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September 3, 2021 2:32 PM EDT

united states
securities and exchange commission
washington, d.c. 20549

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-22549

 

Northern Lights Fund Trust II

(Exact name of registrant as specified in charter)

 

225 Pictoria Drive, Suite 450, Cincinnati, Ohio 45246

(Address of principal executive offices) (Zip code)

 

Kevin Wolf, Gemini Fund Services, LLC

4221 North 203rd Street, Suite 100, Elkhorn, NE 68022

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2600

 

Date of fiscal year end: 12/31

 

Date of reporting period: 06/30/21

 

Item 1. Reports to Stockholders.

 

(ACCLIVITY LOGO)
 
 
 
 
Acclivity Mid Cap Multi-Style Fund
 
Acclivity Small Cap Value Fund
 
 
 
Semi-Annual Report
 
June 30, 2021
 
 
 
 
www.acclivityfunds.com
1 (855) 873-3837
 
 
 
 
 
 
 
Distributed by Northern Lights Distributors, LLC
Member FINRA

 

 

US Market Review (unaudited)

 

A Brief Recap

 

In the first half of this year ending with June 30th, 2021, the U.S. equity market, represented by the S&P 500 Total Return Index, advanced 15.25% as the vaccine rollout continues. We believe the economic activity will continue to improve throughout the year if the following assumptions are satisfied: 1) Current increase in inflation is transitory, 2) Interest rates will increase, 3) A portion of President Biden’s fiscal plan will pass into law, 4) A stable and healthy geography political environment. But this future is not guaranteed. We remain cautious and observe any potential market changes. Across different market capitalization segments, the U.S. large-cap, represented by the Russell 1000 Total Return Index, went up 14.95%. The U.S. mid-cap, represented by the Russell Mid Cap Total Return Index, finished 16.25% higher. And the U.S. small-cap, represented by the Russell 2000 Total Return Index, outperformed the large peers by 2.58%. Among all the Global Industry Clasification Standards sectors, Energy and Financial securities outperformed most while Utility and Consumer Staples securities lagged behind most. Value securities outperformed growth securities across different market capitalization segments measured by Russell indices in the first half of 2021.

 

Acclivity Mid Cap Multi-Style Fund

 

Within the Mid Caps for this period, the Russell Mid Cap Total Return Index went up 16.25%, and the Russell Mid Cap Value Total Return Index advanced 19.45%. Acclivity Mid Cap Multi-Style Fund Class I Shares (“AXMIX”) were up 16.30%. Exhibit 1 compares the first two-quarters performance of AXMIX and its benchmark Russell Mid Cap Total Return index.

 

Exhibit 1. Performance of AXMIX v.s. Russell Mid Cap as of June 30th, 2021

 

2021 Performance Q1 Q2 YTD
AXMIX 11.50% 4.31% 16.30%
Russell Mid Cap 8.14% 7.50% 16.25%

 

To decompose fund performance, the overweight in financial securities has made up most of the positive sector allocation. The underweight in real estate and energy securities dragged the performance. Meanwhile, the security selections in the industrials sector outperformed the most, and the security selections in the real estate and healthcare sectors struggled. Exhibit 2 compares the characteristics of AXMIX against the benchmark.

1 

 

Exhibit 2. Characteristics of AXMIX v.s. Russell Mid Cap Index as of June 30th, 2021.

 

Fund/Index Price-to-Book Price-to-Earnings EBITDA/Total
Market Value		 Market
Capitalization
($B)
AXMIX 2.76 20.63 1.68% 13.04
Russell Mid Cap
Index		 3.68 24.19 0.94% 23.31

 

Exhibit 2 shows that our Fund emphasizes stocks with smaller market capitalization, lower relative prices, and higher profitability than the benchmark. Exhibit 3 shows the investment style between the Fund and benchmark.

 

Exhibit 3. Investment style of AXMIX v.s. Russell Mid Cap Index using daily data between January 1st, 2021, and June 30th, 2021.

 

(BAR CHAT)

2 

 

Acclivity Small Cap Value Fund

 

Within small cap stocks for this period, the Russell 2000 Value Total Return Index surged 26.69%, while the Russell 2000 Growth Total Return Index advanced 8.98%. Acclivity Small Cap Value Fund Class I Shares (“AXVIX”) were up 31.24%. Exhibit 4 compares the first two-quarters performance of AXVIX and its benchmark Russell 2000 Value index.

 

Exhibit 4. Performance of AXVIX v.s. Russell 2000 Value as of June 30th, 2021

 

2021 Performance Q1 Q2 YTD
AXVIX 24.78% 5.17% 31.23%
Russell 2000 Value 21.17% 4.56% 26.69%

 

To decompose fund performance, the overweight in consumer discretionary securities and the underweight of utility securities have made up most of the positive sector allocation. The overweight in information technology and financial securities dragged the performance. Meanwhile, the security selections in the financial sector outperformed the most, and the security selections in the communication services sector struggled. Exhibit 5 compares the characteristics of AXVIX against the benchmark.

 

Exhibit 5. Characteristics of AXVIX v.s. Russell 2000 Value Index as of June 30th, 2021.

 

Fund/Index Price-to-Book Price-to-Earnings EBITDA/Total
Market Value		 Market
Capitalization
($B)
AXVIX 1.39 11.97 6.74% 3.49
Russell 2000
Value Index		 1.57 14.44 3.96% 3.08

 

Exhibit 5 shows that our Fund emphasizes stocks with lower relative prices and higher profitability than the benchmark. Exhibit 6 shows the investment style between the Fund and benchmark.

3 

 

Exhibit 6. Investment style of AXVIX v.s. Russell 2000 Value Index using daily data between January 1st, 2021, and June 30th, 2021.

 

(BAR CHAT)

 

Our research team pursues an active research agenda in which we are looking for better ways to systematically define and measure factors. And as always, we are focused on delivering long-term results that our clients expect from Innealta Capital.

 

Disclosures and Important Information

 

Russell 1000 Index is a stock market index that tracks the highest-ranking 1,000 stocks in the Russell 3000 Index.

 

Russell 2000 Index is a small-cap stock market index of the bottom 2,000 stocks in the Russell 3000 Index.

 

Russell 2000 Value Index measures the performance of Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

 

Russell 2000 Growth Index measures the performance of Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

4 

 

Russell Mid Cap Index is a stock market index that tracks the 800 smallest companies in the Russell 1000 Index, which represents approximately 25% of the total market capitalization of the Russell 1000 Index.

 

Russell Mid Cap Value Index measures the performance of Russell mid cap companies with lower price-to-book ratios and lower forecasted growth values.

 

Russell Mid Cap Growth Index measures the performance of Russell mid cap companies with higher price-to-book ratios and higher forecasted growth values.

 

Total return indexes reinvest dividends.

 

Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Indices do not reflect any fees, expenses, or sales charges and are not available for direct investment.

 

Price-to-book ratio is calculated using Index Methodology. Price-to-earnings ratio is calculated using Weighted Harmonic Average. EBITDA/Total Market Value is a proxy for current cash flow to total market value, commonly known in factor investing as “profitability”.

 

Momentum refers to the Bloomberg US Pure Momentum Portfolio, which represents the return of Momentum factor defined by Bloomberg PORT. It separates stocks based on their 1-year price performance.

 

Dividend refers to the Bloomberg US Pure Dividend Yield Portfolio, which represents the return of Dividend Yield factor defined by Bloomberg PORT. It is a distinct dimension of value.

 

Volatility refers to the Bloomberg US Pure Volatility Portfolio, which represents the return of Volatility factor defined by Bloomberg PORT. It differentiates more volatile stocks and less volatile ones.

 

Size refers to the Bloomberg US Pure Size Portfolio, which represents the return of Size factor defined by Bloomberg PORT. It is a metric distinguishing between large and small stocks.

 

Value refers to the Bloomberg US Pure Value Portfolio, which represents the return of Value factor defined by Bloomberg PORT. It aims to differentiate “rish” & “cheap” stocks.

 

Investments cannot be made in an index. Unmanaged index returns do not reflect any fees, expenses, or sales charges. Past performance is no guarantee of future results.

 

824-INN-08/02/2021

9140-NLD-7/30/2021

5 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
PORTFOLIO REVIEW (Unaudited)
June 30, 2021
 

The Fund’s performance figures* for the periods ended June 30, 2021, compared to its benchmark:

 

      Since Inception
  Six Months One Year (12/31/19)
Acclivity Mid Cap Multi-Style Fund - Class I 16.30% 51.95% 18.15%
Acclivity Mid Cap Multi-Style Fund - Class N 16.30% 51.95% 18.15%
Russell Mid-Cap Total Return Index** 16.25% 49.80% 22.85%
S&P 500 Total Return Index*** 15.25% 40.79% 23.05%
       
*The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gain distributions, if any. Current performance may be lower or higher than the performance data quoted above. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that investor’s 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 redemption of Fund shares. The Fund’s total annual operating expenses are 97.50% for Class I shares and 97.75% for Class N shares per the May 1, 2021, prospectus. After fee waivers, the Fund’s total annual operating expenses are 0.49% for Class I shares and 0.74% for Class N shares. For performance information current to the most recent month-end, please call toll-free 1-855-873-3837 (1-855-USE-ETFS).

 

**The Russell Mid-Cap Total Return Index measures the performance of the smallest 800 companies in the Russell 1000 index. Investors cannot invest directly in an index.

 

***The S&P 500 Total Return Index is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees and other expenses. Investors cannot invest directly in an index.

 

Holdings By Asset Class as of June 30, 2021  % of Net Assets 
Insurance   8.7%
Money Market Fund   6.5%
Retail - Discretionary   5.5%
Banking   5.2%
Software   4.0%
Semiconductors   3.6%
Health Care Facilities & Services   3.5%
Chemicals   3.2%
Machinery   3.2%
Other   61.0%
Liabilities in Excess of Other Assets   (4.4)%
    100.0%
      

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

6 

 

ACCLIVITY SMALL CAP VALUE FUND
PORTFOLIO REVIEW (Unaudited)
June 30, 2021
 

The Fund’s performance figures* for the periods ended June 30, 2021, compared to its benchmark:

 

      Since Inception
  Six Months One Year (12/31/18)
Acclivity Small Cap Value Fund - Class I 31.23% 82.33% 22.84%
Acclivity Small Cap Value Fund - Class N 31.04% 81.97% 22.69%
Russell 2000® Value Total Return Index** 26.69% 73.28% 21.40%
S&P 500 Total Return Index*** 15.25% 40.79% 26.39%
       
*The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gain distributions, if any. Current performance may be lower or higher than the performance data quoted above. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that investor’s 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 redemption of Fund shares. The Fund’s total annual operating expenses are 5.63% for Class I shares and 5.88% for Class N shares per the May 1, 2021 prospectus. After fee waivers, the Fund’s total annual operating expenses are 0.54% for Class I shares and 0.79% for Class N shares. For performance information current to the most recent month-end, please call toll-free 1-855-873-3837 (1-855-USE-ETFS).

 

**The Russell 2000® Value Total Return Index measures the performance of the largest 2,000 U.S. companies determined by total market capitalization. Investors cannot invest directly in an index.

 

***The S&P 500 Total Return Index is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees and other expenses. Investors cannot invest directly in an index.

 

Holdings By Asset Class as of June 30, 2021  % of Net Assets 
Banking   21.8%
Retail - Discretionary   7.6%
Technology Hardware   5.9%
Oil & Gas Producers   5.3%
Specialty Finance   5.2%
Insurance   4.8%
Chemicals   2.8%
Money Market Fund   2.7%
Machinery   2.4%
Other   43.2%
Liabilities in Excess of Other Assets   (1.7)%
    100.0%
      

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

7 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5%     
     ADVERTISING & MARKETING - 1.6%     
 39   Interpublic Group of Companies, Inc. (The)  $1,267 
 10   Omnicom Group, Inc.   800 
 30   Trade Desk, Inc. (The), Class A(a)   2,321 
         4,388 
     AEROSPACE & DEFENSE - 1.7%     
 36   Howmet Aerospace, Inc.(a)   1,241 
 5   Huntington Ingalls Industries, Inc.   1,054 
 2   Teledyne Technologies, Inc.(a)   838 
 15   Textron, Inc.   1,031 
 4   Woodward, Inc.   491 
         4,655 
     APPAREL & TEXTILE PRODUCTS - 1.6%     
 4   Crocs, Inc.(a)   466 
 1   Deckers Outdoor Corporation(a)   384 
 27   Hanesbrands, Inc.   504 
 6   PVH Corporation(a)   646 
 6   Ralph Lauren Corporation   707 
 10   Skechers USA, Inc., Class A(a)   498 
 28   Tapestry, Inc.(a)   1,217 
         4,422 
     ASSET MANAGEMENT - 2.8%     
 20   Apollo Global Management, Inc.   1,244 
 42   Carlyle Group, Inc. (The)   1,952 
 40   Franklin Resources, Inc.   1,280 
 7   LPL Financial Holdings, Inc.   945 
 13   Raymond James Financial, Inc.   1,689 
 11   Stifel Financial Corporation   713 
         7,823 
     AUTOMOTIVE - 1.5%     
 9   Autoliv, Inc.   880 
 22   BorgWarner, Inc.   1,068 
 18   Gentex Corporation   596 
 16   Harley-Davidson, Inc.   733 
           

See accompanying notes to financial statements.

8 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     AUTOMOTIVE - 1.5% (Continued)     
 5   Lear Corporation  $876 
         4,153 
     BANKING - 5.2%     
 1   CIT Group, Inc.   52 
 24   Citizens Financial Group, Inc.   1,101 
 14   Comerica, Inc.   999 
 6   Cullen/Frost Bankers, Inc.   672 
 11   East West Bancorp, Inc.   789 
 139   Huntington Bancshares, Inc.   1,983 
 59   KeyCorp   1,218 
 7   M&T Bank Corporation   1,017 
 36   People’s United Financial, Inc.   617 
 7   Pinnacle Financial Partners, Inc.   618 
 8   Prosperity Bancshares, Inc.   574 
 57   Regions Financial Corporation   1,150 
 3   SVB Financial Group(a)   1,669 
 12   Synovus Financial Corporation   527 
 8   Western Alliance Bancorp   743 
 16   Zions Bancorp NA   846 
         14,575 
     BEVERAGES - 0.6%     
 1   Boston Beer Company, Inc. (The), Class A(a)   1,021 
 14   Molson Coors Beverage Company, Class B(a)   751 
         1,772 
     BIOTECH & PHARMA - 2.6%     
 7   ACADIA Pharmaceuticals, Inc.(a)   171 
 3   Acceleron Pharma, Inc.(a)   376 
 2   Amicus Therapeutics, Inc.(a)   19 
 4   BioMarin Pharmaceutical, Inc.(a)   334 
 4   Blueprint Medicines Corporation(a)   352 
 11   Denali Therapeutics, Inc.(a)   863 
 4   Emergent BioSolutions, Inc.(a)   252 
 29   Exelixis, Inc.(a)   528 
 11   Halozyme Therapeutics, Inc.(a)   500 
           

See accompanying notes to financial statements.

