Grant ParkLiquid Alternative Strategies

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Fact Sheet August 2016

Grant Park Managed Futures Strategy Fund

Fund Investment ObjectiveThe Fund seeks income and capital appreciation. Reasons to Invest Portfolio Diversification - The Fund invests across multiple Commodity Trading Advisors (CTAs) and seeks to generate returns that have low-correla-tion to traditional asset classes.

Asset Allocation - Over a complete market cycle, adding alternatives to a traditional asset allocation has the potential to improve the overall risk/return profile of a portfolio.

Discipline - The Advisor executes a quantitatively-driven, systematic investment methodology to determine CTA allocations.

Experienced Leadership - Dearborn Capital Management, LLC (DCM) directs the Fund’s investment processes and has operated alternative investment funds for 25 years.

There is no guarantee that any investment will achieve its objectives, generate positive returns, or avoid losses.

Fund OverviewFund Inception March 4, 2011

Investment Advisor

Firm Inception January 1, 1989 (Commodity Pool Operator)January 5, 2011 (Investment Advisor)

Performance

*The maximum sales charge (load) for Class A is 5.75%. The performance data quoted here represents past performance. For performance data current to the most recent month end, please call toll-free 855.501.4758 or visit our website, grantparkfunds.com. 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 in the Fund will fluctuate so that investors’ shares, when redeemed, may be worth more or less than their original cost. The Fund’s investment adviser has contractually agreed to reduce its fees and/or absorb expenses of the fund, at least until January 31, 2017, to ensure that the Total Annual Fund Operating Expenses After Fee Waiver will not exceed 1.90%, 2.65%, 1.65%, and 1.90% of the daily average net assets attributable to each of the Class A, C, I and N shares, respectively, subject to possible recoupment from the Fund in future years. Without these waivers, total annual operating expenses would be 2.31%, 3.04%, 2.01% and 2.30% for Class A, C, I and N Shares. Results shown reflect the waiver, without which the results could have been lower. Please review the Fund’s prospectus for more detail on the expense waiver. The Fund’s allocations to the specific sectors and markets are presented to illustrate examples of the diversity of strategies and sub-strategies accessed by the Fund, but may not be representative of the Fund’s past, or its future, access to market sectors, markets, and sub-strategies. It should not be considered a recommendation or investment advice.

Aug Q3 2016Annualized

1 Year to

6/30/16

Annualized 5 Year

to6/30/16

AnnualizedInception

to 6/30/16

Standard Deviation

at6/30/16

Sharpe Ratio

at6/30/16

Sortino Ratio

at6/30/16

Without Max Sales Charge

Class I (GPFIX) -0.63% 1.38% 5.88% 1.28% -0.31% -0.78% 10.35 -0.07 -0.08

US OE Managed Futures -1.80% -1.17% 0.45% 1.38% -0.59% -1.44% 7.46 -0.26 -0.29

S&P 500 TR Index 0.14% 3.83% 7.82% 3.99% 12.09% 11.44% 18.81 0.92 1.08

Barclays Agg Bond Index -0.11% 0.52% 5.86% 6.00% 3.76% 4.02% 3.87 1.47 1.77

With Max Sales Charge*

Class A (GPFAX) -6.33% -4.44% -0.42% -4.87% -1.73% -2.14% NA NA NA

DEARBORNCAPITAL MANAGEMENT, LLC

555 W. Jackson Blvd., Ste 600 | Chicago, IL 60661 | 866.217.9584

Trading Style Weightings

Sector Diversification and Top Holdings

L - Long Positions (expects prices to increase) S - Short Positions (expects prices to decrease)

