Altegris 40 Index Raw Data
The Altegris 40™ Index tracks the performance of the 40 leading managed futures programs as reported to our research affiliate International Traders Research, each month, based on ending monthly equity for the previous month.
Monthly Performance (%) |
Date Range: 01/90 - 04/13 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
| 2013 | 1.90 | -0.58 | 1.44 | 2.58 | 5.42 | ||||||||
| 2012 | 0.32 | 0.41 | -2.27 | 0.60 | 1.90 | -3.76 | 4.09 | -1.36 | -1.65 | -3.62 | 0.28 | 0.49 | -4.75 |
| 2011 | -1.37 | 1.70 | -1.53 | 3.90 | -3.65 | -2.60 | 3.59 | -0.20 | -0.06 | -3.96 | 0.30 | 0.96 | -3.23 |
| 2010 | -2.49 | 0.94 | 3.97 | 1.54 | -2.42 | 0.38 | -1.29 | 4.14 | 1.82 | 3.88 | -3.54 | 4.29 | 11.33 |
| 2009 | -0.65 | -0.05 | -2.77 | -3.27 | 1.38 | -2.66 | -0.11 | 0.33 | 2.38 | -2.56 | 4.03 | -4.00 | -7.98 |
| 2008 | 1.82 | 5.69 | -0.44 | -1.15 | 2.06 | 2.67 | -4.59 | -2.67 | 0.21 | 5.15 | 3.67 | 2.57 | 15.47 |
| 2007 | 1.71 | -3.75 | -2.34 | 4.20 | 3.57 | 2.89 | -3.09 | -3.73 | 4.67 | 4.31 | -0.65 | -0.23 | 7.18 |
| 2006 | 1.91 | -1.78 | 2.68 | 2.44 | -2.65 | -1.37 | -1.48 | 1.12 | -1.06 | 1.10 | 2.45 | 3.38 | 6.70 |
| 2005 | -4.20 | 0.69 | -0.56 | -2.45 | 3.09 | 3.41 | 0.06 | 0.54 | 1.54 | 0.16 | 4.29 | -1.81 | 4.51 |
| 2004 | 0.96 | 5.64 | -0.98 | -6.22 | -1.59 | -3.30 | -1.14 | -0.69 | 1.35 | 3.42 | 5.41 | 0.33 | 2.57 |
| 2003 | 6.13 | 5.97 | -5.72 | 1.47 | 5.87 | -2.51 | -2.26 | 0.94 | -0.46 | 2.25 | -0.30 | 4.33 | 15.99 |
| 2002 | -1.20 | -2.82 | -0.29 | -2.36 | 2.59 | 8.84 | 5.34 | 2.41 | 4.61 | -5.18 | -2.76 | 6.09 | 15.22 |
| 2001 | 1.04 | 0.95 | 6.48 | -6.16 | 0.03 | -1.10 | 0.22 | 2.99 | 3.08 | 4.32 | -7.77 | 2.11 | 5.39 |
| 2000 | 0.91 | -1.12 | -2.48 | -1.51 | 1.37 | -1.55 | -1.76 | 2.06 | -1.74 | 2.09 | 6.26 | 8.23 | 10.63 |
| 1999 | -2.89 | 1.87 | -0.81 | 3.07 | -1.66 | 2.60 | -0.78 | 0.60 | 0.35 | -4.42 | 1.94 | 1.29 | 0.87 |
| 1998 | 0.63 | -0.78 | 1.17 | -3.97 | 2.54 | 0.12 | 0.21 | 7.93 | 4.47 | -0.40 | -1.83 | 2.35 | 12.61 |
| 1997 | 3.91 | 2.39 | -0.11 | -2.34 | -1.66 | 1.16 | 6.98 | -4.76 | 1.26 | -0.62 | 1.40 | 2.68 | 10.22 |
| 1996 | 3.12 | -6.01 | 0.57 | 5.22 | -2.36 | 1.02 | -2.58 | -0.35 | 4.49 | 8.10 | 7.05 | -2.28 | 16.04 |
| 1995 | -2.70 | 3.66 | 8.23 | 1.79 | 1.13 | -2.16 | -1.96 | 1.24 | -2.50 | 0.10 | 1.68 | 4.49 | 13.16 |
