Altegris Clearing Solutions Quantitative Investment Management, LLC Global Program *QEP*
Monthly Performance (%)
Date Range: 09/03 - 09/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 3.17 1.06 0.99 -0.09 -0.05 0.18 0.13 -2.93 2.99 5.45
2016 2.59 6.16 -2.98 0.15 1.59 0.84 0.14 0.62 1.92 -1.26 2.51 3.55 16.69
2015 -0.18 2.27 -1.42 5.07 0.73 3.95 -1.46 3.17 4.60 0.23 4.07 -1.62 20.82
2014 0.99 0.43 -2.43 -4.90 -0.36 -0.13 -0.75 -1.39 2.61 -2.88 -0.09 -3.90 -12.30
2013 -2.51 -0.43 -2.61 -1.32 -0.05 -0.38 0.43 1.30 -1.15 0.04 2.21 4.24 -0.43
2012 -4.49 -1.41 1.20 5.77 7.17 1.29 -2.05 0.52 0.32 -1.81 -2.99 1.66 4.65
2011 0.33 1.29 -0.41 -2.33 -3.22 -0.90 1.14 0.30 4.55 3.01 4.36 -2.87 4.99
2010 -4.32 -0.45 -1.01 0.08 -1.28 0.45 -0.77 1.39 0.40 2.50 -1.90 1.97 -3.08
2009 5.99 -0.10 -2.29 4.29 3.43 -0.52 1.82 0.70 1.45 -2.38 2.18 -3.70 10.93
2008 -7.59 5.30 3.55 1.86 5.78 -1.53 -1.84 3.36 3.10 -2.54 2.31 0.90 12.51
2007 1.67 1.37 5.40 1.27 -3.80 1.18 2.03 7.56 1.04 4.27 3.40 1.19 29.53
2006 0.57 1.60 1.48 -2.15 5.02 -2.31 2.34 -0.02 -1.19 2.29 0.10 -1.16 6.51
2005 -0.40 -1.65 4.26 5.77 2.85 -1.97 0.55 1.40 0.86 0.56 2.04 3.05 18.43
2004 0.92 3.51 -8.93 -0.63 2.94 1.44 2.07 0.10 6.05 5.75 9.58 -1.69 21.85
2003 5.88 -2.64 3.35 6.54
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The Global Program pursues a fully systematic short-term trading strategy. The manager is quantitatively-focused and employs sophisticated, pattern-based time series prediction methods to capture short-term trading opportunities across global futures markets. These models are generally derived from cyclical analysis, statistical probabilities, momentum oscillators, and moving average of prices, among other methods. Due to its short-term focus, QIM provides a distinct return profile that exhibits a low level of correlation to both traditional market indices and longer-term managed futures strategies.

Performance Statistics
Date Range: 09/03 - 09/17
  Program SP500 TR Altegris 40
Total Return 265.92% 234.34% 48.74%
Annualized Return 9.71% 8.95% 2.86%
Annualized Std. Deviation 9.76% 13.38% 9.08%
Correlation 0.00 0.07
Sharpe Ratio (rf=2.5%) 0.74 0.48 0.04
Worst Month -8.93% -16.79% -6.22%
Date of Worst Month 03/2004 10/2008 04/2004
Worst Drawdown -16.63% -50.95% -15.74%
Date of Worst Drawdown 6/12 - 1/15 10/07 - 2/09 4/11 - 9/13
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 09/03 - 09/17
