Altegris Managed Futures Strategy Fund

*As of December 2012

1. The managed futures investments selected by Altegris Advisors to gain the exposure to the managed futures managers, sub strategies and programs as listed in the table are subject to change at any time, and any such change may alter the Fund’s access and percentage exposures to each such manager, sub-strategy and program. Although the Fund currently pursues its managed futures strategy by investing up to 25% of its total assets in a wholly-owned subsidiary, the Fund may also make managed futures investments directly, outside of such subsidiary.

2. As a percentage of the Fund’s managed futures strategy allocation. The Fund’s holdings of cash, cash equivalents and fixed income securities pursuant to its fixed income strategy are excluded from percentage exposures listed in the table.

Managers report Program Performance information in accordance with applicable NFA and CFTC Regulations. None of the Managers identified above take any responsibility for the accuracy or completeness of the contents of the Program Performance information reported (except as otherwise may be stated), for any representations made herein, or for the performance of the Fund. Each Manager disclaims any liability for any direct, indirect, consequential or other losses or damages, including loss of profits, incurred directly or indirectly by any person that may arise from any reliance on the Program Performance or any other information about the Manager accessible from this site.

The CFTC recently adopted rule changes for which mandatory compliance by the Fund is anticipated to be required at some point during 2013. Compliance with these rule changes, when mandated, will subject the Fund to regulation as a commodity pool and result in certain additional disclosure obligations. In preparation for compliance with these rule changes, the Fund’s adviser has already registered with the CFTC, and become a member of the NFA, in the capacities as a commodity pool operator (CPO) and commodity trading advisor (CTA) of the Fund.

*As of December 2012

1. The managed futures investments selected by Altegris Advisors to gain the exposure to the managed futures managers, sub strategies and programs as listed in the table are subject to change at any time, and any such change may alter the Fund’s access and percentage exposures to each such manager, sub-strategy and program. Although the Fund currently pursues its managed futures strategy by investing up to 25% of its total assets in a wholly-owned subsidiary, the Fund may also make managed futures investments directly, outside of such subsidiary.

2. As a percentage of the Fund’s managed futures strategy allocation. The Fund’s holdings of cash, cash equivalents and fixed income securities pursuant to its fixed income strategy are excluded from percentage exposures listed in the table.

Managers report Program Performance information in accordance with applicable NFA and CFTC Regulations. None of the Managers identified above take any responsibility for the accuracy or completeness of the contents of the Program Performance information reported (except as otherwise may be stated), for any representations made herein, or for the performance of the Fund. Each Manager disclaims any liability for any direct, indirect, consequential or other losses or damages, including loss of profits, incurred directly or indirectly by any person that may arise from any reliance on the Program Performance or any other information about the Manager accessible from this site.

The CFTC recently adopted rule changes for which mandatory compliance by the Fund is anticipated to be required at some point during 2013. Compliance with these rule changes, when mandated, will subject the Fund to regulation as a commodity pool and result in certain additional disclosure obligations. In preparation for compliance with these rule changes, the Fund’s adviser has already registered with the CFTC, and become a member of the NFA, in the capacities as a commodity pool operator (CPO) and commodity trading advisor (CTA) of the Fund.

*As of December 2012

1. The managed futures investments selected by Altegris Advisors to gain the exposure to the managed futures managers, sub strategies and programs as listed in the table are subject to change at any time, and any such change may alter the Fund’s access and percentage exposures to each such manager, sub-strategy and program. Although the Fund currently pursues its managed futures strategy by investing up to 25% of its total assets in a wholly-owned subsidiary, the Fund may also make managed futures investments directly, outside of such subsidiary.

2. As a percentage of the Fund’s managed futures strategy allocation. The Fund’s holdings of cash, cash equivalents and fixed income securities pursuant to its fixed income strategy are excluded from percentage exposures listed in the table.

Managers report Program Performance information in accordance with applicable NFA and CFTC Regulations. None of the Managers identified above take any responsibility for the accuracy or completeness of the contents of the Program Performance information reported (except as otherwise may be stated), for any representations made herein, or for the performance of the Fund. Each Manager disclaims any liability for any direct, indirect, consequential or other losses or damages, including loss of profits, incurred directly or indirectly by any person that may arise from any reliance on the Program Performance or any other information about the Manager accessible from this site.

The CFTC recently adopted rule changes for which mandatory compliance by the Fund is anticipated to be required at some point during 2013. Compliance with these rule changes, when mandated, will subject the Fund to regulation as a commodity pool and result in certain additional disclosure obligations. In preparation for compliance with these rule changes, the Fund’s adviser has already registered with the CFTC, and become a member of the NFA, in the capacities as a commodity pool operator (CPO) and commodity trading advisor (CTA) of the Fund.

*As of December 2012

1. The managed futures investments selected by Altegris Advisors to gain the exposure to the managed futures managers, sub strategies and programs as listed in the table are subject to change at any time, and any such change may alter the Fund’s access and percentage exposures to each such manager, sub-strategy and program. Although the Fund currently pursues its managed futures strategy by investing up to 25% of its total assets in a wholly-owned subsidiary, the Fund may also make managed futures investments directly, outside of such subsidiary.

2. As a percentage of the Fund’s managed futures strategy allocation. The Fund’s holdings of cash, cash equivalents and fixed income securities pursuant to its fixed income strategy are excluded from percentage exposures listed in the table.