| 1994 | -4.14 | -2.27 | 1.59 | -1.33 | 2.24 | 4.71 | -3.13 | -3.79 | 1.31 | -0.05 | 1.40 | -1.73 | -5.46 |
| 1993 | -0.85 | 7.61 | -0.55 | 4.60 | 0.10 | 1.43 | 4.87 | -1.14 | -1.25 | -0.70 | -1.69 | 1.81 | 14.66 |
| 1992 | -8.16 | -3.79 | -0.08 | -3.72 | 1.08 | 6.67 | 7.16 | 5.36 | -2.43 | -0.26 | 1.63 | -1.42 | 0.89 |
| 1991 | -5.44 | 0.30 | 6.90 | -1.65 | -1.10 | 2.69 | -4.55 | -1.01 | 5.45 | -2.65 | 1.02 | 16.01 | 15.12 |
| 1990 | 4.27 | 2.11 | 3.71 | 3.72 | -6.53 | 2.68 | 10.36 | 8.00 | 3.37 | 3.02 | -0.39 | -1.31 | 37.15 |
| Note: Estimates appear in italics. See Notes to Performance below. | |||||||||||||
Performance Statistics |
Date Range: 01/90 - 04/13 | ||
|---|---|---|---|
| Altegris 40 | SP500 TR | Barcl Ag | |
| Total Return | 523.38% | 661.82% | 369.90% |
| Annualized Return | 8.16% | 9.06% | 6.83% |
| Annualized Std. Deviation | 11.67% | 14.92% | 3.68% |
| Correlation | -0.12 | 0.23 | |
| Sharpe Ratio (rf=2.5%) | 0.48 | 0.44 | 1.18 |
| Worst Month | -8.16% | -16.80% | -3.36% |
| Date of Worst Month | 01/1992 | 10/2008 | 07/2003 |
| Worst Drawdown | -15.00% | -50.95% | -5.15% |
| Date of Worst Drawdown | 12/91 - 4/92 | 10/07 - 2/09 | 1/94 - 6/94 |
Annual Performance |
Date Range: 01/90 - 04/13 | ||
|---|---|---|---|
| Year or YTD | Altegris 40 | SP500 TR | Barcl Ag |
| 2013 | 5.42 | 12.74 | 0.89 |
| 2012 | -4.75 | 15.98 | 4.23 |
| 2011 | -3.23 | 2.12 | 7.86 |
| 2010 | 11.33 | 15.06 | 6.56 |
| 2009 | -7.98 | 26.45 | 5.93 |
| 2008 | 15.47 | -37.00 | 5.24 |
| 2007 | 7.18 | 5.50 | 6.96 |
| 2006 | 6.70 | 15.79 | 4.33 |
| 2005 | 4.51 | 4.89 | 2.43 |
| 2004 | 2.57 | 10.87 | 4.34 |
| 2003 | 15.99 | 28.69 | 4.11 |
| 2002 | 15.22 | -22.11 | 10.27 |
| 2001 | 5.39 | -11.88 | 8.42 |
| 2000 | 10.63 | -9.09 | 11.63 |
| 1999 | 0.87 | 21.03 | -0.83 |
| 1998 | 12.61 | 28.57 | 8.67 |
| 1997 | 10.22 | 33.38 | 9.68 |
| 1996 | 16.04 | 22.96 | 3.61 |
| 1995 | 13.16 | 37.59 | 18.48 |
| 1994 | -5.46 | 1.32 | -2.92 |
| 1993 | 14.66 | 10.08 | 9.75 |
| 1992 | 0.89 | 7.64 | 7.40 |
| 1991 | 15.12 | 30.47 | 16.00 |
| 1990 | 37.15 | -3.12 | 8.95 |
| Note: Estimates appear in italics. See Notes to Performance below. | |||
Performance Comparison |
Date Range: 01/90 - 04/13 |
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PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PLEASE REFER TO "NOTES
TO PERFORMANCE" BELOW FOR ADDITIONAL INFORMATION.