9 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     BIOTECH & PHARMA - 2.6% (Continued)     
 8   Ionis Pharmaceuticals, Inc.(a)  $319 
 1   Iovance Biotherapeutics, Inc.(a)   26 
 2   Mirati Therapeutics, Inc.(a)   323 
 7   Neurocrine Biosciences, Inc.(a)   681 
 4   Novavax, Inc., Class A(a)   849 
 5   Sarepta Therapeutics, Inc.(a)   389 
 2   TG Therapeutics, Inc.(a)   78 
 3   Ultragenyx Pharmaceutical, Inc.(a)   286 
 5   United Therapeutics Corporation(a)   897 
         7,243 
     CHEMICALS - 3.2%     
 2   Albemarle Corporation   337 
 5   Ashland Global Holdings, Inc.   438 
 4   Avery Dennison Corporation   841 
 4   Celanese Corporation   606 
 12   CF Industries Holdings, Inc.   618 
 9   Eastman Chemical Company   1,051 
 11   FMC Corporation   1,190 
 18   Huntsman Corporation   477 
 5   International Flavors & Fragrances, Inc.   747 
 30   Mosaic Company (The)   957 
 15   Olin Corporation   694 
 12   RPM International, Inc.   1,064 
 1   W R Grace & Company   69 
         9,089 
     COMMERCIAL SUPPORT SERVICES - 1.0%     
 13   Aramark   484 
 5   ManpowerGroup, Inc.   595 
 17   R1 RCM, Inc.(a)   378 
 7   Robert Half International, Inc.   623 
 6   Stericycle, Inc.(a)   429 
 9   Terminix Global Holdings, Inc.(a)   429 
         2,938 
           

See accompanying notes to financial statements.

10 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     CONSTRUCTION MATERIALS - 1.6%     
 6   Advanced Drainage Systems, Inc.  $700 
 5   Carlisle Companies, Inc.   957 
 4   Martin Marietta Materials, Inc.   1,407 
 17   MDU Resources Group, Inc.   533 
 8   Owens Corning   783 
         4,380 
     CONSUMER SERVICES - 0.6%     
 1   Bright Horizons Family Solutions, Inc.(a)   147 
 7   Chegg, Inc.(a)   582 
 18   Service Corp International   964 
         1,693 
     CONTAINERS & PACKAGING - 1.8%     
 4   AptarGroup, Inc.   563 
 12   Crown Holdings, Inc.   1,227 
 1   Graphic Packaging Holding Company   18 
 7   Packaging Corp of America   948 
 13   Sealed Air Corporation   770 
 8   Sonoco Products Company   535 
 21   Westrock Company   1,118 
         5,179 
     DIVERSIFIED INDUSTRIALS - 0.2%     
 6   ITT, Inc.   549 
           
     E-COMMERCE DISCRETIONARY - 0.3%     
 3   Etsy, Inc.(a)   617 
 2   Stitch Fix, Inc., Class A(a)   121 
         738 
     ELECTRIC UTILITIES - 2.6%     
 16   Alliant Energy Corporation   892 
 28   Evergy, Inc.   1,692 
 1   Hawaiian Electric Industries, Inc.   42 
 2   IDACORP, Inc.   195 
 4   NextEra Energy Partners, L.P.   305 
 25   NRG Energy, Inc.   1,008 
           

See accompanying notes to financial statements.

11 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     ELECTRIC UTILITIES - 2.6% (Continued)     
 25   OGE Energy Corporation  $841 
 17   Pinnacle West Capital Corporation   1,394 
 1   Portland General Electric Company   46 
 43   Vistra Corporation   798 
         7,213 
     ELECTRICAL EQUIPMENT - 1.9%     
 11   A O Smith Corporation   793 
 2   Acuity Brands, Inc.   374 
 6   BWX Technologies, Inc.   349 
 6   Cognex Corporation   504 
 3   Generac Holdings, Inc.(a)   1,245 
 1   Hubbell, Inc.   187 
 1   Lennox International, Inc.   351 
 2   Littelfuse, Inc.   509 
 7   National Instruments Corporation   296 
 8   Trimble, Inc.(a)   655 
         5,263 
     ENGINEERING & CONSTRUCTION - 1.8%     
 9   AECOM(a)   570 
 4   EMCOR Group, Inc.   493 
 7   Jacobs Engineering Group, Inc.   934 
 8   MasTec, Inc.(a)   849 
 13   Quanta Services, Inc.   1,177 
 4   Tetra Tech, Inc.   488 
 17   WillScot Mobile Mini Holdings Corporation(a)   474 
         4,985 
     ENTERTAINMENT CONTENT - 0.3%     
 68   Zynga, Inc., Class A(a)   723 
           
     FOOD - 1.9%     
 28   Campbell Soup Company   1,277 
 1   Darling Ingredients, Inc.(a)   67 
 6   Ingredion, Inc.   543 
 12   J M Smucker Company (The)   1,555 
           

See accompanying notes to financial statements.

12 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     FOOD - 1.9% (Continued)     
 12   Lamb Weston Holdings, Inc.  $968 
 2   Lancaster Colony Corporation   387 
 5   Post Holdings, Inc.(a)   542 
         5,339 
     FORESTRY, PAPER & WOOD PRODUCTS - 0.5%     
 12   Louisiana-Pacific Corporation   724 
 7   Trex Company, Inc.(a)   715 
         1,439 
     GAS & WATER UTILITIES - 1.7%     
 15   Atmos Energy Corporation   1,442 
 18   Essential Utilities, Inc.   822 
 49   NiSource, Inc.   1,200 
 31   UGI Corporation   1,436 
         4,900 
     HEALTH CARE FACILITIES & SERVICES - 3.5%     
 2   Amedisys, Inc.(a)   490 
 16   Cardinal Health, Inc.   913 
 1   Charles River Laboratories International, Inc.(a)   370 
 1   Chemed Corporation   475 
 11   DaVita, Inc.(a)   1,325 
 5   Encompass Health Corporation   390 
 5   HealthEquity, Inc.(a)   402 
 13   Henry Schein, Inc.(a)   965 
 12   Invitae Corporation(a)   405 
 2   LHC Group, Inc.(a)   401 
 3   Molina Healthcare, Inc.(a)   759 
 2   NeoGenomics, Inc.(a)   90 
 2   PRA Health Sciences, Inc.(a)   330 
 5   Syneos Health, Inc.(a)   448 
 1   Teladoc Health, Inc.(a)   166 
 12   Universal Health Services, Inc., Class B   1,757 
         9,686 
     HOME & OFFICE PRODUCTS - 1.7%     
 13   Leggett & Platt, Inc.   673 
           

See accompanying notes to financial statements.

13 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     HOME & OFFICE PRODUCTS - 1.7% (Continued)     
 25   Newell Brands, Inc.  $687 
 5   Scotts Miracle-Gro Company (The)   960 
 17   Tempur Sealy International, Inc.   666 
 8   Whirlpool Corporation   1,744 
         4,730 
     HOME CONSTRUCTION - 1.9%     
 10   Fortune Brands Home & Security, Inc.   996 
 20   Masco Corporation   1,178 
 5   Mohawk Industries, Inc.(a)   961 
 26   PulteGroup, Inc.   1,419 
 13   Toll Brothers, Inc.   752 
         5,306 
     INDUSTRIAL INTERMEDIATE PRODUCTS - 0.2%     
 6   Timken Company (The)   484 
           
     INDUSTRIAL SUPPORT SERVICES - 1.3%     
 2   AMERCO   1,179 
 3   SiteOne Landscape Supply, Inc.(a)   508 
 4   United Rentals, Inc.(a)   1,276 
 2   Watsco, Inc.   573 
         3,536 
     INSTITUTIONAL FINANCIAL SERVICES - 0.6%     
 28   Jefferies Financial Group, Inc.   957 
 12   SEI Investments Company   744 
         1,701 
     INSURANCE - 8.7%     
 2   Alleghany Corporation(a)   1,334 
 11   American Financial Group, Inc.   1,372 
 9   Assurant, Inc.   1,406 
 16   Cincinnati Financial Corporation   1,866 
 14   Globe Life, Inc.   1,334 
 33   Hartford Financial Services Group, Inc. (The)   2,045 
 9   Kemper Corporation   665 
 26   Lincoln National Corporation   1,634 
           

See accompanying notes to financial statements.

14 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     INSURANCE - 8.7% (Continued)     
 29   Loews Corporation  $1,585 
 2   Markel Corporation(a)   2,373 
 52   Old Republic International Corporation   1,295 
 5   Primerica, Inc.   766 
 19   Principal Financial Group, Inc.   1,201 
 1   Radian Group, Inc.   22 
 12   Reinsurance Group of America, Inc.   1,368 
 31   Unum Group   880 
 20   Voya Financial, Inc.   1,230 
 26   W R Berkley Corporation   1,935 
         24,311 
     INTERNET MEDIA & SERVICES - 1.5%     
 16   Expedia Group, Inc.(a)   2,619 
 16   GoDaddy, Inc., Class A(a)   1,391 
 13   Just Eat Takeaway.com N.V. - ADR(a)   238 
 1   TripAdvisor, Inc.(a)   40 
         4,288 
     LEISURE FACILITIES & SERVICES - 1.6%     
 9   Boyd Gaming Corporation(a)   553 
 4   Choice Hotels International, Inc.   475 
 2   Churchill Downs, Inc.   397 
 6   Darden Restaurants, Inc.   876 
 10   Penn National Gaming, Inc.(a)   765 
 5   Texas Roadhouse, Inc.   481 
 3   Vail Resorts, Inc.(a)   950 
         4,497 
     LEISURE PRODUCTS - 1.6%     
 8   Brunswick Corporation   797 
 3   Fox Factory Holding Corporation(a)   467 
 15   Hasbro, Inc.   1,418 
 31   Mattel, Inc.(a)   623 
 6   Polaris, Inc.   822 
 4   Thor Industries, Inc.   452 
         4,579 
           

See accompanying notes to financial statements.

15 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     MACHINERY - 3.2%     
 7   AGCO Corporation  $913 
 4   Crane Company   369 
 1   Curtiss-Wright Corporation   119 
 9   Donaldson Company, Inc.   572 
 9   Flowserve Corporation   363 
 8   Graco, Inc.   606 
 3   IDEX Corporation   660 
 4   Lincoln Electric Holdings, Inc.   527 
 4   Middleby Corporation (The)(a)   693 
 3   MSA Safety, Inc.   497 
 4   Nordson Corporation   878 
 4   Oshkosh Corporation   498 
 6   Snap-on, Inc.   1,340 
 8   Toro Company (The)   879 
         8,914 
     MEDICAL EQUIPMENT & DEVICES - 2.7%     
 1   ABIOMED, Inc.(a)   312 
 2   Bio-Techne Corporation   901 
 3   Bruker Corporation   228 
 15   DENTSPLY SIRONA, Inc.   949 
 7   Globus Medical, Inc., Class A(a)   543 
 2   Haemonetics Corporation(a)   133 
 5   Hill-Rom Holdings, Inc.   568 
 3   Insulet Corporation(a)   824 
 5   Integra LifeSciences Holdings Corporation(a)   341 
 1   iRhythm Technologies, Inc.(a)   66 
 2   Masimo Corporation(a)   485 
 1   Nevro Corporation(a)   166 
 1   Penumbra, Inc.(a)   274 
 3   PerkinElmer, Inc.   463 
 3   Quidel Corporation(a)   384 
 3   Repligen Corporation(a)   599 
 2   STAAR Surgical Company(a)   305 
         7,541 
           

See accompanying notes to financial statements.

16 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     METALS & MINING - 0.7%     
 22   Alcoa Corporation(a)  $810 
 25   Cleveland-Cliffs, Inc.(a)   539 
 5   Royal Gold, Inc.   571 
         1,920 
     OIL & GAS PRODUCERS - 1.9%     
 35   Cabot Oil & Gas Corporation   611 
 11   Cimarex Energy Company   797 
 16   ConocoPhillips   974 
 11   Diamondback Energy, Inc.   1,033 
 5   HollyFrontier Corporation   165 
 62   Marathon Oil Corporation   844 
 18   Targa Resources Corporation   800 
         5,224 
     OIL & GAS SERVICES & EQUIPMENT - 0.5%     
 44   Halliburton Company   1,017 
 27   NOV, Inc.(a)   414 
         1,431 
     PUBLISHING & BROADCASTING - 1.1%     
 17   Liberty Media Corp-Liberty Formula One - Series C(a)   819 
 18   Liberty Media Corp-Liberty SiriusXM, Class C(a)   835 
 9   New York Times Company (The), Class A   392 
 41   News Corporation, Class A   1,057 
         3,103 
     REAL ESTATE SERVICES - 0.5%     
 6   Jones Lang LaSalle, Inc.(a)   1,173 
 4   Redfin Corporation(a)   253 
         1,426 
     REIT - 0.6%     
 1   Texas Pacific Land Corporation   1,600 
           
     RENEWABLE ENERGY - 0.8%     
 5   Enphase Energy, Inc.(a)   918 
 7   First Solar, Inc.(a)   633 
           

See accompanying notes to financial statements.

17 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     RENEWABLE ENERGY - 0.8% (Continued)     
 2   SolarEdge Technologies, Inc.(a)  $553 
         2,104 
     RETAIL - CONSUMER STAPLES - 0.6%     
 3   Casey’s General Stores, Inc.   584 
 4   Five Below, Inc.(a)   773 
 5   Ollie’s Bargain Outlet Holdings, Inc.(a)   421 
         1,778 
     RETAIL - DISCRETIONARY - 5.5%     
 6   Advance Auto Parts, Inc.   1,231 
 9   AutoNation, Inc.(a)   853 
 17   Builders FirstSource, Inc.(a)   725 
 3   Burlington Stores, Inc.(a)   966 
 12   Dick’s Sporting Goods, Inc.   1,202 
 8   Floor & Decor Holdings, Inc., Class A(a)   846 
 11   Foot Locker, Inc.   678 
 44   Gap, Inc. (The)   1,481 
 7   Genuine Parts Company   885 
 18   Kohl’s Corporation   992 
 3   Lithia Motors, Inc., Class A   1,031 
 3   Nordstrom, Inc.(a)   110 
 2   RH(a)   1,358 
 6   Tractor Supply Company   1,116 
 2   Ulta Beauty, Inc.(a)   691 
 7   Williams-Sonoma, Inc.   1,118 
         15,283 
     SEMICONDUCTORS - 3.6%     
 4   Brooks Automation, Inc.   381 
 1   Cirrus Logic, Inc.(a)   85 
 5   Cree, Inc.(a)   490 
 9   Entegris, Inc.   1,107 
 9   II-VI, Inc.(a)   653 
 3   IPG Photonics Corporation(a)   632 
 9   Lattice Semiconductor Corporation(a)   506 
 9   Marvell Technology, Inc.   525 
           

See accompanying notes to financial statements.

