* | *(5% return before expenses)* |
|  | *Fund's* | *Beginning* | *Ending* |  | *Ending* |  |
|  | *Annualized* | *Account* | *Account* | *Expenses* | *Account* | *Expenses* |
|  | *Expense* | *Value* | *Value* | *Paid During* | *Value* | *Paid During* |
|  | *Ratio* | *7/1/22* | *12/31/22* | *Period* | *12/31/22* | *Period* |
| Donoghue Forlines Tactical Allocation Fund Class A | 1.45% | $1000.00 | $1010.70 | $7.35 | $1017.90 | $7.38 |
| Donoghue Forlines Tactical Allocation Fund Class C | 2.20% | $1000.00 | $1006.00 | $11.12 | $1014.12 | $11.17 |
| Donoghue Forlines Tactical Allocation Fund Class I | 1.20% | $1000.00 | $1012.10 | $6.09 | $1019.16 | $6.11 |
| Donoghue Forlines Tactical Income Fund – Class A | 1.87% | $1000.00 | $987.80 | $9.37 | $1015.78 | $9.50 |
| Donoghue Forlines Tactical Income Fund – Class C | 2.62% | $1000.00 | $983.20 | $13.10 | $1012.00 | $13.29 |
| Donoghue Forlines Tactical Income Fund – Class I | 1.62% | $1000.00 | $989.50 | $8.12 | $1017.04 | $8.24 |
| Donoghue Forlines Dividend Fund – Class A | 2.02% | $1000.00 | $1008.70 | $10.23 | $1015.02 | $10.26 |
| Donoghue Forlines Dividend Fund – Class C | 2.77% | $1000.00 | $1004.80 | $14.00 | $1011.24 | $14.04 |
| Donoghue Forlines Dividend Fund – Class I | 1.77% | $1000.00 | $1008.90 | $8.96 | $1016.28 | $9.00 |
| Donoghue Forlines Momentum Fund – Class A | 2.25% | $1000.00 | $940.90 | $11.01 | $1013.86 | $11.42 |
| Donoghue Forlines Momentum Fund – Class C | 3.00% | $1000.00 | $937.40 | $14.65 | $1010.08 | $15.20 |
| Donoghue Forlines Momentum Fund – Class I | 2.00% | $1000.00 | $941.60 | $9.79 | $1015.12 | $10.16 |
| Donoghue Forlines Risk Managed Income Fund – Class A | 1.32% | $1000.00 | $988.30 | $6.62 | $1018.55 | $6.72 |
| Donoghue Forlines Risk Managed Income Fund – Class C | 2.07% | $1000.00 | $981.80 | $10.34 | $1014.77 | $10.51 |
| Donoghue Forlines Risk Managed Income Fund – Class I | 1.07% | $1000.00 | $987.00 | $5.36 | $1019.81 | $5.45 |

---

\* Expenses are equal to the Fund's annualized expense ratio, multiplied by the number of days in the period (184) divided by the number of days in the fiscal year (365).

---

| |
|:---|
| **Donoghue Forlines Funds** |
| **SUPPLEMENTAL INFORMATION (Unaudited)** |
| **December 31, 2022** |

---

Donoghue Forlines, LLC

*Adviser to Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, Donoghue Forlines Momentum Fund, Donoghue Forlines Tactical Allocation Fund and Donoghue Forlines Risk Managed Income Fund \**

In connection with the regular meeting held on September 21-22, 2022 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 renewal of the investment advisory agreements (each an "Advisory Agreement" and collectively the "Advisory Agreements") between Donoghue Forlines, LLC ("Adviser" or "Donoghue") and the Trust, with respect to the Donoghue Forlines Tactical Income Fund ("Donoghue Forlines Income"), Donoghue Forlines Dividend Fund ("Donoghue Forlines Dividend"), Donoghue Forlines Momentum Fund ("Donoghue Forlines Momentum"), Donoghue Forlines Tactical Allocation Fund ("Donoghue Forlines Tactical") and Donoghue Forlines Risk Managed Income Fund ("Donoghue Forlines Risk Managed"), (each the "Fund" and collectively the "Donoghue Funds"). In considering the renewal of each Advisory Agreement, the Board received materials specifically relating to each 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 Agreements 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 each Advisory Agreement.