Commodity Trading Advisors AllocationEMC Capital Advisors, LLC 20%

H2O Asset Management, LLP 16%

Quantica Capital AG 8%

Revolution Capital Management, LLC 21%

SCT Capital Management, Inc 16%

Winton Capital Management, LTD 19%

Currencies Energy Equities Fixed Income Grains/Foods Metals

Sector Exposure

Arbitrage

40

30

20

10

50

Counter Trend

GlobalMacro

Pattern Recognition

Trend Following

6%

6% 37%

27%24%

Sector Exposure Position ContractMarket

Exposure Position

Commodities 20%

Energy 7% Long Heating Oil 2.08% LongCrude Oil 1.77% Long

Grains/Foods 6% Short Corn 1.33% ShortWheat 1.02% Short

Metals 7% Long Gold 3.37% LongSilver 1.05% Long

Financials 80%

Currencies 20% Short $ Japanese yen 5.84% LongBritish pound 1.65% Short

Equities 37% Long Nasdaq 6.77% LongNikkei 225 Index 4.81% Long

Fixed Income 23% Long 30-Yr T-Bonds 2.48% LongBunds 2.46% Long

2 Grant Park Managed Futures Strategy Fund

Sector Exposure - Commodities

Grant Park Managed Futures Strategy Fund (GPFIX) v. Morningstar US OE Managed Futures

Mar 5, 2011 - Aug 31, 2016

Portfolio Allocations & Performance Review

Monthly Performance (GPFIX Mar 2011 - Aug 2016)

Advisor Commentary Grant Park’s performance for August was negative and was primarily driven by market reactions to an uncertain outlook concerning interest rate increases and central bank monetary policy.

The Federal Reserve’s ambiguous commitment to raising interest rates negatively impacted multiple markets. Yields in the fixed-income markets rose as investors anticipated an interest rate increase in September, which reversed the previous sentiment. Grant Park’s long exposure to the sector lost value and overall exposure to the sector was reduced from 32% to 28%. The prospect of higher interest rates also caused precious metals prices to fall, which further added to Fund losses. Long positions in the equity sector gained in value and partially offset losses, as the Hang Seng Index, in particular, rallied to a 13-month high.

An increase in prices across the energy sector moved against the Fund’s existing short positions in heating oil, crude oil, and gas oil positions. The majority of positions were liquidated as prices increased and overall exposure to the sector was reduced by month-end. Short positions in corn and wheat offset some of these losses as prices fell to multi-year lows based on projections for record harvests.

Style Allocations

Grant Park (GPFIX) US OE Managed Futures

Investment Growth

Sector allocations and exposure are subject to change and should not be considered investment advice. The index shown is for informational purposes only and is not reflective of any investment. It is not possible to invest in the index, the data shown does not reflect or compare features of an actual investment, such as its objectives, costs and expenses, liquidity, safety, guarantees or insurance, fluctuation of principal or return, or tax features. Past performance is no guarantee of future results. There is no guarantee that any investment will achieve its goals and generate profits or avoid losses.

Sector Jul 2016 Aug 2016

Commodities 18% 20%Energy 3% 7%

Grains/Foods 6% 6%

Metals 9% 7%

Sector Exposure - Financials

Sector Jul 2016 Aug 2016

Financials 82% 80%Currencies 12% 20%

Equities 40% 37%

Fixed Income 30% 23%

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD

2016 2.66% 2.38% -1.37% -1.18% -0.43% 2.39% 2.02% -0.63% 5.88%

2015 5.26% 0.80% 0.79% -3.84% -0.10% -4.10% 2.03% -6.70% 2.47% 1.20% 3.68% -5.25% -4.46%

2014 -2.87% -0.57% -1.83% -0.93% 1.29% 0.58% -0.35% 2.78% 1.69% 0.44% 4.41% 1.49% 6.08%

2013 0.85% -0.42% 0.32% 0.11% -0.53% -3.18% -0.44% -2.20% -1.69% 1.14% 1.58% 0.89% -3.62%

2012 -1.41% -0.61% -0.72% 0.31% 3.09% -2.40% 0.92% -0.51% -1.22% -1.86% -0.74% -0.53% -5.62%