Year or YTD Program SP500 TR Altegris 40
2017 5.45 14.25 -4.00
2016 16.69 11.98 -3.13
2015 20.82 1.41 0.09
2014 -12.30 13.69 15.75
2013 -0.43 32.41 -2.45
2012 4.65 15.98 -4.75
2011 4.99 2.12 -3.23
2010 -3.08 15.06 11.33
2009 10.93 26.45 -7.98
2008 12.51 -36.99 15.47
2007 29.53 5.50 7.18
2006 6.51 15.79 6.70
2005 18.43 4.89 4.51
2004 21.85 10.87 2.57
2003 6.54 12.18 6.36
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 09/03 - 09/17
Date: 9/30/2017
Perf: $1,494.22 Date: 8/31/2017
Perf: $1,526.43 Date: 7/31/2017
Perf: $1,501.51 Date: 6/30/2017
Perf: $1,495.67 Date: 5/31/2017
Perf: $1,540.66 Date: 4/30/2017
Perf: $1,537.74 Date: 3/31/2017
Perf: $1,547.02 Date: 2/28/2017
Perf: $1,569.94 Date: 1/31/2017
Perf: $1,536.45 Date: 12/31/2016
Perf: $1,556.53 Date: 11/30/2016
Perf: $1,544.79 Date: 10/31/2016
Perf: $1,561.97 Date: 9/30/2016
Perf: $1,603.34 Date: 8/31/2016
Perf: $1,624.29 Date: 7/31/2016
Perf: $1,669.19 Date: 6/30/2016
Perf: $1,652.34 Date: 5/31/2016
Perf: $1,584.97 Date: 4/30/2016
Perf: $1,613.21 Date: 3/31/2016
Perf: $1,654.74 Date: 2/29/2016
Perf: $1,703.63 Date: 1/31/2016
Perf: $1,662.73 Date: 12/31/2015
Perf: $1,606.81 Date: 11/30/2015
Perf: $1,644.64 Date: 10/31/2015
Perf: $1,590.41 Date: 9/30/2015
Perf: $1,618.57 Date: 8/31/2015
Perf: $1,584.19 Date: 7/31/2015
Perf: $1,612.08 Date: 6/30/2015
Perf: $1,551.42 Date: 5/31/2015
Perf: $1,636.52 Date: 4/30/2015
Perf: $1,648.39 Date: 3/31/2015
Perf: $1,714.57 Date: 2/28/2015
Perf: $1,677.50 Date: 1/31/2015
Perf: $1,680.19 Date: 12/31/2014
Perf: $1,605.38 Date: 11/30/2014
Perf: $1,577.61 Date: 10/31/2014
Perf: $1,489.01 Date: 9/30/2014
Perf: $1,467.44 Date: 8/31/2014
Perf: $1,445.90 Date: 7/31/2014
Perf: $1,387.22 Date: 6/30/2014
Perf: $1,398.41 Date: 5/31/2014
Perf: $1,386.48 Date: 4/30/2014
Perf: $1,351.88 Date: 3/31/2014
Perf: $1,341.68 Date: 2/28/2014
Perf: $1,361.83 Date: 1/31/2014
Perf: $1,350.76 Date: 12/31/2013
Perf: $1,386.96 Date: 11/30/2013
Perf: $1,388.90 Date: 10/31/2013
Perf: $1,364.21 Date: 9/30/2013
Perf: $1,333.67 Date: 8/31/2013
Perf: $1,341.72 Date: 7/31/2013
Perf: $1,367.98 Date: 6/30/2013
Perf: $1,379.99 Date: 5/31/2013
Perf: $1,434.35 Date: 4/30/2013
Perf: $1,498.80 Date: 3/31/2013
Perf: $1,461.10 Date: 2/28/2013
Perf: $1,440.36 Date: 1/31/2013
Perf: $1,448.77 Date: 12/31/2012
Perf: $1,421.75 Date: 11/30/2012
Perf: $1,414.82 Date: 10/31/2012