<u>Nature, Extent and Quality of Services</u>. The Board noted that Donoghue was founded in 1986 and had $1 billion in combined assets under management and advisement, providing rules-based tactical allocation strategies and professional investment management services to individuals, corporations, and institutions. The Board reviewed the background information of the key investment personnel who were responsible for servicing the Donoghue Funds, considering their education and noting the investment team's diverse financial industry experience. The Board reviewed the investment process for the Donoghue Funds, noting that Donoghue's index funds attempted to replicate and track customized sector specific indexes using technical indicators. The Board further noted that the Donoghue Forlines Tactical and Donoghue Forlines Income were driven by fundamental research and were not designed to be reactionary. The Board discussed that Donoghue utilized an order management system to monitor compliance with each Donoghue Fund's investment limitations, which automatically sent notifications to the Adviser. The Board commented that Donoghue's CCO and CIO performed a quarterly best execution review of broker dealers for overall quality and service. The Board concluded that Donoghue could be expected to continue providing quality services to the Donoghue Funds and their respective shareholders.

<u>Performance</u>.

*Donoghue Forlines Income.* The Board noted the Fund's two-star Morningstar rating. The Board reviewed the Fund's return over the one-year period, noting the Fund had underperformed its peer group and Morningstar category and outperformed its benchmark over the period. The Board noted that the Fund underperformed its Morningstar category and peer group over the three-year and five-year periods. The Board evaluated the Fund's risk metrics over the one- year period, acknowledging the Fund's standard deviation ranked in the bottom quartile among its peer group and Morningstar category. The Board noted that the Funds Sharpe and Sortino ratios both ranked in the second quartile for both the peer group and Morningstar Category over the one-year period. The Board acknowledged that Donoghue attributed recent underperformance to the Fund's exposure to certain portfolio allocations and recalled Donoghue's commitment to reviewing and improving the Fund's processes when appropriate. After further discussion, the Board concluded that Donoghue should be given the opportunity to improve performance.

*Donoghue Forlines Dividend.* The Board reviewed the Fund's investment strategy, noting that the Fund received a two-star Morningstar rating. The Board observed that the Fund outperformed its Morningstar category and peer group over the one-year period. The Board also noted that the Fund underperformed its peer group, Morningstar category, and benchmark for the three-year, five-year, and since inception periods. The Board acknowledged that the Fund's performance had improved

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|:---|
| **Donoghue Forlines Fund** |
| **SUPPLEMENTAL INFORMATION (Unaudited)(Continued)** |
| **December 31, 2022** |

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since Donoghue implemented enhancements in 2021. The Board concluded that Donoghue should be given the opportunity to continue to improve performance and deliver reasonable returns for the benefit of the Fund and its shareholders.

*Donoghue Forlines Momentum.* The Board noted that the Fund received a three-star Morningstar rating. The Board reviewed the Fund's performance, noting that it had underperformed its Morningstar Category and benchmark across all periods. The Board also noted that the Fund underperformed its peer group over the one-year and three- year periods while performing on par with its peer group over the five-year and since-inception periods. The Board evaluated the Fund's Sharpe ratio, Sortino ratio, and standard deviation over various periods. The Board considered Donoghue's explanation regarding the impact of market volatility on the Fund's tactical signals and overall performance and recalled Donoghue's commitment to reviewing and improving the Fund's processes when appropriate. The Board concluded that Donoghue should be given the opportunity to continue to improve their process and deliver better returns for the benefit of the Fund and its shareholders.