2011 1.50% 2.07% -4.25% -1.81 1.64% 0.20% 1.61% -1.59% 0.40% 0.00% -0.40%

$ 9,723

$ 9,148

Aug Q3 2016Aug Q3 2016

Sector Performance

Fact Sheet | August 2016

Commodities Financials

Dire

ction

al S

tren

gth

Dire

ction

al S

tren

gth

Dire

ction

al S

tren

gth

Fixed Income - 23%Metals - 7%

Currencies - 20%Energy - 7%

Grains/Foods - 6% Equities - 37%

Sector Exposure

Currencies Equities Fixed IncomeEnergy Grains/Foods Metals

Long* Short*

Long* Short*

Long* Short*

Long* Short*

Long* Short*

Long* Short*

-20

-15

-10

-5

0

5

10

-10

-5

0

5

10

15

20

25

30

-10

-8

-6

-4

-2

0

2

4

6

8

10

-20

-10

0

10

20

30

40

50

-20

-15

-10

-5

0

5

10

15

-20

-10

0

10

20

30

40

50

Dire

ction

al S

tren

gth

Dire

ction

al S

tren

gth

Dire

ction

al S

tren

gth

30% Long/70% Short. Short corn and wheat positions performed well due to a record harvest increasing supply.

93% Long/7% Short. Long positions in the sector saw gains as global indices performed well.

90% Long/10% Short. Long exposure to fixed-income positions produced losses as yields rose due to a potentially revised rate-hike timetable.

69% Long/31% Short. The Fund’s long gold and silver positions created losses as the increased probability of a rate-hike was factored into the markets.

The returns shown for are presented as a percentage of overall fund performance attributed to the named asset class. Past performance is no guarantee of future results.

*Position direction is based on the analysis of net VaR by sector. The results shown reflect the dynamic changes in portfolio exposure and do not represent fund performance. Portfolio exposure is subject to change and should not be considered investment advice. Past results are not necessarily indicative of future results.

The sector exposure data displays the strength of Fund’s short and long exposure within each sector. Green areas indicate short positions which would gain value if prices fall within the specific sec-tor. Blue areas indicate long positions which would gain value if prices rose within the specific sector. The combined information represents the Fund’s overall sector exposure.

Rate

of R

etur

n

0.31% 0.72%

-0.20% 0.10%

-0.36%

2.02%

-1.11%

6.40%

-0.27%

Rate

of R

etur

n

-0.68% 0.06%

-0.49%

0.26% -0.06% -0.55%

0.12%

88% Long/12% Short. The Fund’s short positions were liquidated as prices reversed direction and increased.

86% Long/14% Short US $. The Fund’s currency positions negatively contributed to performance with losses in the yen and British pound.

0.31%0.02%

Barclays Capital U.S. Aggregate Bond Index: Covers the USD-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. Includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS sectors. The U.S. Aggregate Index is a component of the U.S. Universal Index in its entirety. Investors cannot directly invest in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.Commodity: Any good exchanged during commerce, which includes goods traded on a commodity exchange, typically through the use of futures contracts.Long: Buying a security such as a stock, commodity or currency, with the expectation that the asset will rise in value.US OE Managed Futures Index: Represented by the US OE Managed Futures Index, these funds primarily trade liquid global futures, options, swaps, and foreign exchange contracts, both listed and over-the-counter. A majority of these funds follow trend-following, price-momentum strategies. Other strategies included in this category are systematic mean-reversion, discretionary global macro strategies, commodity index tracking, and other futures strategies. More than 60% of the fund’s exposure is invested through derivative securities. These funds obtain exposure primarily through derivatives; the holdings are largely cash instruments. Investors cannot directly invest in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.Standard & Poor’s 500 Total Return Index: A weighted index consisting of the 500 stocks in the S&P 500 Index, which are chosen by Standard & Poor’s based on industry representation, liquidity, and stability. The stocks in the S&P 500 Index are not the 500 largest companies, rather the index is designed to capture the returns of many different sectors of the U.S., economy. The Total Return calculation includes the price-plus-gross cash dividend return. Investors cannot directly invest in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.Sharpe Ratio: (Average Return - Risk Free Return)/Standard Deviation of return. The ratio measures the relationship of reward to risk in an investment strategy.Short: Selling a security such as a stock, commodity or currency, with the expectation that the asset will fall in value.Sortino Ratio: (Average Return - Risk Free Return)/Downside Deviation. A variation of the Sharpe ratio which differentiates harmful volatility. Standard Deviation: A measure of investment risk that examines the variation of returns around the mean return. Higher volatility equates to higher standard deviation.