18 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     SEMICONDUCTORS - 3.6% (Continued)     
 4   MKS Instruments, Inc.  $712 
 1   Monolithic Power Systems, Inc.   373 
 24   ON Semiconductor Corporation(a)   919 
 6   Qorvo, Inc.(a)   1,174 
 3   Silicon Laboratories, Inc.(a)   460 
 11   Teradyne, Inc.   1,473 
 3   Universal Display Corporation   667 
         10,157 
     SOFTWARE - 4.0%     
 1   ACI Worldwide, Inc.(a)   37 
 1   Alteryx, Inc., Class A(a)   86 
 6   Aspen Technology, Inc.(a)   825 
 11   Black Knight, Inc.(a)   858 
 4   Cloudera, Inc.(a)   63 
 4   Concentrix Corporation(a)   643 
 7   Digital Turbine, Inc.(a)   532 
 3   Five9, Inc.(a)   550 
 4   Guidewire Software, Inc.(a)   451 
 3   J2 Global, Inc.(a)   413 
 6   Manhattan Associates, Inc.(a)   869 
 1   MicroStrategy, Inc., Class A(a)   665 
 8   NortonLifeLock, Inc.   218 
 19   Nuance Communications, Inc.(a)   1,034 
 2   Omnicell, Inc.(a)   303 
 3   Paylocity Holding Corporation(a)   572 
 5   Pegasystems, Inc.   696 
 4   Proofpoint, Inc.(a)   695 
 3   PTC, Inc.(a)   424 
 4   Varonis Systems, Inc.(a)   231 
 5   Workiva, Inc.(a)   557 
 4   Zendesk, Inc.(a)   577 
         11,299 
     SPECIALTY FINANCE - 2.7%     
 47   Fidelity National Financial, Inc.   2,043 
           

See accompanying notes to financial statements.

19 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     SPECIALTY FINANCE - 2.7% (Continued)     
 22   First American Financial Corporation  $1,372 
 3   MGIC Investment Corporation   41 
 40   SLM Corporation   837 
 69   Synchrony Financial   3,348 
         7,641 
     STEEL - 0.5%     
 4   Reliance Steel & Aluminum Company   604 
 14   Steel Dynamics, Inc.   834 
         1,438 
     TECHNOLOGY HARDWARE - 3.0%     
 8   Arrow Electronics, Inc.(a)   911 
 15   Ciena Corporation(a)   853 
 9   Dolby Laboratories, Inc., Class A   885 
 4   F5 Networks, Inc.(a)   747 
 13   Jabil, Inc.   755 
 41   Juniper Networks, Inc.   1,121 
 7   Lumentum Holdings, Inc.(a)   574 
 8   NetApp, Inc.   655 
 8   Pure Storage, Inc., Class A(a)   156 
 1   SYNNEX Corporation   122 
 1   ViaSat, Inc.(a)   50 
 21   Western Digital Corporation(a)   1,495 
 7   Xerox Holdings Corporation   164 
         8,488 
     TECHNOLOGY SERVICES - 2.3%     
 5   Booz Allen Hamilton Holding Corporation   426 
 18   DXC Technology Company(a)   701 
 2   Euronet Worldwide, Inc.(a)   271 
 3   FactSet Research Systems, Inc.   1,007 
 5   Gartner, Inc.(a)   1,211 
 4   Jack Henry & Associates, Inc.   654 
 6   Leidos Holdings, Inc.   606 
 1   LiveRamp Holdings, Inc.(a)   47 
 5   MAXIMUS, Inc.   440 
           

See accompanying notes to financial statements.

20 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.5% (Continued)     
     TECHNOLOGY SERVICES - 2.3% (Continued)     
 30   Western Union Company (The)  $689 
 2   WEX, Inc.(a)   388 
         6,440 
     TELECOMMUNICATIONS - 0.1%     
 8   Iridium Communications, Inc.(a)   320 
           
     TRANSPORTATION & LOGISTICS - 1.8%     
 8   Alaska Air Group, Inc.(a)   482 
 12   CH Robinson Worldwide, Inc.   1,124 
 3   JB Hunt Transport Services, Inc.   489 
 11   JetBlue Airways Corporation(a)   185 
 17   Knight-Swift Transportation Holdings, Inc.   773 
 3   Landstar System, Inc.   474 
 2   Saia, Inc.(a)   419 
 7   XPO Logistics, Inc.(a)   979 
         4,925 
     TRANSPORTATION EQUIPMENT - 0.5%     
 1   Allison Transmission Holdings, Inc.   40 
 15   Westinghouse Air Brake Technologies Corporation   1,234 
         1,274 
     WHOLESALE - CONSUMER STAPLES - 0.4%     
 15   Performance Food Group Company(a)   727 
 13   US Foods Holding Corporation(a)   499 
         1,226 
     WHOLESALE - DISCRETIONARY - 0.9%     
 25   LKQ Corporation(a)   1,230 
 3   Pool Corporation   1,376 
         2,606 
           
     TOTAL COMMON STOCKS (Cost $215,942)   272,715 
           

See accompanying notes to financial statements.

21 

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     PARTNERSHIP SHARES — 0.4%     
     OIL & GAS PRODUCERS - 0.4%     
 25   Magellan Midstream Partners, L.P.  $1,223 
           
     TOTAL PARTNERSHIP SHARES (Cost $1,115)   1,223 
           
     MONEY MARKET FUNDS - 6.5%     
 18,306   BlackRock Liquidity Funds T-Fund, Institutional Class, 0.01%(b)   18,306 
           
     TOTAL MONEY MARKET FUNDS (Cost $18,306)   18,306 
           
     TOTAL INVESTMENTS - 104.4% (Cost $235,363)  $292,244 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (4.4)%   (12,399)
     NET ASSETS - 100.0%  $279,845 
           

ADR - American Depositary Receipt.

 

(a)Non-income producing security.

 

(b)Rate disclosed is the seven day effective yield as of June 30, 2021.

 

See accompanying notes to financial statements.

22 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8%     
     AEROSPACE & DEFENSE - 0.7%     
 205   AAR Corporation(a)  $7,944 
 103   Barnes Group, Inc.   5,279 
 35   Ducommun, Inc.(a)   1,909 
 68   Mercury Systems, Inc.(a)   4,507 
 105   Moog, Inc., Class A   8,826 
 21   National Presto Industries, Inc.   2,135 
 71   SIFCO Industries, Inc.(a)   715 
         31,315 
     APPAREL & TEXTILE PRODUCTS - 0.6%     
 61   Culp, Inc.   994 
 124   Fossil Group, Inc.(a)   1,771 
 171   Movado Group, Inc.   5,381 
 110   PVH Corporation(a)   11,835 
 76   Rocky Brands, Inc.   4,226 
 149   Tandy Leather Factory, Inc.(a)   745 
 19   Unifi, Inc.(a)   463 
 22   Weyco Group, Inc.   492 
         25,907 
     ASSET MANAGEMENT - 0.6%     
 25   Associated Capital Group, Inc., Class A   972 
 330   Boston Private Financial Holdings, Inc.   4,867 
 151   Community Bankers Trust Corporation   1,712 
 138   Entasis Therapeutics Holdings, Inc.(a)   368 
 14   First Western Financial, Inc.(a)   362 
 62   Hennessy Advisors, Inc.   578 
 159   ODP Corporation (The)(a)   7,634 
 184   Oppenheimer Holdings, Inc., Class A   9,355 
         25,848 
     AUTOMOTIVE - 1.8%     
 411   American Axle & Manufacturing Holdings, Inc.(a)   4,254 
 665   China Automotive Systems, Inc.(a)   3,278 
 72   Cooper-Standard Holdings, Inc.(a)   2,088 
 578   Dana, Inc.   13,733 
 1,348   Goodyear Tire & Rubber Company (The)(a)   23,118 
           

See accompanying notes to financial statements.

23 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     AUTOMOTIVE - 1.8% (Continued)     
 458   Harley-Davidson, Inc.  $20,986 
 87   Methode Electronics, Inc.   4,281 
 34   Miller Industries, Inc.   1,341 
 339   Modine Manufacturing Company(a)   5,624 
 148   Motorcar Parts of America, Inc.(a)   3,321 
 85   Unique Fabricating, Inc.(a)   315 
         82,339 
     BANKING - 21.8%     
 80   1st Constitution Bancorp   1,655 
 40   ACNB Corporation   1,116 
 67   American National Bankshares, Inc.   2,083 
 82   American River Bankshares   1,484 
 48   Ames National Corporation   1,176 
 478   Associated Banc-Corporation   9,789 
 311   Atlantic Union Bankshares Corporation   11,264 
 186   Banc of California, Inc.   3,262 
 263   BancorpSouth Bank   7,451 
 154   Bank of Commerce Holdings   2,313 
 12   Bank of Princeton (The)   344 
 61   Bank OZK   2,572 
 81   BankFinancial Corporation   927 
 219   BankUnited, Inc.   9,349 
 123   Banner Corporation   6,668 
 75   Bar Harbor Bankshares   2,146 
 81   BayCom Corporation(a)   1,454 
 182   BCB Bancorp, Inc.   2,448 
 272   Berkshire Hills Bancorp, Inc.   7,456 
 339   BOK Financial Corporation   29,357 
 242   Brookline Bancorp, Inc.   3,618 
 87   Bryn Mawr Bank Corporation   3,671 
 305   Byline Bancorp, Inc.   6,902 
 904   Cadence BanCorporation   18,876 
 88   Camden National Corporation   4,203 
 111   Capstar Financial Holdings, Inc.   2,275 
           

See accompanying notes to financial statements.

24 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     BANKING - 21.8% (Continued)     
 49   CB Financial Services, Inc.  $1,085 
 52   CBM Bancorp, Inc.   782 
 147   Central Pacific Financial Corporation   3,831 
 88   Central Valley Community Bancorp   1,773 
 44   ChoiceOne Financial Services, Inc.   1,066 
 664   CIT Group, Inc.   34,256 
 81   Citizens & Northern Corporation   1,984 
 117   Citizens Community Bancorp, Inc.   1,601 
 134   Civista Bancshares, Inc.   2,961 
 108   CNB Financial Corp   2,465 
 38   Codorus Valley Bancorp, Inc.   762 
 96   Colony Bankcorp, Inc.   1,715 
 28   Community Financial Corporation (The)   966 
 84   Community Trust Bancorp, Inc.   3,392 
 216   ConnectOne Bancorp, Inc.   5,653 
 56   County Bancorp, Inc.   1,902 
 310   Customers Bancorp, Inc.(a)   12,087 
 195   Dime Community Bancshares, Inc.   6,556 
 138   Eagle Bancorp, Inc.   7,739 
 103   Enterprise Financial Services Corporation   4,778 
 118   Equity Bancshares, Inc., Class A(a)   3,598 
 84   ESSA Bancorp, Inc.   1,377 
 53   Farmers & Merchants Bancorp, Inc.   1,156 
 180   Financial Institutions, Inc.   5,400 
 277   First Bancorp   11,332 
 99   First Bancshares, Inc. (The)   3,706 
 198   First Bank   2,681 
 211   First Busey Corporation   5,203 
 93   First Business Financial Services, Inc.   2,518 
 248   First Commonwealth Financial Corporation   3,489 
 91   First Community Bankshares, Inc.   2,716 
 432   First Financial Bancorp   10,208 
 81   First Financial Corporation   3,306 
 99   First Financial Northwest, Inc.   1,500 
           

See accompanying notes to financial statements.

25 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     BANKING - 21.8% (Continued)     
 50   First Guaranty Bancshares, Inc.  $974 
 234   First Hawaiian, Inc.   6,632 
 2,026   First Horizon Corporation   35,009 
 68   First Internet Bancorp   2,107 
 85   First Mid Bancshares, Inc.   3,443 
 590   First Midwest Bancorp, Inc.   11,700 
 90   First Northwest Bancorp   1,579 
 124   First of Long Island Corporation (The)   2,633 
 431   Flagstar Bancorp, Inc.   18,218 
 218   Flushing Financial Corporation   4,672 
 1,261   FNB Corporation   15,548 
 30   FS Bancorp, Inc.   2,138 
 894   Fulton Financial Corporation   14,107 
 188   Great Western Bancorp, Inc.   6,165 
 428   Hancock Whitney Corporation   19,020 
 259   Hanmi Financial Corporation   4,937 
 243   HarborOne Bancorp, Inc.   3,485 
 218   Heartland Financial USA, Inc.   10,244 
 296   Heritage Commerce Corporation   3,294 
 141   Heritage Financial Corporation   3,528 
 393   Hilltop Holdings, Inc.   14,305 
 57   Home Bancorp, Inc.   2,172 
 13   HomeStreet, Inc.   530 
 102   HomeTrust Bancshares, Inc.   2,846 
 522   Hope Bancorp, Inc.   7,402 
 174   Horizon Bancorp, Inc.   3,033 
 109   Howard Bancorp, Inc.(a)   1,758 
 1,591   Huntington Bancshares, Inc.   22,704 
 79   Investar Holding Corporation   1,808 
 678   Investors Bancorp, Inc.   9,668 
 375   Kearny Financial Corporation   4,481 
 266   Lakeland Bancorp, Inc.   4,650 
 115   LCNB Corporation   1,883 
 55   Mackinac Financial Corporation   1,087 
           

See accompanying notes to financial statements.

26 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     BANKING - 21.8% (Continued)     
 56   MainStreet Bancshares, Inc.(a)  $1,264 
 85   Mercantile Bank Corporation   2,567 
 164   Meridian Bancorp, Inc.   3,355 
 38   Middlefield Banc Corporation   897 
 209   Midland States Bancorp, Inc.   5,490 
 102   MidWestOne Financial Group, Inc.   2,935 
 1,461   New York Community Bancorp, Inc.   16,100 
 218   Northfield Bancorp, Inc.   3,575 
 80   Northrim BanCorp, Inc.   3,420 
 529   Northwest Bancshares, Inc.   7,216 
 279   OceanFirst Financial Corporation   5,814 
 7   Ohio Valley Banc Corporation   171 
 399   Old National Bancorp   7,026 
 10   Old Point Financial Corporation   243 
 227   Old Second Bancorp, Inc.   2,815 
 163   OP Bancorp   1,640 
 133   Orrstown Financial Services, Inc.   3,068 
 686   PacWest Bancorp   28,236 
 62   Parke Bancorp, Inc.   1,213 
 21   Pathfinder Bancorp, Inc.   332 
 28   PCB Bancorp   451 
 132   Peapack-Gladstone Financial Corporation   4,101 
 45   Penns Woods Bancorp, Inc.   1,072 
 107   Peoples Bancorp, Inc.   3,169 
 245   Pinnacle Financial Partners, Inc.   21,631 
 87   Premier Financial Bancorp, Inc.   1,466 
 249   Premier Financial Corporation   7,074 
 161   Primis Financial Corporation   2,457 
 50   Provident Financial Holdings, Inc.   863 
 369   Provident Financial Services, Inc.   8,446 
 113   QCR Holdings, Inc.   5,434 
 117   RBB Bancorp   2,834 
 198   Renasant Corporation   7,920 
 99   Republic Bancorp, Inc., Class A   4,567 
           

See accompanying notes to financial statements.