Perf: $1,410.87 Date: 9/30/2012
Perf: $1,463.86 Date: 8/31/2012
Perf: $1,488.42 Date: 7/31/2012
Perf: $1,508.94 Date: 6/30/2012
Perf: $1,449.65 Date: 5/31/2012
Perf: $1,506.29 Date: 4/30/2012
Perf: $1,478.20 Date: 3/31/2012
Perf: $1,469.38 Date: 2/29/2012
Perf: $1,503.51 Date: 1/31/2012
Perf: $1,497.38 Date: 12/31/2011
Perf: $1,492.60 Date: 11/30/2011
Perf: $1,478.41 Date: 10/31/2011
Perf: $1,473.98 Date: 9/30/2011
Perf: $1,534.76 Date: 8/31/2011
Perf: $1,535.68 Date: 7/31/2011
Perf: $1,538.76 Date: 6/30/2011
Perf: $1,485.43 Date: 5/31/2011
Perf: $1,525.09 Date: 4/30/2011
Perf: $1,582.86 Date: 3/31/2011
Perf: $1,523.45 Date: 2/28/2011
Perf: $1,547.12 Date: 1/31/2011
Perf: $1,521.25 Date: 12/31/2010
Perf: $1,542.39 Date: 11/30/2010
Perf: $1,478.94 Date: 10/31/2010
Perf: $1,533.21 Date: 9/30/2010
Perf: $1,475.95 Date: 8/31/2010
Perf: $1,449.57 Date: 7/31/2010
Perf: $1,391.94 Date: 6/30/2010
Perf: $1,410.13 Date: 5/31/2010
Perf: $1,404.79 Date: 4/30/2010
Perf: $1,439.63 Date: 3/31/2010
Perf: $1,417.80 Date: 2/28/2010
Perf: $1,363.66 Date: 1/31/2010
Perf: $1,350.96 Date: 12/31/2009
Perf: $1,385.46 Date: 11/30/2009
Perf: $1,443.19 Date: 10/31/2009
Perf: $1,387.28 Date: 9/30/2009
Perf: $1,423.73 Date: 8/31/2009
Perf: $1,390.63 Date: 7/31/2009
Perf: $1,386.06 Date: 6/30/2009
Perf: $1,387.58 Date: 5/31/2009
Perf: $1,425.50 Date: 4/30/2009
Perf: $1,406.10 Date: 3/31/2009
Perf: $1,453.63 Date: 2/28/2009
Perf: $1,495.04 Date: 1/31/2009
Perf: $1,495.79 Date: 12/31/2008
Perf: $1,505.58 Date: 11/30/2008
Perf: $1,467.85 Date: 10/31/2008
Perf: $1,415.89 Date: 9/30/2008
Perf: $1,346.54 Date: 8/31/2008
Perf: $1,343.72 Date: 7/31/2008
Perf: $1,380.58 Date: 6/30/2008
Perf: $1,447.00 Date: 5/31/2008
Perf: $1,409.37 Date: 4/30/2008
Perf: $1,380.92 Date: 3/31/2008
Perf: $1,396.99 Date: 2/29/2008
Perf: $1,403.16 Date: 1/31/2008
Perf: $1,327.62 Date: 12/31/2007
Perf: $1,303.89 Date: 11/30/2007
Perf: $1,306.89 Date: 10/31/2007
Perf: $1,315.45 Date: 9/30/2007
Perf: $1,261.09 Date: 8/31/2007
Perf: $1,204.83 Date: 7/31/2007
Perf: $1,251.51 Date: 6/30/2007
Perf: $1,291.41 Date: 5/31/2007
Perf: $1,255.14 Date: 4/30/2007
Perf: $1,211.88 Date: 3/31/2007
Perf: $1,163.03 Date: 2/28/2007
Perf: $1,190.89 Date: 1/31/2007
Perf: $1,237.29 Date: 12/31/2006
Perf: $1,216.49 Date: 11/30/2006
Perf: $1,176.72 Date: 10/31/2006
Perf: $1,148.58 Date: 9/30/2006
Perf: $1,136.08 Date: 8/31/2006