*Donoghue Forlines Tactical.* The Board observed that the Fund received a two- star Morningstar rating. The Board considered the Fund's performance, noting that the Fund had underperformed its peer group, Morningstar category, and benchmark for the one-year, three-year, and since inception periods. The Board examined the Fund's risk metrics, acknowledging that the Fund's standard deviation ranked in the second or third quartile across all periods. The Board considered the Donoghue's explanation for the Fund's performance being related to unprecedented markets, acknowledging that the Fund was conservative in nature and required more time to prove its value. The Board agreed that Donoghue should be given more time to implement the Fund's strategy and improve performance.

*Donoghue Forlines Risk Managed.* The Board noted that the Fund received a five-star Morningstar rating. The Board noted that the Fund had outperformed its peer group and Morningstar category for the one-year, three- year, and since-inception periods. The Board observed that the Fund outperformed its benchmark for the one-year period but underperformed the benchmark over the three-year and since inception periods. The Board reviewed the Fund's risk metrics, noting that the Fund had ranked in the top quartile for standard deviation among its peer group and Morningstar category across all periods. The Board concluded that overall, the Fund delivered solid performance to the Fund and its shareholders.

<u>Fees and Expenses.</u>

*Donoghue Forlines Income.* The Board considered Donoghue's advisory fee and noted that it was higher than its Morningstar category median and average, peer group average, and equal to its peer group median. The Board considered that the advisory fee was below the category high and above the fee charged by Donoghue separately managed accounts. The Board considered Donoghue's explanation as to why the fee for separately managed accounts was lower than that of the Fund, which included that the platform providers charged an additional fee for performing various functions such as trading compliance. The Board discussed the Fund's net expense ratio, noting that it was higher than its Morningstar category and peer group averages and medians. The Board further noted that the net expense ratio of the Fund was well below the category high. The Board considered the impact of the Fund's expense limitation agreement and noted that Donoghue intended to renew the agreement. After further discussion, the Board concluded that Donoghue's advisory fee for the Fund was not unreasonable.

*Donoghue Forlines Dividend.* The Board reviewed the Fund's advisory fee, noting it was higher than the peer group and Morningstar category medians and averages. The Board observed the net expense ratio was higher than the peer group and Morningstar category medians and averages but lower than the Morningstar category high. The Board considered that Donoghue attributed the higher fees to its risk management and tactical ability to move into short term treasuries. The Board noted that Donoghue intended to renew its expense limitation agreement. After further discussion, the Board concluded that the advisory fee of the Fund was not unreasonable.

*Donoghue Forlines Momentum.* The Board reviewed the advisory fee, noting that it was equal to its peer group median but higher than its peer group average and Morningstar category average and median. The Board observed the Fund's net expense ratio, which was higher than the peer group and Morningstar category medians and averages and was considered the category high. The Board discussed Donoghue's justification for the higher fees, which were Donoghue's risk management and tactical ability to move into 100% short term treasuries unlike its peers. The Board considered Donoghue's statement that the Fund's expenses were expected to decrease as the Fund's assets increased over time. The Board noted that Donoghue intended to renew its expense limitation agreement. After further discussion, the Board concluded that the advisory fee of the Fund was not unreasonable.

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| |
|:---|
| **Donoghue Forlines Fund** |
| **SUPPLEMENTAL INFORMATION (Unaudited)(Continued)** |
| **December 31, 2022** |

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*Donoghue Forlines Tactical.* The Board reviewed the Fund's advisory fee, noting that it was slightly higher than the Morningstar category average and lower than its peer group median and average and Morningstar category median. The Board observed the Fund's net expense ratio was higher than the Morningstar category average and equal to the Morningstar category median but lower than its peer group median and average. The Board noted that Donoghue rationalized lower fees for separately managed accounts due to additional compliance work required for the Fund and the regulatory, operational, litigation and business risks involved with managing a mutual fund compared to a separately managed account. The Board noted that Donoghue intended to renew its expense limitation agreement currently in place. After further discussion, the Board concluded that the advisory fee of the Fund was not unreasonable.