27 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     BANKING - 21.8% (Continued)     
 190   Riverview Bancorp, Inc.  $1,347 
 137   Riverview Financial Corporation   1,566 
 171   S&T Bancorp, Inc.   5,352 
 12   SB Financial Group, Inc.   222 
 112   Select Bancorp, Inc.(a)   1,805 
 112   Sierra Bancorp   2,850 
 306   Simmons First National Corporation, Class A   8,978 
 120   SmartFinancial, Inc.   2,881 
 18   South State Corporation   1,472 
 901   Sterling Bancorp   22,336 
 1,302   Synovus Financial Corporation   57,132 
 52   Territorial Bancorp, Inc.   1,350 
 313   Towne Bank   9,521 
 86   TrustCo Bank Corp   2,957 
 222   Trustmark Corporation   6,838 
 836   Umpqua Holdings Corporation   15,424 
 53   United Bancshares, Inc.   1,909 
 430   United Bankshares, Inc.   15,695 
 117   United Security Bancshares   956 
 171   Univest Financial Corporation   4,509 
 1,504   Valley National Bancorp   20,199 
 177   Veritex Holdings, Inc.   6,268 
 232   Washington Federal, Inc.   7,373 
 773   Webster Financial Corporation   41,232 
 328   WesBanco, Inc.   11,687 
 208   Western New England Bancorp, Inc.   1,695 
 198   Wintrust Financial Corporation   14,975 
         984,554 
     BEVERAGES - 0.0% (b)     
 51   Coffee Holding Company, Inc.(a)   274 
           
     BIOTECH & PHARMA - 1.2%     
 617   Amneal Pharmaceuticals, Inc.(a)   3,159 
 170   Amphastar Pharmaceuticals, Inc.(a)   3,427 
           

See accompanying notes to financial statements.

28 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     BIOTECH & PHARMA - 1.2% (Continued)     
 21   ANI Pharmaceuticals, Inc.(a)  $736 
 151   Coherus Biosciences, Inc.(a)   2,088 
 67   Collegium Pharmaceutical, Inc.(a)   1,584 
 96   Cumberland Pharmaceuticals, Inc.(a)   273 
 41   Eagle Pharmaceuticals, Inc.(a)   1,755 
 123   Emergent BioSolutions, Inc.(a)   7,748 
 42   Enanta Pharmaceuticals, Inc.(a)   1,848 
 64   G1 Therapeutics, Inc.(a)   1,404 
 267   Innoviva, Inc.(a)   3,580 
 9   Lannett Company, Inc.(a)   42 
 17   MacroGenics, Inc.(a)   457 
 2   Minerva Neurosciences, Inc.(a)   5 
 180   Prestige Consumer Healthcare, Inc.(a)   9,378 
 376   Sangamo Therapeutics, Inc.(a)   4,501 
 25   Travere Therapeutics, Inc.(a)   365 
 59   United Therapeutics Corporation(a)   10,585 
 467   Verastem, Inc.(a)   1,901 
         54,836 
     CHEMICALS - 2.8%     
 188   AdvanSix, Inc.(a)   5,614 
 806   AgroFresh Solutions, Inc.(a)   1,677 
 103   American Vanguard Corporation   1,804 
 112   Ashland Global Holdings, Inc.   9,800 
 653   Element Solutions, Inc.   15,267 
 68   Hawkins, Inc.   2,227 
 56   Haynes International, Inc.   1,981 
 159   HB Fuller Company   10,114 
 700   Huntsman Corporation   18,564 
 76   Intrepid Potash, Inc.(a)   2,421 
 125   Koppers Holdings, Inc.(a)   4,044 
 180   Kraton Corporation(a)   5,812 
 46   Materion Corporation   3,466 
 103   Minerals Technologies, Inc.   8,103 
 28   Oil-Dri Corp of America   957 
           

See accompanying notes to financial statements.

29 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     CHEMICALS - 2.8% (Continued)     
 331   PQ Group Holdings, Inc.  $5,084 
 809   Rayonier Advanced Materials, Inc.(a)   5,412 
 33   Rogers Corporation(a)   6,626 
 139   Trecora Resources(a)   1,157 
 530   Univar Solutions, Inc.(a)   12,921 
 161   Valhi, Inc.   3,917 
         126,968 
     COMMERCIAL SUPPORT SERVICES - 2.1%     
 17   ABM Industries, Inc.   754 
 135   AMN Healthcare Services, Inc.(a)   13,092 
 495   ARC Document Solutions, Inc.   1,064 
 52   BGSF, Inc.   642 
 28   BrightView Holdings, Inc.(a)   451 
 187   CBIZ, Inc.(a)   6,128 
 134   Cross Country Healthcare, Inc.(a)   2,212 
 137   Deluxe Corporation   6,544 
 2   Emerald Holding, Inc.(a)   11 
 84   Ennis, Inc.   1,808 
 90   GP Strategies Corporation(a)   1,415 
 77   Heidrick & Struggles International, Inc.   3,430 
 51   Huron Consulting Group, Inc.(a)   2,507 
 179   Kelly Services, Inc., Class A(a)   4,291 
 194   Korn Ferry   14,075 
 131   ManpowerGroup, Inc.   15,577 
 110   Quest Resource Holding Corporation(a)   699 
 100   Resources Connection, Inc.   1,436 
 146   Schnitzer Steel Industries, Inc., Class A   7,161 
 70   TrueBlue, Inc.(a)   1,968 
 33   UniFirst Corporation   7,743 
 36   Vectrus, Inc.(a)   1,713 
         94,721 
     CONSTRUCTION MATERIALS - 0.7%     
 199   Apogee Enterprises, Inc.   8,105 
 475   Summit Materials, Inc., Class A(a)   16,554 
           

See accompanying notes to financial statements.

30 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     CONSTRUCTION MATERIALS - 0.7% (Continued)     
 66   US Concrete, Inc.(a)  $4,871 
         29,530 
     CONSUMER SERVICES - 0.8%     
 134   Adtalem Global Education, Inc.(a)   4,776 
 43   American Public Education, Inc.(a)   1,219 
 12   Graham Holdings Company, Class B   7,607 
 94   Grand Canyon Education, Inc.(a)   8,457 
 131   Matthews International Corporation, Class A   4,711 
 382   Perdoceo Education Corporation(a)   4,687 
 158   Stride, Inc.(a)   5,076 
         36,533 
     CONTAINERS & PACKAGING - 0.1%     
 93   TriMas Corporation(a)   2,821 
           
     E-COMMERCE DISCRETIONARY - 0.1%     
 137   Lands’ End, Inc.(a)   5,624 
           
     ELECTRICAL EQUIPMENT - 1.0%     
 275   API Group Corporation(a)   5,745 
 43   Argan, Inc.   2,055 
 99   Bel Fuse, Inc., Class B   1,426 
 157   Belden, Inc.   7,939 
 69   Itron, Inc.(a)   6,899 
 228   Kimball Electronics, Inc.(a)   4,957 
 243   LSI Industries, Inc.   1,946 
 257   National Instruments Corporation   10,866 
 35   Powell Industries, Inc.   1,083 
 48   Preformed Line Products Company   3,562 
 38   RF Industries Ltd.(a)   283 
         46,761 
     ENGINEERING & CONSTRUCTION - 2.3%     
 106   Dycom Industries, Inc.(a)   7,900 
 137   EMCOR Group, Inc.   16,877 
 371   Fluor Corporation(a)   6,567 
           

See accompanying notes to financial statements.

31 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     ENGINEERING & CONSTRUCTION - 2.3% (Continued)     
 168   Granite Construction, Inc.  $6,977 
 206   KBR, Inc.   7,859 
 70   Limbach Holdings, Inc.(a)   648 
 183   MasTec, Inc.(a)   19,416 
 192   Mistras Group, Inc.(a)   1,887 
 160   MYR Group, Inc.(a)   14,547 
 230   Orion Group Holdings, Inc.(a)   1,322 
 255   Primoris Services Corporation   7,505 
 248   Sterling Construction Company, Inc.(a)   5,984 
 290   Tutor Perini Corporation(a)   4,017 
 15   VSE Corporation   743 
         102,249 
     ENTERTAINMENT CONTENT - 0.3%     
 204   AMC Networks, Inc., Class A(a)   13,627 
           
     FOOD - 1.3%     
 75   Alico, Inc.   2,670 
 101   B&G Foods, Inc.   3,313 
 171   Hain Celestial Group, Inc. (The)(a)   6,861 
 399   Hostess Brands, Inc.(a)   6,460 
 81   Landec Corporation(a)   911 
 37   Natural Health Trends Corporation   259 
 111   Nature’s Sunshine Products, Inc.   1,928 
 380   S&W Seed Company(a)   1,383 
 24   Sanderson Farms, Inc.   4,511 
 2   Seaboard Corporation   7,737 
 77   Seneca Foods Corporation, Class A(a)   3,933 
 195   Simply Good Foods Company (The)(a)   7,119 
 139   Tootsie Roll Industries, Inc.   4,714 
 135   TreeHouse Foods, Inc.(a)   6,010 
         57,809 
     FORESTRY, PAPER & WOOD PRODUCTS - 1.1%     
 125   Boise Cascade Company   7,294 
 270   Domtar Corporation(a)   14,839 
           

See accompanying notes to financial statements.

32 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     FORESTRY, PAPER & WOOD PRODUCTS - 1.1% (Continued)     
 33   Glatfelter Corporation  $461 
 226   Mercer International, Inc.   2,881 
 59   Neenah, Inc.   2,960 
 1,018   Resolute Forest Products, Inc.   12,420 
 115   Schweitzer-Mauduit International, Inc.   4,644 
 138   Verso Corporation, Class A   2,442 
         47,941 
     HEALTH CARE FACILITIES & SERVICES - 1.3%     
 133   MEDNAX, Inc.(a)   4,010 
 40   National HealthCare Corporation   2,796 
 1,235   OPKO Health, Inc.(a)   5,002 
 330   Owens & Minor, Inc.   13,969 
 451   Patterson Companies, Inc.   13,706 
 133   Premier, Inc., Class A   4,627 
 12   Psychemedics Corporation(a)   83 
 334   Select Medical Holdings Corporation   14,115 
         58,308 
     HOME & OFFICE PRODUCTS - 0.7%     
 723   ACCO Brands Corporation   6,239 
 90   Hooker Furniture Corporation   3,118 
 40   iRobot Corporation(a)   3,736 
 4   Kewaunee Scientific Corporation(a)   57 
 158   Kimball International, Inc., Class B   2,078 
 364   Knoll, Inc.   9,460 
 518   Steelcase, Inc., Class A   7,827 
 100   Virco Mfg. Corporation(a)   341 
         32,856 
     HOME CONSTRUCTION - 2.2%     
 41   American Woodmark Corporation(a)   3,349 
 225   Beazer Homes USA, Inc.(a)   4,340 
 200   Century Communities, Inc.   13,308 
 116   Dixie Group, Inc. (The)(a)   340 
 67   Forestar Group, Inc.(a)   1,401 
 173   Green Brick Partners, Inc.(a)   3,934 
           

See accompanying notes to financial statements.

33 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     HOME CONSTRUCTION - 2.2% (Continued)     
 135   Griffon Corporation  $3,460 
 195   Interface, Inc.   2,983 
 90   KB Home   3,665 
 69   LGI Homes, Inc.(a)   11,174 
 200   M/I Homes, Inc.(a)   11,734 
 84   MDC Holdings, Inc.   4,250 
 84   Meritage Homes Corporation(a)   7,903 
 85   Patrick Industries, Inc.   6,205 
 359   Taylor Morrison Home Corporation(a)   9,485 
 142   Toll Brothers, Inc.   8,209 
 183   Tri Pointe Homes, Inc.(a)   3,922 
         99,662 
     HOUSEHOLD PRODUCTS - 0.8%     
 182   Central Garden & Pet Company, Class A(a)   8,791 
 63   Clearwater Paper Corporation(a)   1,825 
 195   Crown Crafts, Inc.   1,476 
 93   Edgewell Personal Care Company   4,083 
 160   Nu Skin Enterprises, Inc., Class A   9,064 
 138   Quanex Building Products Corporation   3,428 
 85   Spectrum Brands Holdings, Inc.   7,228 
         35,895 
     INDUSTRIAL INTERMEDIATE PRODUCTS - 1.1%     
 124   Ampco-Pittsburgh Corporation(a)   753 
 106   AZZ, Inc.   5,489 
 63   Core Molding Technologies, Inc.(a)   972 
 26   Eastern Company (The)   788 
 44   EnPro Industries, Inc.   4,275 
 74   L B Foster Company, Class A(a)   1,379 
 122   Park-Ohio Holdings Corporation   3,921 
 39   Strattec Security Corporation(a)   1,734 
 322   Timken Company (The)   25,950 
 165   Tredegar Corporation   2,272 
         47,533 
           

See accompanying notes to financial statements.

34 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     INDUSTRIAL SUPPORT SERVICES - 0.9%     
 151   CAI International, Inc.  $8,456 
 95   DXP Enterprises, Inc.(a)   3,163 
 130   Herc Holdings, Inc.(a)   14,569 
 158   Titan Machinery, Inc.(a)   4,889 
 73   WESCO International, Inc.(a)   7,506 
         38,583 
     INSTITUTIONAL FINANCIAL SERVICES - 1.3%     
 322   Cowen, Inc., Class A   13,218 
 1,363   Jefferies Financial Group, Inc.   46,615 
         59,833 
     INSURANCE - 4.8%     
 187   Ambac Financial Group, Inc.(a)   2,928 
 244   American Equity Investment Life Holding Company   7,886 
 223   American National Group, Inc.   33,127 
 513   Brighthouse Financial, Inc.(a)   23,362 
 292   Citizens, Inc.(a)   1,545 
 1,054   CNO Financial Group, Inc.   24,895 
 206   Employers Holdings, Inc.   8,817 
 59   FedNat Holding Company   245 
 599   Genworth Financial, Inc., Class A(a)   2,336 
 238   Hallmark Financial Services, Inc.(a)   1,059 
 379   Heritage Insurance Holdings, Inc.   3,252 
 195   Horace Mann Educators Corporation   7,297 
 22   National Western Life Group, Inc., Class A   4,937 
 620   ProAssurance Corporation   14,105 
 980   Radian Group, Inc.   21,805 
 257   Security National Financial Corporation, Class A(a)   2,249 
 506   State Auto Financial Corporation   8,663 
 337   Tiptree, Inc.   3,134 
 61   Unico American Corporation(a)   284 
 150   United Fire Group, Inc.   4,159 
 506   United Insurance Holdings Corporation   2,884 
 1,307   Unum Group   37,119 
         216,088 
           

See accompanying notes to financial statements.