555 W. Jackson Blvd., Ste 600 | Chicago, IL 60661 | 866.217.9584 | grantparkfunds.com | cs@dearborncapital.com

Fund Information

• Constantly seek advisors whose maturity and unique investment strategies may contribute to long-term, positive performance

• Actively manage the investment process to ensure the Fund remains aligned with its investment objective

• Apply extensive, multi-tiered risk management practices across all aspects of the portfolio’s operation

• Provide comprehensive operating transparency, extensive counterparty analysis, and on-going due diligence

Grant Park Philosophy

Class Ticker1 Cusip Investment Minimum2

Maximum Sales

Charge

Gross Expense3 12b-1 Net

ExpenseRedemption

Fee4

A GPFAX 66537X746 $2,500 5.75%5 2.31% 0.25% 1.91% 1.00%

C GPFCX 66537X738 $5,000 None 3.04% 1.00% 2.66% 1.00%

I GPFIX 66537X720 $100,000 None 2.01% None 1.66% 1.00%

N GPFNX 66537X712 $5,000 None 2.30% 0.25% 1.91% 1.00%

1 Inception date of share classes A, C, I and N is 03/04/20112 Subsequent investments in A, C and N classes is $100. Subsequent investments in I class is $1,0003 The Fund’s advisor has contractually agreed to reduce it’s fees and/or expenses of the fund at least until January 31, 20174 Redemption fee is assessed on redemptions of shares that have been held for less than 60 days. In addition, proceeds wired to your bank account may be subject to a $15 fee5 The load may be waived at the discretion of the Advisor

All charts in this document were prepared by Dearborn Capital Management, LLC. ©2016 Dearborn Capital Management, LLC. All rights reserved.

The Grant Park Managed Futures Strategy Fund is distributed by Northern Lights Distributors, LLC a FINRA/SIPC member. Dearborn Capital Management, LLC is not affiliated with Northern Lights Distributors, LLC.

The cost of the Swap does not include the fees and expenses of the CTAs included in the Swap. The Swap’s returns will be reduced and its losses increased by the costs associated with the Swap, which are the fees and expenses deducted by the counterparty in the calculation of the returns on the Swap, including the management and performance fees of the CTAs. A performance fee for one or more managers represented in the Swap may be deducted from the return of the Swap even if the aggregate returns of the Swap are negative. These fees, which are not reflected in the Annual Fund Operating Expenses table, are embedded in the return of the Swap and represent an indirect cost of investing in the Fund. Generally, the management fees and performance fees of the CTAs included in the index range from 0% to 2% of assets and 10% to 35% of the returns, respectively. Such fees are accrued daily within the index and deducted from the Swap value quarterly.

Managed futures exposures are subject to change at any time. The Fund may invest up to 25% of its total assets in a wholly-owned subsidiary, which will invest with Commodity Trading Advisors with the aim of providing aggregate exposure to the CTA programs selected by Dearborn Capital Management, LLC as if 100% of the Fund’s Net Assets were invested in the selected CTA programs. Reference to the specific CTA should not be construed as a recommendation by the Fund or its Advisor. Capsule performance information, reported pursuant to National Futures Association Rule 2-34 and CFTC Regulations, and other information about the Fund’s investments can be found at grantparkfunds.com.