Perf: $1,148.25 Date: 7/31/2006
Perf: $1,135.53 Date: 6/30/2006
Perf: $1,152.59 Date: 5/31/2006
Perf: $1,168.60 Date: 4/30/2006
Perf: $1,200.41 Date: 3/31/2006
Perf: $1,171.82 Date: 2/28/2006
Perf: $1,141.24 Date: 1/31/2006
Perf: $1,161.92 Date: 12/31/2005
Perf: $1,140.14 Date: 11/30/2005
Perf: $1,161.16 Date: 10/31/2005
Perf: $1,113.39 Date: 9/30/2005
Perf: $1,111.62 Date: 8/31/2005
Perf: $1,094.76 Date: 7/31/2005
Perf: $1,088.88 Date: 6/30/2005
Perf: $1,088.22 Date: 5/31/2005
Perf: $1,052.34 Date: 4/30/2005
Perf: $1,020.80 Date: 3/31/2005
Perf: $1,046.43 Date: 2/28/2005
Perf: $1,052.33 Date: 1/31/2005
Perf: $1,045.12 Date: 12/31/2004
Perf: $1,090.93 Date: 11/30/2004
Perf: $1,087.35 Date: 10/31/2004
Perf: $1,031.54 Date: 9/30/2004
Perf: $997.43 Date: 8/31/2004
Perf: $984.14 Date: 7/31/2004
Perf: $990.98 Date: 6/30/2004
Perf: $1,002.41 Date: 5/31/2004
Perf: $1,036.62 Date: 4/30/2004
Perf: $1,053.36 Date: 3/31/2004
Perf: $1,123.23 Date: 2/29/2004
Perf: $1,134.35 Date: 1/31/2004
Perf: $1,073.78 Date: 12/31/2003
Perf: $1,063.57 Date: 11/30/2003
Perf: $1,019.43 Date: 10/31/2003
Perf: $1,022.50 Date: 9/30/2003
Perf: $1,000.00 Date: 9/30/2017
Perf: $3,379.25 Date: 8/31/2017
Perf: $3,311.05 Date: 7/31/2017
Perf: $3,300.81 Date: 6/30/2017
Perf: $3,234.19 Date: 5/31/2017
Perf: $3,214.26 Date: 4/30/2017
Perf: $3,169.57 Date: 3/31/2017
Perf: $3,137.26 Date: 2/28/2017
Perf: $3,133.50 Date: 1/31/2017
Perf: $3,013.85 Date: 12/31/2016
Perf: $2,957.65 Date: 11/30/2016
Perf: $2,900.23 Date: 10/31/2016
Perf: $2,796.75 Date: 9/30/2016
Perf: $2,848.59 Date: 8/31/2016
Perf: $2,848.02 Date: 7/31/2016
Perf: $2,844.04 Date: 6/30/2016
Perf: $2,742.83 Date: 5/31/2016
Perf: $2,735.72 Date: 4/30/2016
Perf: $2,687.34 Date: 3/31/2016
Perf: $2,676.90 Date: 2/29/2016
Perf: $2,506.93 Date: 1/31/2016
Perf: $2,510.20 Date: 12/31/2015
Perf: $2,641.20 Date: 11/30/2015
Perf: $2,683.60 Date: 10/31/2015
Perf: $2,675.58 Date: 9/30/2015
Perf: $2,467.33 Date: 8/31/2015
Perf: $2,529.82 Date: 7/31/2015
Perf: $2,692.16 Date: 6/30/2015
Perf: $2,636.78 Date: 5/31/2015
Perf: $2,688.95 Date: 4/30/2015
Perf: $2,654.70 Date: 3/31/2015
Perf: $2,629.46 Date: 2/28/2015
Perf: $2,671.67 Date: 1/31/2015
Perf: $2,526.41 Date: 12/31/2014
Perf: $2,604.54 Date: 11/30/2014
Perf: $2,611.07 Date: 10/31/2014
Perf: $2,542.67 Date: 9/30/2014
Perf: $2,482.11 Date: 8/31/2014
Perf: $2,517.35 Date: 7/31/2014