35 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     INTERNET MEDIA & SERVICES - 0.4%     
 292   Cars.com, Inc.(a)  $4,184 
 467   DHI Group, Inc.(a)   1,579 
 336   TrueCar, Inc.(a)   1,898 
 212   Yelp, Inc.(a)   8,472 
         16,133 
     LEISURE FACILITIES & SERVICES - 1.2%     
 10   Ark Restaurants Corporation(a)   198 
 37   Biglari Holdings, Inc.(a)   5,900 
 306   Carrols Restaurant Group, Inc.(a)   1,839 
 141   Century Casinos, Inc.(a)   1,894 
 124   Chuy’s Holdings, Inc.(a)   4,620 
 220   Del Taco Restaurants, Inc.   2,202 
 513   Dover Motorsports, Inc.   1,154 
 441   El Pollo Loco Holdings, Inc.(a)   8,066 
 172   Fiesta Restaurant Group, Inc.(a)   2,310 
 108   Full House Resorts, Inc.(a)   1,074 
 34   Golden Entertainment, Inc.(a)   1,523 
 104   Good Times Restaurants, Inc.(a)   425 
 108   J Alexander’s Holdings, Inc.(a)   1,257 
 331   Marcus Corporation (The)(a)   7,021 
 16   Potbelly Corporation(a)   126 
 104   RCI Hospitality Holdings, Inc.   6,885 
 266   Red Robin Gourmet Burgers, Inc.(a)   8,807 
         55,301 
     LEISURE PRODUCTS - 0.7%     
 43   American Outdoor Brands, Inc.(a)   1,511 
 118   Escalade, Inc.   2,708 
 30   Smith & Wesson Brands, Inc.   1,041 
 46   Thor Industries, Inc.   5,198 
 257   Vista Outdoor, Inc.(a)   11,894 
 128   Winnebago Industries, Inc.   8,699 
         31,051 
     MACHINERY - 2.4%     
 201   AGCO Corporation   26,207 
           

See accompanying notes to financial statements.

36 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     MACHINERY - 2.4% (Continued)     
 111   Altra Industrial Motion Corporation  $7,217 
 67   Astec Industries, Inc.   4,217 
 258   CECO Environmental Corporation(a)   1,847 
 174   Colfax Corporation(a)   7,971 
 72   Columbus McKinnon Corporation   3,473 
 42   ESCO Technologies, Inc.   3,940 
 38   Gencor Industries, Inc.(a)   462 
 314   Hillenbrand, Inc.   13,841 
 46   Hurco Companies, Inc.   1,610 
 36   Hyster-Yale Materials Handling, Inc., Class A   2,627 
 85   Intevac, Inc.(a)   573 
 111   Kennametal, Inc.   3,987 
 93   LS Starrett Company (The), Class A(a)   869 
 234   Manitowoc Company, Inc. (The)(a)   5,733 
 879   NN, Inc.(a)   6,461 
 67   Regal Beloit Corporation   8,945 
 68   SPX FLOW, Inc.   4,436 
 119   Terex Corporation   5,667 
         110,083 
     MEDICAL EQUIPMENT & DEVICES - 1.0%     
 720   Accuray, Inc.(a)   3,254 
 155   AngioDynamics, Inc.(a)   4,205 
 76   Avanos Medical, Inc.(a)   2,764 
 14   CryoLife, Inc.(a)   398 
 36   FONAR Corporation(a)   637 
 157   Harvard Bioscience, Inc.(a)   1,308 
 27   ICU Medical, Inc.(a)   5,557 
 56   Integer Holdings Corporation(a)   5,275 
 11   Luminex Corporation   405 
 101   Merit Medical Systems, Inc.(a)   6,531 
 127   Natus Medical, Inc.(a)   3,299 
 107   NuVasive, Inc.(a)   7,252 
 148   OraSure Technologies, Inc.(a)   1,501 
 9   Utah Medical Products, Inc.   765 
           

See accompanying notes to financial statements.

37 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     MEDICAL EQUIPMENT & DEVICES - 1.0% (Continued)     
 128   Varex Imaging Corporation(a)  $3,433 
         46,584 
     METALS & MINING – 0.9%     
 301   Alcoa Corporation(a)   11,089 
 401   CONSOL Energy, Inc.(a)   7,406 
 110   Encore Wire Corporation   8,337 
 1,046   Hecla Mining Company   7,782 
 848   SunCoke Energy, Inc.   6,055 
 143   Warrior Met Coal, Inc.   2,460 
         43,129 
     OIL & GAS PRODUCERS - 4.7%     
 1,449   Antero Resources Corporation(a)   21,779 
 106   Bonanza Creek Energy, Inc.   4,989 
 1,717   Centennial Resource Development, Inc., Class A(a)   11,641 
 785   CNX Resources Corporation(a)   10,723 
 1,263   Comstock Resources, Inc.(a)   8,424 
 815   Earthstone Energy, Inc., Class A(a)   9,022 
 1,284   EQT Corporation(a)   28,582 
 361   Equitrans Midstream Corporation   3,072 
 865   HollyFrontier Corporation   28,459 
 120   Matador Resources Company   4,321 
 783   Murphy Oil Corporation   18,228 
 262   PBF Energy, Inc., Class A(a)   4,009 
 278   PDC Energy, Inc.   12,730 
 227   Penn Virginia Corporation(a)   5,360 
 1   Plains GP Holdings, L.P., Class A   12 
 157   SilverBow Resources, Inc.(a)   3,646 
 4,666   Southwestern Energy Company(a)   26,456 
 180   TravelCenters of America, Inc.(a)   5,263 
 173   World Fuel Services Corporation   5,489 
         212,205 
     OIL & GAS SERVICES & EQUIPMENT - 0.5%     
 267   Dawson Geophysical Company(a)   697 
 82   Dril-Quip, Inc.(a)   2,774 
           

See accompanying notes to financial statements.

38 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     OIL & GAS SERVICES & EQUIPMENT - 0.5% (Continued)     
 96   Geospace Technologies Corporation(a)  $777 
 215   Helmerich & Payne, Inc.   7,015 
 23   Matrix Service Company(a)   241 
 192   MRC Global, Inc.(a)   1,805 
 175   Natural Gas Services Group, Inc.(a)   1,799 
 306   Smart Sand, Inc.(a)   1,019 
 113   Thermon Group Holdings, Inc.(a)   1,926 
 396   US Silica Holdings, Inc.(a)   4,578 
         22,631 
     PUBLISHING & BROADCASTING - 1.8%     
 199   Beasley Broadcast Group, Inc., Class A(a)   575 
 38   Cumulus Media, Inc., Class A(a)   557 
 130   Emmis Communications Corporation(a)   357 
 15   Entercom Communications Corporation.(a)   65 
 584   Entravision Communications Corporation, Class A   3,901 
 542   EW Scripps Company (The), Class A   11,051 
 1,212   Gannett Company, Inc.(a)   6,654 
 392   Gray Television, Inc.   9,173 
 139   Hemisphere Media Group, Inc.(a)   1,640 
 22   Houghton Mifflin Harcourt Company(a)   243 
 151   John Wiley & Sons, Inc., Class A   9,087 
 195   Meredith Corporation(a)   8,471 
 70   Saga Communications, Inc., Class A   1,516 
 212   Scholastic Corporation   8,033 
 794   TEGNA, Inc.   14,895 
 445   Townsquare Media, Inc., Class A(a)   5,674 
 260   Urban One, Inc.(a)   1,305 
         83,197 
     REAL ESTATE OWNERS & DEVELOPERS - 0.0% (b)     
 24   FRP Holdings, Inc.(a)   1,336 
 14   Stratus Properties, Inc.(a)   346 
         1,682 
     REAL ESTATE SERVICES - 0.5%     
 25   RE/MAX Holdings, Inc., Class A   833 
           

See accompanying notes to financial statements.

39 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     REAL ESTATE SERVICES - 0.5% (Continued)     
 1,219   Realogy Holdings Corporation(a)  $22,210 
         23,043 
     RENEWABLE ENERGY - 0.8%     
 94   EnerSys   9,187 
 44   FutureFuel Corporation   422 
 141   Green Plains, Inc.(a)   4,740 
 314   Renewable Energy Group, Inc.(a)   19,575 
 117   Ultralife Corporation(a)   981 
         34,905 
     RETAIL - CONSUMER STAPLES - 0.7%     
 221   Big Lots, Inc.   14,588 
 135   Ingles Markets, Inc., Class A   7,866 
 132   Rite Aid Corporation(a)   2,152 
 93   SpartanNash Company   1,796 
 60   Village Super Market, Inc., Class A   1,410 
 39   Weis Markets, Inc.   2,015 
         29,827 
     RETAIL - DISCRETIONARY - 7.6%     
 12   Aaron’s Company, Inc. (The)   384 
 312   Abercrombie & Fitch Company, Class A(a)   14,486 
 3   American Eagle Outfitters, Inc.   113 
 20   America’s Car-Mart, Inc.(a)   2,834 
 55   AutoNation, Inc.(a)   5,215 
 502   Barnes & Noble Education, Inc.(a)   3,619 
 81   Bassett Furniture Industries, Inc.   1,972 
 135   Beacon Roofing Supply, Inc.(a)   7,189 
 213   Bed Bath & Beyond, Inc.(a)   7,091 
 199   Big 5 Sporting Goods Corporation   5,110 
 124   Caleres, Inc.   3,384 
 88   Children’s Place, Inc. (The)(a)   8,189 
 260   Conn’s, Inc.(a)   6,630 
 312   Container Store Group, Inc. (The)(a)   4,069 
 20   Designer Brands, Inc., Class A(a)   331 
 386   Dick’s Sporting Goods, Inc.   38,673 
           

See accompanying notes to financial statements.

40 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     RETAIL - DISCRETIONARY - 7.6% (Continued)     
 120   Dillard’s, Inc., Class A  $21,706 
 187   Ethan Allen Interiors, Inc.   5,161 
 335   Foot Locker, Inc.   20,646 
 138   Genesco, Inc.(a)   8,788 
 162   GMS, Inc.(a)   7,799 
 94   Group 1 Automotive, Inc.   14,517 
 137   Guess?, Inc.   3,617 
 103   Haverty Furniture Companies, Inc.   4,404 
 19   Hertz Global Holdings, Inc.(a)   166 
 89   Hibbett, Inc.(a)   7,977 
 750   Kohl’s Corporation   41,333 
 159   La-Z-Boy, Inc.   5,889 
 122   MarineMax, Inc.(a)   5,946 
 149   Penske Automotive Group, Inc.   11,248 
 2,853   Qurate Retail, Inc. - Series A   37,346 
 133   Rush Enterprises, Inc., Class A   5,751 
 60   Shoe Carnival, Inc.   4,295 
 147   Sonic Automotive, Inc., Class A   6,577 
 197   Tilly’s, Inc., Class A   3,148 
 188   Urban Outfitters, Inc.(a)   7,749 
 265   Vera Bradley, Inc.(a)   3,283 
 158   Zumiez, Inc.(a)   7,740 
         344,375 
     SEMICONDUCTORS - 2.1%     
 371   Amkor Technology, Inc.   8,782 
 127   Amtech Systems, Inc.(a)   1,224 
 94   AXT, Inc.(a)   1,032 
 97   Cirrus Logic, Inc.(a)   8,257 
 155   Cohu, Inc.(a)   5,702 
 105   CTS Corporation   3,902 
 16   Data I/O Corporation(a)   109 
 123   Diodes, Inc.(a)   9,812 
 104   DSP Group, Inc.(a)   1,539 
 57   GSI Technology, Inc.(a)   320 
           

See accompanying notes to financial statements.

41 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     SEMICONDUCTORS - 2.1% (Continued)     
 247   Kulicke & Soffa Industries, Inc.  $15,116 
 126   NeoPhotonics Corporation(a)   1,287 
 110   Onto Innovation, Inc.(a)   8,034 
 229   Photronics, Inc.(a)   3,025 
 234   Rambus, Inc.(a)   5,548 
 94   Richardson Electronics Ltd.   781 
 183   Ultra Clean Holdings, Inc.(a)   9,831 
 132   Veeco Instruments, Inc.(a)   3,173 
 412   Vishay Intertechnology, Inc.   9,291 
         96,765 
     SOFTWARE - 2.0%     
 354   Allscripts Healthcare Solutions, Inc.(a)   6,553 
 60   Avaya Holdings Corporation(a)   1,614 
 30   BM Technologies, Inc.(a)   373 
 100   Bottomline Technologies DE, Inc.(a)   3,708 
 205   ChannelAdvisor Corporation(a)   5,025 
 350   Cloudera, Inc.(a)   5,551 
 47   Cognyte Software Ltd.(a)   1,151 
 110   Computer Programs and Systems, Inc.   3,655 
 273   Donnelley Financial Solutions, Inc.(a)   9,009 
 168   Ebix, Inc.   5,695 
 136   J2 Global, Inc.(a)   18,707 
 204   NextGen Healthcare, Inc.(a)   3,384 
 1   SeaChange International, Inc.(a)   1 
 288   Support.com, Inc.(a)   1,112 
 116   Synchronoss Technologies, Inc.(a)   416 
 108   Verint Systems, Inc.(a)   4,868 
 771   Xperi Holding Corporation   17,147 
 261   Zovio, Inc.(a)   676 
         88,645 
     SPECIALTY FINANCE - 4.9%     
 511   Air Lease Corporation   21,329 
 178   Alliance Data Systems Corporation   18,546 
 15   Consumer Portfolio Services, Inc.(a)   67 
           

See accompanying notes to financial statements.

42 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     SPECIALTY FINANCE - 4.9% (Continued)     
 567   Elevate Credit, Inc.(a)  $2,024 
 214   Encore Capital Group, Inc.(a)   10,141 
 222   Enova International, Inc.(a)   7,595 
 754   EZCORP, Inc., Class A(a)   4,547 
 110   GATX Corporation   9,732 
 4   Investors Title Company   699 
 94   Marlin Business Services Corporation   2,139 
 2,428   MGIC Investment Corporation   33,021 
 475   Mr Cooper Group, Inc.(a)   15,703 
 957   Navient Corporation   18,499 
 109   Nelnet, Inc., Class A   8,200 
 57   Nicholas Financial, Inc.(a)   640 
 1,081   OneMain Holdings, Inc.   64,763 
 2   PROG Holdings, Inc.   96 
 35   Regional Management Corporation   1,629 
 49   Willis Lease Finance Corporation(a)   2,100 
         221,470 
     STEEL - 1.3%     
 34   Carpenter Technology Corporation   1,367 
 692   Commercial Metals Company   21,258 
 86   Friedman Industries, Inc.   1,152 
 46   Northwest Pipe Company(a)   1,300 
 258   Olympic Steel, Inc.   7,583 
 922   United States Steel Corporation   22,128 
 72   Worthington Industries, Inc.   4,405 
         59,193 
     TECHNOLOGY HARDWARE - 5.9%     
 140   ADTRAN, Inc.   2,891 
 6   Applied Optoelectronics, Inc.(a)   51 
 2   AstroNova, Inc.(a)   28 
 164   Aviat Networks, Inc.(a)   5,374 
 257   Avnet, Inc.   10,300 
 144   Aware, Inc.(a)   534 
 123   Benchmark Electronics, Inc.   3,501 
           

See accompanying notes to financial statements.