Managers report Program Performance information in accordance with applicable NFA and CFTC Regulations. None of the Managers identified above take any responsibility for the accuracy or completeness of the contents of the Program Performance information reported (except as otherwise may be stated), for any representations made herein, or for the performance of the Fund. Each Manager disclaims any liability for any direct, indirect, consequential or other losses or damages, including loss of profits, incurred directly or indirectly by any person that may arise from any reliance on the Program Performance or any other information about the Manager accessible from this site.

The CFTC recently adopted rule changes for which mandatory compliance by the Fund is anticipated to be required at some point during 2013. Compliance with these rule changes, when mandated, will subject the Fund to regulation as a commodity pool and result in certain additional disclosure obligations. In preparation for compliance with these rule changes, the Fund’s adviser has already registered with the CFTC, and become a member of the NFA, in the capacities as a commodity pool operator (CPO) and commodity trading advisor (CTA) of the Fund.

*As of December 2012

1. The managed futures investments selected by Altegris Advisors to gain the exposure to the managed futures managers, sub strategies and programs as listed in the table are subject to change at any time, and any such change may alter the Fund’s access and percentage exposures to each such manager, sub-strategy and program. Although the Fund currently pursues its managed futures strategy by investing up to 25% of its total assets in a wholly-owned subsidiary, the Fund may also make managed futures investments directly, outside of such subsidiary.

2. As a percentage of the Fund’s managed futures strategy allocation. The Fund’s holdings of cash, cash equivalents and fixed income securities pursuant to its fixed income strategy are excluded from percentage exposures listed in the table.

Managers report Program Performance information in accordance with applicable NFA and CFTC Regulations. None of the Managers identified above take any responsibility for the accuracy or completeness of the contents of the Program Performance information reported (except as otherwise may be stated), for any representations made herein, or for the performance of the Fund. Each Manager disclaims any liability for any direct, indirect, consequential or other losses or damages, including loss of profits, incurred directly or indirectly by any person that may arise from any reliance on the Program Performance or any other information about the Manager accessible from this site.

The CFTC recently adopted rule changes for which mandatory compliance by the Fund is anticipated to be required at some point during 2013. Compliance with these rule changes, when mandated, will subject the Fund to regulation as a commodity pool and result in certain additional disclosure obligations. In preparation for compliance with these rule changes, the Fund’s adviser has already registered with the CFTC, and become a member of the NFA, in the capacities as a commodity pool operator (CPO) and commodity trading advisor (CTA) of the Fund.

*As of December 2012

1. The managed futures investments selected by Altegris Advisors to gain the exposure to the managed futures managers, sub strategies and programs as listed in the table are subject to change at any time, and any such change may alter the Fund’s access and percentage exposures to each such manager, sub-strategy and program. Although the Fund currently pursues its managed futures strategy by investing up to 25% of its total assets in a wholly-owned subsidiary, the Fund may also make managed futures investments directly, outside of such subsidiary.

2. As a percentage of the Fund’s managed futures strategy allocation. The Fund’s holdings of cash, cash equivalents and fixed income securities pursuant to its fixed income strategy are excluded from percentage exposures listed in the table.

Managers report Program Performance information in accordance with applicable NFA and CFTC Regulations. None of the Managers identified above take any responsibility for the accuracy or completeness of the contents of the Program Performance information reported (except as otherwise may be stated), for any representations made herein, or for the performance of the Fund. Each Manager disclaims any liability for any direct, indirect, consequential or other losses or damages, including loss of profits, incurred directly or indirectly by any person that may arise from any reliance on the Program Performance or any other information about the Manager accessible from this site.

The CFTC recently adopted rule changes for which mandatory compliance by the Fund is anticipated to be required at some point during 2013. Compliance with these rule changes, when mandated, will subject the Fund to regulation as a commodity pool and result in certain additional disclosure obligations. In preparation for compliance with these rule changes, the Fund’s adviser has already registered with the CFTC, and become a member of the NFA, in the capacities as a commodity pool operator (CPO) and commodity trading advisor (CTA) of the Fund.

*As of December 2012

1. The managed futures investments selected by Altegris Advisors to gain the exposure to the managed futures managers, sub strategies and programs as listed in the table are subject to change at any time, and any such change may alter the Fund’s access and percentage exposures to each such manager, sub-strategy and program. Although the Fund currently pursues its managed futures strategy by investing up to 25% of its total assets in a wholly-owned subsidiary, the Fund may also make managed futures investments directly, outside of such subsidiary.

2. As a percentage of the Fund’s managed futures strategy allocation. The Fund’s holdings of cash, cash equivalents and fixed income securities pursuant to its fixed income strategy are excluded from percentage exposures listed in the table.

Managers report Program Performance information in accordance with applicable NFA and CFTC Regulations. None of the Managers identified above take any responsibility for the accuracy or completeness of the contents of the Program Performance information reported (except as otherwise may be stated), for any representations made herein, or for the performance of the Fund. Each Manager disclaims any liability for any direct, indirect, consequential or other losses or damages, including loss of profits, incurred directly or indirectly by any person that may arise from any reliance on the Program Performance or any other information about the Manager accessible from this site.

The CFTC recently adopted rule changes for which mandatory compliance by the Fund is anticipated to be required at some point during 2013. Compliance with these rule changes, when mandated, will subject the Fund to regulation as a commodity pool and result in certain additional disclosure obligations. In preparation for compliance with these rule changes, the Fund’s adviser has already registered with the CFTC, and become a member of the NFA, in the capacities as a commodity pool operator (CPO) and commodity trading advisor (CTA) of the Fund.