MUTUAL FUNDS INVOLVE RISK INCLUDING POSSIBLE LOSS OF PRINCIPAL. Investors should carefully consider the investment objectives, risks, charges and expenses of the Grant Park Managed Futures Strategy Fund. This and other important information about the Fund is contained in the Prospectus, which can be obtained by calling 855.501.4758. The Prospectus should be read carefully before investing.

There is no assurance that the fund will achieve its investment objectives. Investing in the commodities markets may subject the Fund to greater volatility than investments in traditional securities. There is a risk that issuers and counter parties will not make payments on securities and other investments held by the Fund, resulting in losses to the Fund. Derivative instruments involve risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. In general, the price of a fixed income security falls when interest rates rise. Currency trading risks include market risk, credit risk and country risk. Investments in foreign securities could subject the Fund to greater risks including, currency fluctuation, economic conditions, and different governmental and accounting

standards. Using derivatives to increase the Fund’s combined long and short exposure creates leverage, which can magnify the Fund’s potential for gain or loss. The Commodity Futures Trading Commission (CFTC) has proposed changes to Rule 4.5 under the Commodity Exchange Act which, if adopted, could require the Fund and the Subsidiary to register with the CFTC. Short positions may be considered speculative transactions and involve special risks, including greater reliance on the advisor’s ability to accurately anticipate the future value of a security or instrument. Underlying Funds are subject to investment advisory and other expenses, which will be indirectly paid by the Fund. As a result, the cost of investing in the Fund will be higher than the cost of investing directly in an Underlying Fund. By investing in commodities indirectly through the Subsidiary, the Fund will obtain exposure to the commodities markets within the federal tax requirements that apply to the Fund, which may be tax at less favorable rates than capital gains. The Subsidiary will not be registered under the Investment Company Act of 1940 (“1940 Act”) and, unless otherwise noted in the Prospectus, will not be subject to all of the investor protections of the 1940 Act.

Glossary

Fund Facts

2-0816MFFS 3695-NLD-9/12/2016

Fund Dividend & Capital Gains Distributions Record Date: Dec 23, 2015 Ex-Dividend/Payable/Reinvestment Date: Dec 24, 2015

Class Reinvestment Price (NAV)

Dividend Per Share

Short-Term Capital Gain

Long-Term Capital Gain

Total Capital Gain Distribution

A (GPFAX) $8.98 $0.0287 - - -C (GPFCX) $8.73 - - - -

I (GPFIX) $9.03 $0.0669 - - -N (GPFNX) $8.97 $0.0383 - - -

The Fund’s closing net asset value (NAV) on the ex-dividend date was reduced by the amount of the distribution, in addition to any gains or losses from market activity for the day. Please consult your tax advisor for information related to your specific situation. Fund distributions will vary depending upon market conditions and number of shares outstanding. All dates and distributions are subject to board approval. Past distributions are no guarantee of future distributions or performance results. This information is not intended to cover the complexities of a shareholder’s individual tax situation. Because tax laws vary among states, you should consult your tax advisor about the specific rules in the state(s) in which you pay income taxes. Record date is the date by which a shareholder must own fund shares to receive the distribution. Ex-date is the date on which a shareholder who purchases fund shares will not be eligible to receive the distribution. Payable date is the date on which a shareholder is paid the distribution. Investors should carefully consider the investment objectives, risks, charges and expenses of the Grant Park Funds. This and other important information about the Fund is contained in the Prospectus, which can be obtained by calling 855.501.4758. The Prospectus should be read carefully before investing. The Grant Park Managed Futures Strategy Fund is distributed by Northern Lights Distributors, LLC member FINRA/SIPC. Dearborn Capital Management, LLC is not affiliated with Northern Lights Distributors, LLC.