43 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     TECHNOLOGY HARDWARE - 5.9% (Continued)     
 940   CommScope Holding Company, Inc.(a)  $20,031 
 196   Communications Systems, Inc.   1,407 
 179   Comtech Telecommunications Corporation   4,325 
 646   Daktronics, Inc.(a)   4,257 
 299   EMCORE Corporation(a)   2,757 
 422   Harmonic, Inc.(a)   3,595 
 104   InterDigital, Inc.   7,595 
 492   Jabil, Inc.   28,595 
 64   Key Tronic Corporation(a)   417 
 270   Knowles Corporation(a)   5,330 
 265   Maxar Technologies, Inc.   10,579 
 677   NCR Corporation(a)   30,878 
 180   NETGEAR, Inc.(a)   6,898 
 337   NetScout Systems, Inc.(a)   9,618 
 63   PCTEL, Inc.   413 
 477   Pitney Bowes, Inc.   4,183 
 68   Plexus Corporation(a)   6,216 
 1,120   Ribbon Communications, Inc.(a)   8,523 
 186   Sanmina Corporation(a)   7,247 
 215   Super Micro Computer, Inc.(a)   7,564 
 347   SYNNEX Corporation   42,251 
 389   TTM Technologies, Inc.(a)   5,563 
 122   ViaSat, Inc.(a)   6,080 
 45   Vishay Precision Group, Inc.(a)   1,532 
 825   Xerox Holdings Corporation   19,379 
         267,912 
     TECHNOLOGY SERVICES - 1.5%     
 1,478   Conduent, Inc.(a)   11,085 
 105   CSG Systems International, Inc.   4,954 
 793   DXC Technology Company(a)   30,879 
 45   ICF International, Inc.   3,954 
 58   Insight Enterprises, Inc.(a)   5,801 
 54   ManTech International Corporation, Class A   4,673 
 108   NetSol Technologies, Inc.(a)   509 
           

See accompanying notes to financial statements.

44 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     TECHNOLOGY SERVICES - 1.5% (Continued)     
 112   RCM Technologies, Inc.(a)  $461 
 92   StarTek, Inc.(a)   656 
 132   Sykes Enterprises, Inc.(a)   7,088 
         70,060 
     TELECOMMUNICATIONS - 0.9%     
 332   Alaska Communications Systems Group, Inc.(a)   1,105 
 40   ATN International, Inc.   1,820 
 325   Consolidated Communications Holdings, Inc.(a)   2,857 
 466   EchoStar Corporation, Class A(a)   11,319 
 81   KVH Industries, Inc.(a)   996 
 563   ORBCOMM, Inc.(a)   6,328 
 109   Spok Holdings, Inc.   1,049 
 748   Telephone and Data Systems, Inc.   16,950 
         42,424 
     TOBACCO & CANNABIS - 0.1%     
 104   Universal Corporation   5,925 
           
     TRANSPORTATION & LOGISTICS - 1.8%     
 144   Alaska Air Group, Inc.(a)   8,685 
 23   ArcBest Corporation   1,338 
 153   Atlas Air Worldwide Holdings, Inc.(a)   10,421 
 56   Covenant Logistics Group, Inc., Class A(a)   1,158 
 76   Echo Global Logistics, Inc.(a)   2,336 
 152   Hawaiian Holdings, Inc.(a)   3,704 
 24   Hub Group, Inc., Class A(a)   1,584 
 116   Kirby Corporation(a)   7,034 
 1   Macquarie Infrastructure Corporation   38 
 178   Marten Transport Ltd.   2,935 
 772   Overseas Shipholding Group, Inc., Class A(a)   1,613 
 29   Patriot Transportation Holding, Inc.   327 
 222   Radiant Logistics, Inc.(a)   1,538 
 229   Ryder System, Inc.   17,022 
 80   Schneider National, Inc., Class B   1,742 
 338   SkyWest, Inc.(a)   14,558 
           

See accompanying notes to financial statements.

45 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     COMMON STOCKS — 97.8% (Continued)     
     TRANSPORTATION & LOGISTICS - 1.8% (Continued)     
 126   Werner Enterprises, Inc.  $5,610 
         81,643 
     TRANSPORTATION EQUIPMENT - 0.3%     
 63   Greenbrier Companies, Inc. (The)   2,745 
 181   REV Group, Inc.   2,840 
 195   Trinity Industries, Inc.   5,244 
 117   Wabash National Corporation   1,872 
         12,701 
     WHOLESALE - CONSUMER STAPLES - 0.6%     
 198   Andersons, Inc. (The)   6,045 
 86   Core-Mark Holding Company, Inc.   3,871 
 520   United Natural Foods, Inc.(a)   19,229 
         29,145 
     WHOLESALE - DISCRETIONARY - 0.8%     
 13   Acme United Corporation   579 
 15   Educational Development Corporation   187 
 39   ePlus, Inc.(a)   3,381 
 211   G-III Apparel Group Ltd.(a)   6,933 
 422   KAR Auction Services, Inc.(a)   7,406 
 106   PC Connection, Inc.   4,905 
 232   ScanSource, Inc.(a)   6,526 
 101   Veritiv Corporation(a)   6,203 
 7   Wayside Technology Group, Inc.   175 
 443   ZAGG CVR(a)   — 
         36,295 
           
     TOTAL COMMON STOCKS (Cost $3,069,635)   4,424,739 
           
     PARTNERSHIP SHARES — 1.1%     
     METALS & MINING - 0.3%     
 1,852   Alliance Resource Partners, L.P.   13,353 
           

See accompanying notes to financial statements.

46 

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2021 (Unaudited)

 

Shares      Value 
     PARTNERSHIP SHARES — 1.1% (Continued)     
     OIL & GAS PRODUCERS - 0.6%     
 1   NGL Energy Partners, L.P.  $2 
 552   NuStar Energy, L.P.   9,964 
 1,426   Plains All American Pipeline, L.P.   16,199 
         26,165 
     REIT - 0.0% (b)     
 100   Landmark Infrastructure Partners, L.P.   1,275 
           
     SPECIALTY FINANCE - 0.2%     
 224   America First Multifamily Investors, L.P.   1,510 
 182   Fortress Transportation and Infrastructure   6,106 
         7,616 
           
     TOTAL PARTNERSHIP SHARES (Cost $34,256)   48,409 
           
     REIT — 0.1%     
     MORTGAGE FINANCE - 0.1%     
 305   Ellington Financial, Inc.   5,841 
           
     TOTAL REIT (Cost $4,700)   5,841 
           
     MONEY MARKET FUNDS - 2.7%     
 123,952   BlackRock Liquidity Funds T-Fund, Institutional Class, 0.01%(c)   123,952 
           
     TOTAL MONEY MARKET FUNDS (Cost $123,952)   123,952 
           
     TOTAL INVESTMENTS - 101.7% (Cost $3,232,543)  $4,602,941 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (1.7)%   (78,073)
     NET ASSETS - 100.0%  $4,524,868 
           
(a)Non-income producing security.

 

(b)Percentage rounds to less than 0.1%.

 

(c)Rate disclosed is the seven day effective yield as of June 30, 2021

 

See accompanying notes to financial statements.

47 

 

Acclivity Funds
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2021

 

   Acclivity Mid Cap     Acclivity Small Cap 
   Multi-Style Fund   Value Fund 
ASSETS          
Investment securities:          
At cost  $235,363   $3,232,543 
At value  $292,244   $4,602,941 
Receivable for investments sold   4,638    24,246 
Dividends and interest receivable   206    4,212 
Receivable due from Advisor   16,802    18,512 
Prepaid expenses and other assets   2,970    1,685 
TOTAL ASSETS   316,860    4,651,596 
           
LIABILITIES          
Payable for investments purchased   4,607    89,286 
Audit fees payable   18,339    14,426 
Distribution (12b-1) fees payable   —    10 
Payable to related parties   12,825    19,721 
Accrued expenses and other liabilities   1,244    3,285 
TOTAL LIABILITIES   37,015    126,728 
NET ASSETS  $279,845   $4,524,868 
           
Net Assets Consist Of:          
Paid in capital  $230,020   $3,271,611 
Accumulated earnings   49,825    1,253,257 
NET ASSETS  $279,845   $4,524,868 
           
Net Asset Value Per Share:          
Class I Shares:          
Net Assets  $279,832   $4,524,851 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   21,796    278,273 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share  $12.84   $16.26 
           
Class N Shares:          
Net Assets  $13   $17 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   1    1 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share  $12.84 (a)  $16.21 (a)
           
(a)Net asset value may not recalculate due to the rounding of net assets.

 

See accompanying notes to financial statements.

48 

 

Acclivity Funds  
STATEMENTS OF OPERATIONS (Unaudited)  
For the Six Months Ended June 30, 2021  

 

   Acclivity Mid Cap     Acclivity Small Cap 
   Multi-Style Fund     Value Fund 
INVESTMENT INCOME          
Dividends (Foreign Taxes Withheld - $0 and $154, respectively)  $1,756   $37,211 
Interest   1    4 
TOTAL INVESTMENT INCOME   1,757    37,215 
           
EXPENSES          
Investment advisory fees   433    7,813 
Distribution (12b-1) fees:          
Class N   —    49 
Transfer agent fees   12,628    12,197 
Trustees’ fees   12,188    15,811 
Legal fees   13,288    10,218 
Administration fees   7,734    14,755 
Audit fees   6,139    3,720 
Compliance officer fees   1,373    1,665 
Registration fees   —    3,320 
Custody fees   1,967    263 
Shareholder reporting expense   417    662 
Fund accounting fees   83    694 
Third party administrative servicing fees   4    608 
Insurance expense   —    83 
Other expenses   894    1,418 
TOTAL EXPENSES   57,148    73,276 
           
Less: Fees waived/reimbursed by the Adviser   (56,603)   (63,589)
           
NET EXPENSES   545    9,687 
NET INVESTMENT INCOME   1,212    27,528 
           
REALIZED AND UNREALIZED GAIN ON INVESTMENTS          
Net realized gain from investments   5,714    217,696 
Net change in unrealized appreciation on investments   26,106    724,536 
           
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS   31,820    942,232 
           
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS  $33,032   $969,760 
           

See accompanying notes to financial statements.

49 

 

Acclivity Mid Cap Multi-Style Fund
STATEMENTS OF CHANGES IN NET ASSETS

 

   For the Six Months Ended     For the Period* Ended 
   June 30, 2021       December 31, 
   (Unaudited)   2020 
FROM OPERATIONS          
Net investment income  $1,212   $1,187 
Net realized gain/(loss) from investments   5,714    (15,169)
Net change in unrealized appreciation of investments   26,106    30,775 
Net increase in net assets resulting from operations   33,032    16,793 
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold          
Class I   105,000    125,010 
Class N   —    10 
Net increase in net assets from shares of beneficial interest   105,000    125,020 
           
TOTAL INCREASE IN NET ASSETS   138,032    141,813 
           
NET ASSETS          
Beginning of Period   141,813    — 
End of Period  $279,845   $141,813 
           
SHARE ACTIVITY - CLASS I          
Shares sold   8,954    12,842 
Net increase in shares of beneficial interest outstanding   8,954    12,842 
           
SHARE ACTIVITY - CLASS N          
Shares sold   —    1 
Net increase in shares of beneficial interest outstanding   —    1 
           
*The inception date of the Acclivity Mid Cap Multi-Style Fund was December 31, 2019 and the Fund commenced operations on January 2, 2020.

 

See accompanying notes to financial statements.

50 

 

Acclivity Small Cap Value Fund
STATEMENTS OF CHANGES IN NET ASSETS

 

   For the Six Months Ended   For the Year Ended 
   June 30, 2021   December 31, 
   (Unaudited)     2020 
         
FROM OPERATIONS          
Net investment income  $27,528   $48,969 
Net realized gain/(loss) from security investments   217,696    (410,033)
Distributions of realized gains from underlying investment companies   —    7 
Net change in unrealized appreciation of investments   724,536    551,561 
Net increase in net assets resulting from operations   969,760    190,504 
           
DISTRIBUTIONS TO SHAREHOLDERS          
Total Distributions Paid          
Class I   —    (55,855)
Class N   —    (0) ^
    —    (55,855)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold          
Class I   1,101,302    435,810 
Class N   62,212    20,000 
Net asset value of shares issued in reinvestment of distributions          
Class I   —    55,182 
Class N ^   —    0 
Payments for shares redeemed          
Class I   (363,029)   (624,862)
Class N   (80,633)   (12,494)
Net increase/(decrease) in net assets from shares of beneficial interest   719,852    (126,364)
           
TOTAL INCREASE IN NET ASSETS   1,689,612    8,285 
           
NET ASSETS          
Beginning of Period   2,835,256    2,826,971 
End of Period  $4,524,868   $2,835,256 
           
SHARE ACTIVITY - CLASS I          
Shares sold   73,701    46,406 
Shares reinvested   —    4,509 
Shares redeemed   (23,465)   (63,350)
Net increase/(decrease) in shares of beneficial interest outstanding   50,236    (12,435)
           
SHARE ACTIVITY - CLASS N          
Shares sold   4,059    1,888 
Shares reinvested   —    0 #
Shares redeemed   (4,885)   (1,062)
Net increase in shares of beneficial interest outstanding   (826)   826 
           
^Amount represents less than $0.50.

 

#Amount represents less than 0.50 shares.

 

See accompanying notes to financial statements.

51 

 

Acclivity Mid Cap Multi-Style Fund
FINANCIAL HIGHLIGHTS
 
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period

 

   Class I 
   Six Months Ended   Period* Ended 
   June 30, 2021     December 31, 
   (Unaudited)   2020 
Net asset value, beginning of period  $11.04   $10.00 
Activity from investment operations:          
Net investment income (1)   0.06    0.10 
Net realized and unrealized gain on investments   1.74    0.94 
Total from investment operations   1.80    1.04 
Net asset value, end of period  $12.84   $11.04 
Total return (2)(3)   16.30%   10.40%
Net assets, at end of period (000s)  $280   $142 
Ratio of gross expenses to average net assets (4)(5)(6)   46.10%   97.49%
Ratio of net expenses to average net assets (5)(6)   0.44%   0.47%
Ratio of net investment income to average net assets (5)(6)   0.98%   1.07%
Portfolio turnover rate (3)   14%   47%
           
 
*The inception date of the Acclivity Mid Cap Multi-Style Fund was December 31, 2019 and the Fund commenced operations on January 2, 2020.

 

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

 

(2)Had the Adviser not waived a portion of the Fund’s expenses, total returns would have been lower.

 

(3)Not annualized.

 

(4)Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

 

(5)Does not include the expenses of other investment companies in which the Fund invests.

 

(6)Annualized for periods less than one full year.

 

See accompanying notes to financial statements.