*Donoghue Forlines Risk Managed.* The Board reviewed the Fund's advisory fee was higher than its peer group and Morningstar category medians and averages. The Board further noted the Fund's net expense ratio was higher than its peer group and Morningstar category medians and averages. The Board noted that Donoghue attributed its higher fees to its risk management and tactical ability to move assets in major downturns to protect principal unlike most funds in its peer group that do have such ability. The Board noted that Donoghue intended to renew its expense limitation agreement. After further discussion, the Board concluded that the advisory fee of the Fund was not unreasonable.

<u>Profitability.</u> The Board reviewed the profitability analysis provided by Donoghue. The Board examined Donoghue's responses and noted that Donoghue's profitability for each Donoghue Fund ranged considerably. The Board recalled factors offered by Donoghue to support its levels of profit which included business, operational, regulatory, and reputational risks assumed in managing the Donoghue Funds, as well as the resources required to execute unique components of each Fund's strategy. After further discussion, the Board determined that Donoghue's profitability with respect to each Donoghue Fund was not excessive.

<u>Economies of Scale.</u> The Board noted that the Donoghue Funds collectively lost assets over the last twelve months. The Board observed that Donoghue was willing to consider implementing a breakpoint when each Donoghue Fund reached a higher targeted asset level. The Board discussed the benefits to shareholders of the expense limitation agreements. The Board agreed to monitor and revisit this issue at the appropriate time.

<u>Conclusion.</u> Having requested and received such information from Donoghue as the Board believed to be reasonably necessary to evaluate the terms of each Advisory Agreement, and as assisted by the advice of counsel, the Board concluded that the renewal of the Advisory Agreements with Donoghue was in the best interests of each Donoghue Fund and its respective shareholders.

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

***PRIVACY NOTICE***

 ****

**Northern Lights Fund Trust**

**Rev. February 2014**

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|:---|:---|
| &nbsp;&nbsp;**FACTS** | &nbsp;&nbsp;**WHAT DOES NORTHERN LIGHTS FUND TRUST DO WITH YOUR PERSONAL INFORMATION?** |

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| &nbsp;&nbsp;**Why?** | &nbsp;&nbsp;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. |

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|:---|:---|
| &nbsp;&nbsp;**What?** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The types of personal information we collect and share depends on the product or service that you have with us. This information can include:<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● Social Security number and wire transfer instructions<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● account transactions and transaction history<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● investment experience and purchase history<br>When you are *no longer* our customer, we continue to share your information as described in this notice. |

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|:---|:---|
| &nbsp;&nbsp;**How?** | &nbsp;&nbsp;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. |

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| | | |
|:---|:---|:---|
| **Reasons we can share your<br> personal information:** | &nbsp;&nbsp;**Does Northern Lights Fund Trust<br> share information?** | &nbsp;&nbsp;**Can you limit this sharing?** |
| &nbsp;&nbsp;**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. | &nbsp;&nbsp;**YES** | &nbsp;&nbsp;**NO** |
| &nbsp;&nbsp;**For our marketing purposes -** to offer our products and services to you. | **NO** | **We don't share** |
| &nbsp;&nbsp;**For joint marketing with other financial companies.** | **NO** | **We don't share** |
| &nbsp;&nbsp;**For our affiliates' everyday business purposes -** information about your transactions and records. | **NO** | **We don't share** |
| &nbsp;&nbsp;**For our affiliates' everyday business purposes -** information about your credit worthiness. | **NO** | **We don't share** |
| &nbsp;&nbsp;**For nonaffiliates to market to you** | **NO** | **We don't share** |

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|:---|:---|
| &nbsp;&nbsp;**QUESTIONS?** | &nbsp;&nbsp;**Call 1-402-493-4603** |

