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Fact Sheet Q1 2017

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 Advisers (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 Adviser 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 Adviser

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

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, 2018. Total Annual Fund Operating Expenses After Fee Waiver are 2.06%, 2.81%, 1.81%, and 2.06% for the Class A, C, I and N shares, respectively. Without these waivers, total annual operating expenses would be 2.26%, 3.01%, 2.02% and 2.26% 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.

Q1 YTD 1 Year 3 Year 5 Year Since Inception

Standard Deviation

Sharpe Ratio Correlation

Without Max Sales ChargeClass I (GPFIX) 2.25% 2.25% 3.09% 4.54% 0.25% -0.31% 7.78 -0.05 0.82

US OE Managed Futures -0.17% -0.17% -4.93% 1.98% -0.73% -1.90% 6.23 -0.30 1.00

S&P 500 TR Index 6.07% 6.07% 17.17% 10.37% 13.30% 12.49% 11.42 1.08 -0.03

Barclays Agg Bond Index 0.82% 0.82% 0.44% 2.68% 2.34% 3.21% 2.87 1.07 0.41With Max Sales Charge*

Class A (GPFAX) -3.72% -3.72% -3.09% 2.25% -1.19% -1.52% N/A N/A N/A

DEARBORNCAPITAL MANAGEMENT, LLC

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

Trading Style Weightings

Sector Diversification and Top Holdings(As of March 31, 2017)

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

Commodity Trading Advisers AllocationEMC Capital Advisors, LLC 19%

H2O Asset Management, LLP 17%

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%

7% 36%

27%24%

Sector Exposure Position ContractMarket

Exposure Position

Commodities 32%

Energy 20% ShortCrude Oil 11.78% Short

Brent Crude Oil 4.93% Short

Grains/Foods 5% ShortSugar 0.78% Short

Cotton 0.71% Long

Metals 7% LongGold 2.97% LongSilver 1.70% Long

Financials 68%

Currencies 16% Long $ Canadian Dollar 1.56% ShortBritish Pound 1.47% Short

Equities 36% Long Russell 2000 4.47% ShortS&P 500 3.78% Long

Fixed Income 16% Short Italian Gov’t Bonds (Long-Term) 3.42% LongU.S. 5-Yr Treasury Notes 3.01% Short

2 Grant Park Managed Futures Strategy Fund

Sector Exposure - Commodities

Portfolio Allocations & Performance Review

Monthly Performance

Adviser Commentary Quarterly performance was +2.25%.

January’s performance was -1.69% as fixed income markets remained pressured by the perceived end of a 30-year bull market in bonds. The 10-year U.S. Treasury yields rose above pre-election levels, while in Japan and the Eurozone, central banks decided to forgo short-term bond purchases to steepen the interest rate yield curve. Losses in fixed income were partially offset by gains in the equity markets as global equities markets continued to rally in anticipation of additional fiscal stimulus measures. The Australian and New Zealand currencies emerged as potential safe-haven investments as investors sought to invest in stable economies likely to be immune from potential political turmoil.

February’s performance was +4.34% and was driven by gains across the financial sectors. Investors remained optimistic about tax reform, economic policy, and generally positive economic indicators. Global equity markets moved higher and reached all-time highs. Longer-maturity fixed income prices stabilized and the U.K. and German positions gained value as the markets reacted to the likelihood of an interest rate hike in the near term. Increased demand for gold and silver prices rose throughout the month.

March’s performance was -0.33%. Positive performance in the equities, grains, and foods sectors were offset by negative performance in the fixed income markets. Longer-term Eurozone debt lost value as yield-curve differences between the U.S. and Eurozone instruments flattened. The U.K. formal initiation of Brexit proceedings added to monetary uncertainty in Europe.

Style Allocations(As of March 31, 2017)

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 Q4 2016 Q1 2017

Commodities 14% 32%Energy 4% 20%

Grains/Foods 7% 5%

Metals 3% 7%

Sector Exposure - Financials

Sector Q4 2016 Q1 2017

Financials 86% 68%Currencies 18% 16%

Equities 45% 36%

Fixed Income 23% 16%

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

2017 -1.69% 4.34% -0.33% 2.25%

2016 2.66% 2.38% -1.37% -1.18% -0.43% 2.39% 2.02% -0.63% -1.26% -1.91% -1.73% 3.71% 4.51%

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%

Mar 5, 2011 - Mar 31, 2017

$9,813

$8,787

-30

-20

-10

0

10

20

30

40

50

Q1 1 YearQ1 1 Year

Sector Performance

Fact Sheet | Q1 2017

Commodities Financials

Dire

ction

al S

tren

gth

Dire

ction

al S

tren

gth

Dire

ction

al S

tren

gth

Fixed Income - 16%Metals - 7%

Currencies - 16%Energy - 20%

Grains/Foods - 5% Equities - 36%

Sector Exposure on March 31, 2017

Currencies Equities Fixed IncomeEnergy Grains/Foods Metals

Long* Short*

Long* Short*

Long* Short*

Long* Short*

Long* Short*

Long* Short*

-25

-20

-15

-10

-5

0

5

10

-10

-5

0

5

10

15

20

25

30

35

-12

-10

-8

-6

-4

-2

0

2

4

6

8

10

-20

-10

0

10

20

30

40

50

60

-15

-10

-5

0

5

10

15

Dire

ction

al S

tren

gth

Dire

ction

al S

tren

gth

Dire

ction

al S

tren

gth

26% Long/74% Short. Short positions in sugar were profitable as the commodity fell 12%.

87% Long/13% Short. Long positions in the sector profited, particularly the Hang Seng and MSCI EAFE.

39% Long/61% Short. Long exposure to the longer-duration investments caused losses, particularly the German bund and U.K. gilt.

100% Long/0% Short. The Fund’s long positions in precious metals lost value due to a rally in silver.

The returns shown 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 sector. 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% -1.22% -0.03%

0.18%

Rate

of R

etur

n

1% Long/99% Short. Long crude positions were exited at a loss as prices reversed.

97% Long/3% Short US $. The Fund’s long positions in the U.S. dollar produced losses, as did short positions in the euro.

8.72%

5.31%-0.17% -0.82%

0.41%

-1.95%-0.68% -0.11%

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 advisers 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 2.26% 0.25% 2.06% 1.00%

C GPFCX 66537X738 $5,000 None 3.01% 1.00% 2.81% 1.00%

I GPFIX 66537X720 $100,000 None 2.02% None 1.81% 1.00%

N GPFNX 66537X712 $5,000 None 2.26% 0.25% 2.06% 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 adviser has contractually agreed to reduce it’s fees and/or expenses of the fund at least until January 31, 20184 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 Adviser

All charts in this document were prepared by Dearborn Capital Management, LLC. ©2017 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 Advisers 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 Adviser. 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 adviser’s ability to accurately anticipate the future value of a security or instrument. Underlying Funds are subject to investment advisery 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-Q117MFFS 3290- NLD-4/12/2017

Fund Dividend & Capital Gains Distributions Record Date: Dec 21, 2016 Ex-Dividend/Payable/Reinvestment Date: Dec 22, 2016

ShareClass

Reinvestment Price

Dividend Income

Short-Term Capital Gain

Long-Term Capital Gain

Distribution Total

A (GPFAX) $8.91 $0.4857 $0.0000 $0.0020 $0.4877C (GPFCX) $8.67 $0.3970 $0.0000 $0.0020 $0.3990

I (GPFIX) $8.96 $0.5182 $0.0000 $0.0020 $0.5202N (GPFNX) $8.90 $0.4925 $0.0000 $0.0020 $0.4945

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 adviser 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 adviser 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.