52 

 

Acclivity Mid Cap Multi-Style Fund
FINANCIAL HIGHLIGHTS
 
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period

 

   Class N 
   Six Months Ended   Period* Ended 
   June 30, 2021     December 31, 
   (Unaudited)   2020 
Net asset value, beginning of period  $11.04   $10.00 
Activity from investment operations:          
Net investment income (1)   0.06    0.10 
Net realized and unrealized gain on investments   1.74    0.94 
Total from investment operations   1.80    1.04 
Net asset value, end of period  $12.84   $11.04 
Total return (2)(3)   16.30%   10.40%
Net assets, at end of period (4)  $13   $11 
Ratio of gross expenses to average net assets (5)(6)(7)   46.35%   97.74%
Ratio of net expenses to average net assets (6)(7)   0.69%   0.72%
Ratio of net investment income to average net assets (6)(7)   0.73%   0.82%
Portfolio turnover rate (3)   14%   47%
           
 
*The inception date of the Acclivity Mid Cap Multi-Style Fund was December 31, 2019 and the Fund commenced operations on January 2, 2020.

 

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

 

(2)Had the Adviser not waived a portion of the Fund’s expenses, total returns would have been lower.

 

(3)Not annualized.

 

(4)Represents actual net assets.

 

(5)Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

 

(6)Does not include the expenses of other investment companies in which the Fund invests.

 

(7)Annualized for periods less than one full year.

 

See accompanying notes to financial statements.

53 

 

Acclivity Small Cap Value Fund
FINANCIAL HIGHLIGHTS
 
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period

 

   Class I 
   Six Months Ended   Year Ended   Period* Ended 
   June 30, 2021     December 31,     December 31, 
   (Unaudited)   2020   2019 
Net asset value, beginning of period  $12.39   $11.76   $10.00 
Activity from investment operations:               
Net investment income (1)   0.10    0.21    0.15 
Net realized and unrealized gain on investments   3.77    0.67    1.69 
Total from investment operations   3.87    0.88    1.84 
Less distributions from:               
Net investment income   —    (0.01)   (0.08)
Net realized gains   —    (0.24)   — 
Total distributions   —    (0.25)   (0.08)
Net asset value, end of period  $16.26   $12.39   $11.76 
Total return (2)   31.23% (6)   7.51%   18.44% (6)
Net assets, at end of period (000s)  $4,525   $2,825   $2,827 
Ratio of gross expenses to average net assets (3)(4)   3.65% (5)   5.62%   14.59% (5)
Ratio of net expenses to average net assets (4)   0.48% (5)   0.54%   0.67% (5)
Ratio of net investment income to average net assets (4)   1.37% (5)   2.12%   1.34% (5)
Portfolio turnover rate   21% (6)   65%   166% (6)
                
 
*The inception date of the Acclivity Small Cap Value Fund was December 31, 2018 and the Fund commenced operations on January 2, 2019.

 

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

 

(2)Had the Adviser not waived a portion of the Fund’s expenses, total returns would have been lower.

 

(3)Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

 

(4)Does not include the expenses of other investment companies in which the Fund invests.

 

(5)Annualized for periods less than one full year.

 

(6)Not annualized.

 

See accompanying notes to financial statements.

54 

 

Acclivity Small Cap Value Fund
FINANCIAL HIGHLIGHTS
 
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period

 

   Class N 
   Six Months Ended     Year Ended     Period* Ended 
   June 30, 2021   December 31,   December 31, 
   (Unaudited)   2020   2019 
Net asset value, beginning of period  $12.37   $11.75   $10.00 
Activity from investment operations:               
Net investment income (1)   0.08    0.26    0.16 
Net realized and unrealized gain on investments   3.76    0.61    1.67 
Total from investment operations   3.84    0.87    1.83 
Less distributions from:               
Net investment income   —    (0.01)   (0.08)
Net realized gains   —    (0.24)   — 
Total distributions   —    (0.25)   (0.08)
Net asset value, end of period  $16.21   $12.37   $11.75 
Total return (2)   31.04% (6)   7.43%   18.34% (6)
Net assets, at end of period (000s)  $17 (7)  $10   $12 (7)
Ratio of gross expenses to average net assets (3)(4)   3.91% (5)   5.87%   81.62% (5)
Ratio of net expenses to average net assets (4)   0.73% (5)   0.79%   0.92% (5)
Ratio of net investment income to average net assets (4)   1.02% (5)   1.87%   1.44% (5)
Portfolio turnover rate   21% (6)   65%   166% (6)
                
 
*The inception date of the Acclivity Small Cap Value Fund was December 31, 2018 and the Fund commenced operations on January 2, 2019.

 

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

 

(2)Had the Adviser not waived a portion of the Fund’s expenses, total returns would have been lower.

 

(3)Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

 

(4)Does not include the expenses of other investment companies in which the Fund invests.

 

(5)Annualized for periods less than one full year.

 

(6)Not annualized.

 

(7)Represents actual net assets.

 

See accompanying notes to financial statements.

55 

 

Acclivity Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited)
June 30, 2021

 

1.ORGANIZATION

 

The Acclivity Mid Cap Multi-Style Fund (the “Mid Cap Fund”) and Acclivity Small Cap Value Fund (the “Small Cap Fund”) (each a “Fund,” collectively the “Funds”) are each a diversified series of shares of beneficial interest of Northern Lights Fund Trust II (the “Trust”), a statutory trust organized under the laws of the State of Delaware on August 26, 2010, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies. The inception date of the Mid Cap Fund was December 31, 2019 and the Mid Cap Fund commenced operations on January 2, 2020. The inception date of the Small Cap Fund was December 31, 2018 and the Small Cap Fund commenced operations on January 2, 2019. The Funds seek long term capital appreciation.

 

The Funds currently offer Class I shares and Class N shares. Class I and Class N shares are offered at net asset value without an initial sales charge. Class N shares are subject to a 0.25% Rule 12b-1 distribution and shareholder servicing fee. Each class represents an interest in the same assets of a Fund and classes are identical except for differences in ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its shareholder service and/or distribution plans.

 

2.SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies followed by the Funds in preparation of their financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements 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 income and expenses for the period. Actual results could differ from those estimates. The Funds are each an investment company and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies”.

 

Security 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 (“NOCP”). 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. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short- term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost.

 

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 Trust’s Board of Trustees (the “Board”) . The Board has delegated execution of these procedures to a fair value committee composed of one or more representatives from each of the (i)

56 

 

Acclivity Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited)(Continued)
June 30, 2021

 

Trust, (ii) administrator, and (iii) Adviser. The committee may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist in determining a security -specific fair value. The Board has also engaged a third party valuation firm to attend meetings held by the Trust, review minutes of such meetings and report to the Board on a quarterly basis. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.

 

Fair Valuation Process – As noted above, this fair value committee is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) adviser. The applicable investments are valued collectively via inputs from each of these groups. 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 adviser, the prices or values available do not represent the fair value of the instrument. Factors which may cause the adviser 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; (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 values. 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 via inputs from the adviser 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 the adviser is unable to obtain a current bid from such independent dealers or other independent parties, the fair value committee 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.

 

Each Fund utilizes various methods to measure fair value of all of its investments on a recurring basis. GAAP establishes the 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 each Fund has the ability to access.

57 

 

Acclivity Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited)(Continued)
June 30, 2021

 

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 in 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 a Fund’s 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 June 30, 2021 for each Fund’s assets measured at fair value:

 

Acclivity Mid Cap Multi-Style Fund
Assets *  Level 1   Level 2   Level 3   Total 
Common Stocks  $272,715   $—   $—   $272,715 
Partnership Shares   1,223    —    —    1,223 
Money Market Fund   18,306    —    —    18,306 
Total  $292,244   $—   $—   $292,244 
                     
Acclivity Small Cap Value Fund
Assets *  Level 1   Level 2   Level 3   Total 
Common Stocks  $4,424,739   $—   $—   $4,424,739 
Partnership Shares   48,409    —    —    48,409 
REIT   5,841    —    —    5,841 
Money Market Fund   123,952    —    —    123,952 
Total  $4,602,941   $—   $—   $4,602,941 

 

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

 

*See each Fund’s Schedule of Investments for classification.

58 

 

Acclivity Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited)(Continued)
June 30, 2021

 

Security Transactions and Related Income – Security transactions are accounted for on 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. Each Fund’s 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.

 

Dividends and Distributions to Shareholders – Dividends from net investment income, if any, are declared and paid annually. Distributable net realized capital gains, if any, are declared and distributed annually in December. Dividends from net investment income and distributions from net realized gains 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) 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. Dividends and distributions to shareholders are recorded on ex-dividend date.

 

Federal Income Taxes – Each Fund intends to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of their taxable income to their shareholders. Therefore, no provision for federal income tax is 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 each Fund’s 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 the Small Cap Fund’s December 31, 2019 year-end or the Small Cap Fund’s and Mid Cap Fund’s December 31, 2020 year end, or expected to be taken in the Funds’ December 31, 2021 tax returns. Each Fund has identified its major tax jurisdictions as U.S. Federal, 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.

 

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. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against a Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss due to these warranties and indemnities to be remote.

59 

 

Acclivity Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited)(Continued)
June 30, 2021

 

3.INVESTMENT TRANSACTIONS

 

For the six months ended June 30, 2021, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments, amounted to:

 

   Purchases   Sales 
Mid Cap  $139,003   $33,188 
Small Cap   1,528,364    823,852 

 

4.INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

Innealta Capital, LLC (the “Adviser”) serves as investment adviser to the Funds. Pursuant to an Advisory Agreement with the Funds, the Adviser, 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. Effective May 1, 2020, the Funds pay the Adviser a management fee at an annual rate of 0.35% and 0.39% of the Mid Cap Fund’s and Small Cap Fund’s average daily net assets, respectively. Prior to May 1, 2020, as compensation for its services and the related expenses borne by the Adviser, the Funds paid the Adviser a management fee, computed and accrued daily and paid monthly, at an annual rate of 0.45% and 0.55% of the Mid Cap Fund’s and Small Cap Fund’s average daily net assets, respectively. For the six months ended June 30, 2021, the Adviser earned $433 and $7,813 from the Mid Cap Fund and Small Cap Fund, respectively.

 

Effective May 1, 2020, pursuant to a written contract (the “Waiver Agreement”), the Adviser has agreed, at least until April 30, 2022, to waive a portion of its advisory fee and has agreed to reimburse each Fund for other expenses to the extent necessary so that the total expenses incurred by each Fund (excluding any front-end or contingent deferred sales loads, brokerage fees and commissions, acquired fund fees and expenses, borrowing costs (such as interest and dividend expense on securities sold short), taxes and extraordinary expenses such as litigation) do not exceed 0.44% and 0.69% for Class I and Class N shares of the Mid Cap Fund, respectively, and 0.48% and 0.73% for Class I and Class N shares of the Small Cap Fund, respectively. Prior to May 1, 2020, the Advisor agreed to waive/reimburse expenses to the extent necessary that the total expenses did not exceed 0.55% and 0.80% for Class I and Class N shares of the Mid Cap Fund, respectively, and 0.67% and 0.92% for Class I and Class N shares of the Small Cap Fund, respectively.

 

If the Adviser waives any fee or reimburses any expenses pursuant to the Waiver Agreement for a Fund, and a Fund’s operating expenses are subsequently lower than its respective expense limitation, the Adviser shall be entitled to reimbursement by a Fund provided that such reimbursement does not cause a Fund’s operating expenses to exceed its expense limitation. If a Fund’s operating expenses subsequently exceed its expense limitation, the reimbursements for a Fund shall be suspended. The Adviser may seek reimbursement only for expenses waived or paid by it during the three fiscal years prior to such reimbursement; provided, however, that such expenses may only be reimbursed to the extent they were waived or paid after the date of the Waiver Agreement (or any similar agreement). The Board may terminate this expense reimbursement arrangement at any time. For the six months

60 

 

Acclivity Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited)(Continued)
June 30, 2021

 

ended June 30, 2021, the Adviser waived advisory fees and reimbursed the Mid Cap Fund and Small Cap Fund for expenses in the amounts of $56,603 and $63,589, respectively.

 

The following amounts are subject to recapture by the Funds by the following date:

 

   12/31/2022   12/31/2023 
Mid Cap  N/A   $107,373 
Small Cap  $135,510   $117,329 

 

Distributor – The distributor for the Funds is Northern Lights Distributors, LLC (the “Distributor”). The Board has adopted the Trust’s Master Distribution and Shareholder Servicing Plans for Class N shares (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act to pay for ongoing distribution- related activities or shareholder services. Under the Plan, the Funds are permitted to pay a fee at an annual rate of 0.25% of the average daily net assets of Class N shares. For the six months ended June 30, 2021, pursuant to the Class N Plan, the Mid Cap Fund and Small Cap Fund incurred $0 and $49 in 12b-1 fees, respectively.

 

The Distributor acts as the Funds’ principal underwriter in a continuous public offering of each Fund’s shares.

 

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

 

Gemini Fund Services, LLC (“GFS”) – GFS, an affiliate of the Distributor, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to separate servicing agreements with GFS, the Funds pay GFS customary fees for providing administration, fund accounting, and transfer agency services to the Funds. Certain officers of the Trust are also officers of GFS and are not paid any fees directly by the Funds for serving in such capacities.

 

Northern Lights Compliance Services, LLC (“NLCS”) – NLCS, an affiliate of GFS 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.

 

Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of GFS 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.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at June 30, 2021, were as follows:

 

       Gross   Gross     
   Tax   Unrealized   Unrealized   Net Unrealized 
   Cost   Appreciation   Depreciation   Appreciation 
Mid Cap Fund  $235,363   $61,070   $(4,189)  $56,881 
Small Cap Fund   3,234,452    1,421,252    (52,763)   1,368,489 

61 

 

Acclivity Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited)(Continued)
June 30, 2021

 

6.SHAREHOLDERS & TAX COMPONENTS OF CAPITAL

 

The tax character of fund distributions paid for the periods ended December 31, 2020 and December 31, 2019 was as follows:

 

For fiscal year or period  Ordinary   Long-Term     
ended December 31, 2020  Income   Capital Gains   Total 
Mid Cap Fund  $—   $—   $— 
Small Cap Fund   55,589    266    55,855 
                
For fiscal period ended  Ordinary   Long-Term     
December 31, 2019  Income   Capital Gains   Total 
Small Cap Fund  $15,059   $—   $15,059 

 

As of December 31, 2020, the components of accumulated earnings on a tax basis were as follows:

 

   Undistributed   Undistributed       Capital Loss   Other       Total 
   Ordinary   Long-Term   Post October   Carry   Book/Tax   Unrealized   Accumulated 
   Income   Capital Gains   Loss   Forwards   Differences   Appreciation   Earnings 
Mid Cap Fund  $1,187   $—   $—   $(15,169)  $—   $30,775   $16,793 
Small Cap Fund   46,060    —    (6,398)   (400,118)   —    643,953    283,497 

 

The difference between book basis and tax basis distributable earnings is primarily attributable to the tax deferral of losses on wash sales, adjustments for partnerships, and C-Corporation return of capital distributions.