Perf: $2,420.53 Date: 6/30/2014
Perf: $2,454.40 Date: 5/31/2014
Perf: $2,404.62 Date: 4/30/2014
Perf: $2,349.41 Date: 3/31/2014
Perf: $2,332.16 Date: 2/28/2014
Perf: $2,312.73 Date: 1/31/2014
Perf: $2,211.66 Date: 12/31/2013
Perf: $2,290.92 Date: 11/30/2013
Perf: $2,234.39 Date: 10/31/2013
Perf: $2,168.26 Date: 9/30/2013
Perf: $2,072.91 Date: 8/31/2013
Perf: $2,009.80 Date: 7/31/2013
Perf: $2,069.82 Date: 6/30/2013
Perf: $1,969.57 Date: 5/31/2013
Perf: $1,996.32 Date: 4/30/2013
Perf: $1,950.68 Date: 3/31/2013
Perf: $1,913.74 Date: 2/28/2013
Perf: $1,844.57 Date: 1/31/2013
Perf: $1,819.82 Date: 12/31/2012
Perf: $1,730.20 Date: 11/30/2012
Perf: $1,714.59 Date: 10/31/2012
Perf: $1,704.71 Date: 9/30/2012
Perf: $1,736.84 Date: 8/31/2012
Perf: $1,693.15 Date: 7/31/2012
Perf: $1,655.90 Date: 6/30/2012
Perf: $1,633.20 Date: 5/31/2012
Perf: $1,568.57 Date: 4/30/2012
Perf: $1,668.87 Date: 3/31/2012
Perf: $1,679.45 Date: 2/29/2012
Perf: $1,625.96 Date: 1/31/2012
Perf: $1,558.62 Date: 12/31/2011
Perf: $1,491.79 Date: 11/30/2011
Perf: $1,476.73 Date: 10/31/2011
Perf: $1,479.98 Date: 9/30/2011
Perf: $1,334.16 Date: 8/31/2011
Perf: $1,435.04 Date: 7/31/2011
Perf: $1,517.44 Date: 6/30/2011
Perf: $1,548.88 Date: 5/31/2011
Perf: $1,575.19 Date: 4/30/2011
Perf: $1,593.19 Date: 3/31/2011
Perf: $1,547.39 Date: 2/28/2011
Perf: $1,546.77 Date: 1/31/2011
Perf: $1,495.48 Date: 12/31/2010
Perf: $1,460.85 Date: 11/30/2010
Perf: $1,369.38 Date: 10/31/2010
Perf: $1,369.24 Date: 9/30/2010
Perf: $1,318.99 Date: 8/31/2010
Perf: $1,210.97 Date: 7/31/2010
Perf: $1,268.16 Date: 6/30/2010
Perf: $1,185.09 Date: 5/31/2010
Perf: $1,250.49 Date: 4/30/2010
Perf: $1,359.08 Date: 3/31/2010
Perf: $1,337.94 Date: 2/28/2010
Perf: $1,261.85 Date: 1/31/2010
Perf: $1,223.91 Date: 12/31/2009
Perf: $1,269.62 Date: 11/30/2009
Perf: $1,245.58 Date: 10/31/2009
Perf: $1,175.07 Date: 9/30/2009
Perf: $1,197.34 Date: 8/31/2009
Perf: $1,154.29 Date: 7/31/2009
Perf: $1,114.07 Date: 6/30/2009
Perf: $1,035.77 Date: 5/31/2009
Perf: $1,033.70 Date: 4/30/2009
Perf: $978.97 Date: 3/31/2009
Perf: $893.47 Date: 2/28/2009
Perf: $821.51 Date: 1/31/2009
Perf: $919.42 Date: 12/31/2008
Perf: $1,004.07 Date: 11/30/2008
Perf: $993.54 Date: 10/31/2008
Perf: $1,070.39 Date: 9/30/2008
Perf: $1,286.37 Date: 8/31/2008
Perf: $1,412.20 Date: 7/31/2008
Perf: $1,392.01 Date: 6/30/2008
Perf: $1,403.81 Date: 5/31/2008