Notes to Performance
SOURCES:
INDEX DESCRIPTIONS:
Altegris 40 Index: Altegris Investments, Inc.; Barclays Capital US Aggregate Bond Index: Barclays; S&P 500 Total Return Index: Standard & Poors Inc;
INDEX DESCRIPTIONS:
Barclays Capital US Aggregate Bond Index: The Barclays Capital U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. These specific indices include the Government/Credit Index, Government Index, Treasury Index, Agency Index, and Credit Index. S&P 500 Total Return Index: This index is the total return version of S&P 500 index. The S&P 500 index is unmanaged and is generally representative of certain portions of the U.S. equity markets. For the S&P 500 Total Return Index, dividends are reinvested on a daily basis and the base date for the index is January 4, 1988. All regular cash dividends are assumed reinvested in the S&P 500 index on the ex-date. Special cash dividends trigger a price adjustment in the price return index.
OTHER IMPORTANT INFORMATION ABOUT THE Altegris 40 INDEX
The Altegris 40 Index only includes CTAs tracked by Altegris Clearing Solutions. There may be other CTA programs not tracked by ACS that outperformed or under performed those CTAs included in the Altegris 40 that, if tracked, would affect the performance of the index. When reviewing the information, you should be aware that some of the programs:
1. Are only available to (a) non-US persons, (b) persons who meet the financial requirements for Qualified Eligible Persons as describe in CFTC Regulation 4.7;
2. Reflect proprietary trading results and may not accurately reflect the performance a client could expect because of differences in fees and costs, leverage and trading and may not have tested with customer funds;
3. Are closed to new investments.
The Altegris 40 does not include rates of return for any single fund or pool that is not incorporated into a composite track record.
A common problem for indexes of CTA performance is Survivorship Bias, where the removal of CTA programs that have ceased trading or ceased reporting will skew index returns to the upside. This is because it is reasonable to expect that most of the CTA programs no longer trading or reporting were unsuccessful. The CTA programs that remain are biased towards long-term success and are therefore likely to create an "unrealistic" representation of industry performance. To counter this, ITR has done extensive research to make sure that they have included every CTA program that qualified as one of the top 40 for each month during the life of the index, regardless of whether that CTA program eventually survived through to the current ranking. Another common problem is self-selection bias, where only CTAs that have good performance and want to build a business will actually publish their track records. There is also a tendency for the early years of a CTA program's track record to outperform the long-run ROR because the CTA is typically managing fewer assets at the outset. By including only the top 40 CTA programs ranked by assets under management, the Altegris 40 builds in a "natural selection" process. A CTA program is included only from the time that it actually qualifies as one of the top 40, not from the inception of its record.
The Altegris 40 Index only includes CTAs tracked by Altegris Clearing Solutions. There may be other CTA programs not tracked by ACS that outperformed or under performed those CTAs included in the Altegris 40 that, if tracked, would affect the performance of the index. When reviewing the information, you should be aware that some of the programs:
1. Are only available to (a) non-US persons, (b) persons who meet the financial requirements for Qualified Eligible Persons as describe in CFTC Regulation 4.7;
2. Reflect proprietary trading results and may not accurately reflect the performance a client could expect because of differences in fees and costs, leverage and trading and may not have tested with customer funds;
3. Are closed to new investments.
The Altegris 40 does not include rates of return for any single fund or pool that is not incorporated into a composite track record.
A common problem for indexes of CTA performance is Survivorship Bias, where the removal of CTA programs that have ceased trading or ceased reporting will skew index returns to the upside. This is because it is reasonable to expect that most of the CTA programs no longer trading or reporting were unsuccessful. The CTA programs that remain are biased towards long-term success and are therefore likely to create an "unrealistic" representation of industry performance. To counter this, ITR has done extensive research to make sure that they have included every CTA program that qualified as one of the top 40 for each month during the life of the index, regardless of whether that CTA program eventually survived through to the current ranking. Another common problem is self-selection bias, where only CTAs that have good performance and want to build a business will actually publish their track records. There is also a tendency for the early years of a CTA program's track record to outperform the long-run ROR because the CTA is typically managing fewer assets at the outset. By including only the top 40 CTA programs ranked by assets under management, the Altegris 40 builds in a "natural selection" process. A CTA program is included only from the time that it actually qualifies as one of the top 40, not from the inception of its record.