 

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 Small Cap Fund incurred and elected to defer such capital losses of $6,398.

62 

 

Acclivity Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited)(Continued)
June 30, 2021

 

At December 31, 2020, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

 

   Non-Expiring   Non-Expiring     
   Short-Term   Long-Term   Total 
Mid Cap Fund  $15,169   $—   $15,169 
Small Cap Fund   391,432    8,686    400,118 

 

7.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 June 30, 2021, beneficial ownership in excess of 25% for the Funds is as follows:

 

      % of Outstanding
   Beneficial Owner  Shares
Mid Cap Fund  Innealta Capital, LLC  100%
Small Cap Fund  National Financial Services, LLC  71%

 

The Trust has no knowledge as to whether all or any portion of the shares owned of record are also owned beneficially.

 

8.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.

63 

 

Acclivity Funds
EXPENSE EXAMPLES (Unaudited)
June 30, 2021

 

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs including redemption fees; and (2) ongoing costs, including advisory 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 the Funds 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 January 1, 2021 through June 30, 2021.

 

Actual Expenses

 

The “Actual Expenses” line in the table below provides 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” line in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. 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 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.

 

      Beginning       Expenses Paid   Annualized
      Account Value   Ending Account   During Period *   Expense Ratio
Actual     1/1/21   Value 6/30/21   1/1/21-6/30/21   During Period
Acclivity Mid Cap Multi-Style Fund                  
   Class I  $1,000.00   $1,163.00   $2.36   0.44%
   Class N   1,000.00    1,163.00    3.70   0.69%
Acclivity Small Cap Value Fund                  
   Class I  $1,000.00   $1,312.30   $2.75   0.48%
   Class N   1,000.00    1,310.40    4.18   0.73%
Hypothetical (5% return before Expenses)                  
Acclivity Mid Cap Multi-Style Fund                  
   Class I  $1,000.00   $1,022.61   $2.21   0.44%
   Class N   1,000.00    1,021.37    3.46   0.69%
Acclivity Small Cap Value Fund                  
   Class I  $1,000.00   $1,022.41   $2.41   0.48%
   Class N   1,000.00    1,021.17    3.66   0.73%

 

*Expenses are equal to the average account value over the period, multiplied by a Fund’s annualized expense ratio, multiplied by the number of days in the period (181) divided by the number of days in the fiscal year (365).

64 

 

Acclivity Funds
SUPPLEMENTAL INFORMATION (Unaudited)
June 30, 2021

 

FACTORS CONSIDERED BY THE TRUSTEES IN THE APPROVAL OF THE RENEWAL OF THE INVESTMENT ADVISORY AGREEMENT

 

At a Regular meeting (the “Meeting”) of the Board of Trustees (the “Board”) of Northern Lights Fund Trust II (the “Trust”) held on October 14, 2020, the Board, including the disinterested Trustees (the “Independent Trustees”), considered the renewal of the Investment Advisory Agreement between the Trust, on behalf of the Acclivity Small Cap Value Fund (“Acclivity Small Cap Value”) and Innealta Capital, LLC (“Innealta”) (the “Innealta Advisory Agreement”).

 

Based on their evaluation of the information provided by Innealta in conjunction with Acclivity Small Cap Value’s other service providers, the Board, by a unanimous vote (including a separate vote of the Independent Trustees), approved the renewal of the Innealta Advisory Agreement with respect to Acclivity Small Cap Value.

 

In advance of the Meeting, the Board requested and received materials to assist them in considering the renewal of the Innealta Advisory Agreement. The materials provided contained information with respect to the factors enumerated below, including the Innealta Advisory Agreement, a memorandum prepared by the Trust’s outside legal counsel discussing in detail the Trustees’ fiduciary obligations and the factors they should assess in considering the continuation of the Innealta Advisory Agreement and comparative information relating to the advisory fee and other expenses of Acclivity Small Cap Value. The materials also included due diligence materials relating to Innealta (including due diligence questionnaires completed by Innealta, select financial information of Innealta, bibliographic information regarding Innealta’s key management and investment advisory personnel, and comparative fee information relating to Acclivity Small Cap Value) and other pertinent information. At the Meeting, the Independent Trustees were advised by counsel that is experienced in Investment Company Act of 1940 matters and that is independent of fund management and met with such counsel separately from fund management.

 

The Board reviewed and discussed the written materials that were provided in advance of the Meeting and deliberated on the renewal of the Innealta Advisory Agreement with respect to Acclivity Small Cap Value. The Board relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Innealta Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Board 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 the Innealta Advisory Agreement. In considering the approval of the renewal of the Innealta Advisory Agreement, the Board reviewed and analyzed various factors that they determined were relevant, including the factors enumerated below.

 

Nature, Extent and Quality of Services. The Board then reviewed materials provided by Innealta related to the approval of the renewal of the Innealta Advisory Agreement, including Innealta’s Form ADV and related schedules, a description of the manner in which investment decisions are made and executed, a review of the personnel performing services for Acclivity Small Cap Value, including the team of individuals that primarily monitor and execute the investment process. The Board discussed the extent of Innealta’s research capabilities, the quality of Innealta’s compliance infrastructure and the experience of its management personnel. The Board noted the recent hiring of Dr. Glenn Freed as an investment strategist and portfolio manager for certain Acclivity Funds. Additionally, the Board received satisfactory responses from the representative of Innealta with respect to a series of important questions, including: whether Innealta was involved in any lawsuits or pending regulatory actions; whether the management of other accounts would conflict with its management of Acclivity Small Cap Value; whether there were procedures in place to adequately allocate trades among its respective clients; and whether Innealta’s CCO would routinely review the portfolio managers’ performance of their duties to ensure compliance under Innealta’s compliance program. The Board also reviewed the information provided on the practices for monitoring compliance with Acclivity Small Cap Value’s investment limitations. The Board also discussed details of Innealta’s compliance program with the CCO of the Trust. The Board noted that the CCO of the Trust continued to represent that Innealta’s policies and procedures were reasonably designed to prevent violations of applicable federal securities laws. The Board also noted Innealta’s representation that the prospectus and statement of additional information for Acclivity Small Cap Value accurately describe the investment strategies of Acclivity Small Cap Value. The Board

65 

 

Acclivity Funds
SUPPLEMENTAL INFORMATION (Unaudited)(Continued)
June 30, 2021

 

then reviewed the capitalization of Innealta based on financial information provided, and representations made by Innealta and its representatives, and concluded that Innealta was sufficiently well-capitalized, or Innealta’s owners had the ability to make additional contributions in order to meet its obligations to Acclivity Small Cap Value. The Board concluded that Innealta had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Innealta Advisory Agreement and that the nature, overall quality and extent of the management services to be provided by Innealta to Acclivity Small Cap Value were satisfactory.

 

Performance. The Board then discussed the reports prepared by Broadridge and reviewed the performance for the one year and since inception periods for Acclivity Small Cap Value as of August 31, 2020. The Board noted that Acclivity Small Cap Value outperformed the peer group median and Morningstar category median but underperformed its benchmark (the S&P 500 Total Return Index) for the one year period, and outperformed the peer group median but underperformed the Morningstar category median and benchmark for the since inception period. The Board noted the portfolio managers’ ability to manage risk and the recent addition of investment team personnel. After further discussion, the Board concluded that Acclivity Small Cap Value’s past performance was acceptable and generally in line with its risk level.

 

Fees and Expenses. As to the costs of the services to be provided by Innealta, the Board reviewed and discussed the Acclivity Small Cap Value’s advisory fee and total operating expenses as compared to its peer group and its Morningstar category as presented in the Broadridge Reports. The Board reviewed the contractual arrangements, noting that Innealta charges an advisory fee at an annual rate of 0.39% of the average daily net assets of Acclivity Small Cap Value under the Innealta Advisory Agreement. The Board noted the advisory fee for Acclivity Small Cap Value was significantly lower than the peer group median and Morningstar category median. The Board also reviewed the net expenses for Acclivity Small Cap Value as compared to its peer group and Morningstar category. The Board then reviewed the Operating Expenses Limitation Agreement noting that Innealta had agreed to waive or limit its advisory fee and/or reimburse expenses at least until April 30, 2022, in order to limit net annual operating expenses, exclusive of certain fees, so as not to exceed 0.48% and 0.73% of Acclivity Small Cap Value’s average net assets for Class I and Class N shares, respectively and found such arrangements to be beneficial to shareholders. The Board concluded that, based on Innealta’s experience, expertise and services provided to Acclivity Small Cap Value, the advisory fee charged by Innealta for Acclivity Small Cap Value was not unreasonable. The Board also noted their approval to lower the advisory fee and expense cap of Acclivity Small Cap Value at its meeting on April 22, 2020.

 

Profitability. The Board also considered the level of profits that could be expected to accrue to Innealta with respect to Acclivity Small Cap Value based on profitability reports and analyses prepared by Innealta and reviewed by the Board and the selected financial information of Innealta provided by Innealta. After review and discussion, the Board concluded that the anticipated profit from Innealta’s relationship with Acclivity Small Cap Value was not excessive.

 

Economies of Scale. As to the extent to which Acclivity Small Cap Value would realize economies of scale as it grew, and whether the fee levels reflect these economies of scale for the benefit of investors, the Board discussed the current size of Acclivity Small Cap Value, Innealta’s expectations for growth of Acclivity Small Cap Value, and concluded that any material economies of scale would not be achieved in the near term.

 

Conclusion. Having requested and received such information from Innealta as the Board believed to be reasonably necessary to evaluate the terms of the Innealta Advisory Agreement, and as assisted by the advice of independent counsel, the Board, including a majority of the Independent Trustees voting separately, determined that (a) the terms of the Innealta Advisory Agreement are not unreasonable with respect to Acclivity Small Cap Value; (b) the investment advisory fee payable for Acclivity Small Cap Value pursuant to the Innealta Advisory Agreement is not unreasonable; and (c) the Innealta Advisory Agreement is in the best interests of Acclivity Small Cap Value and its shareholders. In considering the renewal of the Innealta Advisory Agreement, the Board did not identify any one factor as all important, but rather considered these factors collectively and determined that approval of the renewal of the Innealta Advisory Agreement was in the best interest Acclivity Small Cap Value and its shareholders. Moreover, the Board noted that each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the Innealta Advisory Agreement.

66 

 

Privacy Policy

 

Rev. May 2021

 

FACTS WHAT DOES NORTHERN LIGHTS FUND TRUST II (“NLFT II”) DO WITH YOUR PERSONAL INFORMATION?
Why? 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.
What?                The types of personal information we collect and share depend on the product or service you have with us. This information can include:

●    Social Security number

 

●    Employment information

 

●    Account balances

●    Account transactions

 

●    Income

 

●    Investment experience


When you are no longer our customer, we continue to share your information as described in this notice.
How? All financial companies need to share a customer’s personal information to run their everyday business - to process transactions, maintain customer accounts, and report to credit bureaus. In the section below, we list the reasons financial companies can share their customer’s personal information; the reasons NLFT II chooses to share; and whether you can limit this sharing.
   

Reasons we can share your personal information Does NLFT II
share?		 Can you limit
this sharing?

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

 Yes No

For our marketing purposes —
to offer our products and services to you

 Yes No

For joint marketing with other financial companies

 Yes No

For our affiliates’ everyday business purposes —
information about your transactions and experiences

 Yes No

For our affiliates’ everyday business purposes —
information about your creditworthiness

 		No We don’t share

For nonaffiliates to market to you

 No We don’t share

Questions? Call 1-631-490-4300

67 

 

Who we are
Who is providing this notice? Northern Lights Fund Trust II
What we do
How does NLFT II protect my personal information? 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.
How does NLFT II collect my personal information? We collect your personal information, for example, when you

●    open an account

 

●    give us your income information

 

●    provide employment information

 

●    provide account information

 

●    give us your contact information

We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.
Why can’t I limit all sharing?

Federal law gives you the right to limit only

 

●    sharing for affiliates’ everyday business purposes—information about your creditworthiness

 

●    affiliates from using your information to market to you

 

●    sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

  

●    NLFT II has no affiliates.

 

Nonaffiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

●    NLFT II does not share with nonaffiliates so they can market to you.

Joint marketing

A formal agreement between nonaffiliated financial companies that together market financial products and services to you.

 

●    Our joint marketing partners include other financial service companies.

68 

 

PROXY VOTING POLICY

 

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 1-855-873-3837 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

PORTFOLIO HOLDINGS

 

Funds file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, within sixty days after the end of the period. Form N-PORT reports are available at the SEC’s website at www.sec.gov.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT ADVISER
Innealta Capital, LLC
13215 Bee Cave Pkwy, Bldg A, Suite 240
Austin, Texas 78738
 
ADMINISTRATOR
Gemini Fund Services, LLC
4221 North 203rd Street, Suite 100
Elkhorn, Nebraska 68022
 
Acclivity-SAR-21

 

 

(a)       Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1).

 

(b)       Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule.

 

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 Registrant’s last fiscal half-year 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.

 

(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.

 

 

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) Northern Lights Fund Trust II

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer/President

 

Date 09/03/21

 

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)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer/President

 

Date 09/03/21

 

 

By (Signature and Title)

/s/ Erik Naviloff

Erik Naviloff, Principal Financial Officer/Treasurer

 

Date 09/03/21

CERTIFICATIONS

 

I, Kevin E. Wolf, certify that:

 

1.       I have reviewed this report on Form N-CSR of Acclivity Mid Cap Multi-Style Fund and Acclivity Small Cap Value Fund (each a series of Northern Lights Fund Trust II);

 

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:

 

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;

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;

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

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of 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):

 

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

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: 09/03/21                                                        /s/ Kevin E. Wolf

Kevin E. Wolf

Principal Executive Officer/President

 

 

 

 

I, Erik Naviloff, certify that:

 

1.       I have reviewed this report on Form N-CSR of Acclivity Mid Cap Multi-Style Fund and Acclivity Small Cap Value Fund (each a series of Northern Lights Fund Trust II);

 

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:

 

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;

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;

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

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of 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):

 

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

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: 09/03/21                                                        /s/ Erik Naviloff

Erik Naviloff

Principal Financial Officer/Treasurer

certification

Kevin E. Wolf , Principal Executive Officer/President, and Erik Naviloff, Principal Financial Officer/Treasurer of Northern Lights Fund Trust II (the “Registrant”), each certify to the best of his knowledge that:

1.       The Registrant’s periodic report on Form N-CSR for the period ended June 30, 2021 (the “Form N-CSR”) fully complies with the requirements of Sections 15(d) of the Securities Exchange Act of 1934, as amended; and

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 II  Northern Lights Fund Trust II
    
    
/s/Kevin E. Wolf  /s/ Erik Naviloff
Kevin E. Wolf  Erik Naviloff
Date: 09/03/21  Date: 09/03/21

 

 

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to the Northern Lights Fund Trust II and will be retained by the Northern Lights Fund Trust II 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.

 


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