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***PRIVACY NOTICE***

 ****

**Northern Lights Fund Trust**

&nbsp;&nbsp;**Page 2**

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|:---|:---|
| &nbsp;&nbsp;**What we do:** | &nbsp;&nbsp;**What we do:** |
| &nbsp;&nbsp;<br> **How does Northern Lights Fund Trust protect my personal information?** | &nbsp;&nbsp;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.<br>Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
| &nbsp;&nbsp;<br> **How does Northern Lights Fund Trust collect my personal information?** | &nbsp;&nbsp;&nbsp;&nbsp;We collect your personal information, for example, when you<br> ● open an account or deposit money<br>● direct us to buy securities or direct us to sell your securities<br>● seek advice about your investments<br>We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
| &nbsp;&nbsp;<br> **Why can't I limit all sharing?** | &nbsp;&nbsp;&nbsp;&nbsp;Federal law gives you the right to limit only:<br> ● sharing for affiliates' everyday business purposes – information about your creditworthiness.<br>● affiliates from using your information to market to you.<br>● sharing for nonaffiliates to market to you. <br>State laws and individual companies may give you additional rights to limit sharing. |

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|:---|:---|
| &nbsp;&nbsp;**Definitions** | &nbsp;&nbsp;**Definitions** |
| &nbsp;&nbsp;**Affiliates** | &nbsp;&nbsp;Companies related by common ownership or control. They can be financial and nonfinancial companies.<br>● *Northern Lights Fund Trust does not share with our affiliates.* |
| &nbsp;&nbsp;**Nonaffiliates** | &nbsp;&nbsp;Companies not related by common ownership or control. They can be financial and nonfinancial companies.<br>● *Northern Lights Fund Trust does not share with nonaffiliates so they can market to you.* |
| &nbsp;&nbsp;**Joint marketing** | &nbsp;&nbsp;A formal agreement between nonaffiliated financial companies that together market financial products or services to you.<br>● *Northern Lights Fund Trust doesn't jointly market*. |

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This Page Intentionally Left Blank

**<u>PROXY VOTING POLICY</u>**

Information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 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 1-877-779-7462 or by referring to the SEC's website at http://www.sec.gov.

**<u>PORTFOLIO HOLDINGS</u>**

Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Form N-PORT is 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 1-877-779-7462

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| |
|:---|
| **INVESTMENT ADVISOR** |
| Donoghue Forlines LLC |
| One International Place, Suite 310 |
| Boston, MA 02110 |
| **ADMINISTRATOR** |
| Ultimus Fund Solutions, LLC |
| 225 Pictoria Drive, Suite 450 |
| Cincinnati, OH 45246 |
| DONOGHUE-SA22 |

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**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 period covered by this report 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 to open-end investment companies.

**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.](cert1.htm)

(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.](cert2.htm)

**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) <u>Northern Lights Fund Trust</u>

By (Signature and Title)

 <u>/s/ Kevin E. Wolf</u> 

Kevin E. Wolf, Principal Executive Officer/President

Date <u>3/8/23</u> 

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)

 <u>/s/ Kevin E. Wolf</u> 

Kevin E. Wolf, Principal Executive Officer/President

Date <u>3/8/23</u> 

By (Signature and Title)

 <u>/s/ James Colantino</u> 

James Colantino, Principal Financial Officer/Treasurer

Date <u>3/8/23</u>

## Ex-99.Cert

CERTIFICATIONS

I, Kevin E. Wolf, certify that:

1. I have reviewed this report on Form N-CSR of the Donoghue Forlines Funds (each a 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:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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: <u>3/8/23</u> <u>/s/ Kevin E. Wolf</u>

Kevin E. Wolf

Principal Executive Officer/President

I, James Colantino, certify that:

1. I have reviewed this report on Form N-CSR of the Donoghue Forlines Funds (each a 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:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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: <u>3/8/23</u> <u>/s/ James Colantino</u>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;James Colantino

Principal Financial Officer/Treasurer

## Exhibit 99.906

**certification**

Kevin E. Wolf, President, and James Colantino, Treasurer of Northern Lights Fund Trust (the "Registrant"), each certify to the best of his knowledge that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. The Registrant's periodic report on Form N-CSR for the period ended December 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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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.

Principal Executive Officer/President Principal Financial Officer/Treasurer

Northern Lights Fund Trust Northern Lights Fund Trust

<u>/s/Kevin E. Wolf</u> <u>/s/ James Colantino</u> 

Kevin E. Wolf James Colantino

Date: <u>3/8/23</u> Date: <u>3/8/23</u> 

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 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.