Perf: $1,533.04 Date: 4/30/2008
Perf: $1,513.37 Date: 3/31/2008
Perf: $1,443.09 Date: 2/29/2008
Perf: $1,449.32 Date: 1/31/2008
Perf: $1,498.01 Date: 12/31/2007
Perf: $1,593.62 Date: 11/30/2007
Perf: $1,604.70 Date: 10/31/2007
Perf: $1,674.70 Date: 9/30/2007
Perf: $1,648.49 Date: 8/31/2007
Perf: $1,589.06 Date: 7/31/2007
Perf: $1,565.57 Date: 6/30/2007
Perf: $1,615.66 Date: 5/31/2007
Perf: $1,642.93 Date: 4/30/2007
Perf: $1,587.53 Date: 3/31/2007
Perf: $1,520.18 Date: 2/28/2007
Perf: $1,503.35 Date: 1/31/2007
Perf: $1,533.40 Date: 12/31/2006
Perf: $1,510.59 Date: 11/30/2006
Perf: $1,489.73 Date: 10/31/2006
Perf: $1,461.96 Date: 9/30/2006
Perf: $1,415.80 Date: 8/31/2006
Perf: $1,380.19 Date: 7/31/2006
Perf: $1,348.11 Date: 6/30/2006
Perf: $1,339.80 Date: 5/31/2006
Perf: $1,337.93 Date: 4/30/2006
Perf: $1,377.60 Date: 3/31/2006
Perf: $1,359.39 Date: 2/28/2006
Perf: $1,342.74 Date: 1/31/2006
Perf: $1,339.12 Date: 12/31/2005
Perf: $1,304.55 Date: 11/30/2005
Perf: $1,304.16 Date: 10/31/2005
Perf: $1,256.66 Date: 9/30/2005
Perf: $1,278.00 Date: 8/31/2005
Perf: $1,267.73 Date: 7/31/2005
Perf: $1,279.37 Date: 6/30/2005
Perf: $1,233.49 Date: 5/31/2005
Perf: $1,231.76 Date: 4/30/2005
Perf: $1,193.80 Date: 3/31/2005
Perf: $1,216.92 Date: 2/28/2005
Perf: $1,238.85 Date: 1/31/2005
Perf: $1,213.37 Date: 12/31/2004
Perf: $1,243.72 Date: 11/30/2004
Perf: $1,202.82 Date: 10/31/2004
Perf: $1,156.00 Date: 9/30/2004
Perf: $1,138.58 Date: 8/31/2004
Perf: $1,126.42 Date: 7/31/2004
Perf: $1,121.93 Date: 6/30/2004
Perf: $1,160.34 Date: 5/31/2004
Perf: $1,138.25 Date: 4/30/2004
Perf: $1,122.87 Date: 3/31/2004
Perf: $1,140.78 Date: 2/29/2004
Perf: $1,158.27 Date: 1/31/2004
Perf: $1,142.39 Date: 12/31/2003
Perf: $1,121.75 Date: 11/30/2003
Perf: $1,065.90 Date: 10/31/2003
Perf: $1,056.60 Date: 9/30/2003
Perf: $1,000.00 Date: 9/30/2017
Perf: $3,659.15 Date: 8/31/2017
Perf: $3,552.92 Date: 7/31/2017
Perf: $3,660.16 Date: 6/30/2017
Perf: $3,655.41 Date: 5/31/2017
Perf: $3,648.84 Date: 4/30/2017
Perf: $3,650.67 Date: 3/31/2017
Perf: $3,653.96 Date: 2/28/2017
Perf: $3,618.14 Date: 1/31/2017
Perf: $3,580.19 Date: 12/31/2016
Perf: $3,470.18 Date: 11/30/2016
Perf: $3,351.21 Date: 10/31/2016
Perf: $3,269.16 Date: 9/30/2016
Perf: $3,310.88 Date: 8/31/2016
Perf: $3,248.50 Date: 7/31/2016
Perf: $3,228.49 Date: 6/30/2016
Perf: $3,223.97 Date: 5/31/2016
Perf: $3,197.12 Date: 4/30/2016
Perf: $3,147.08 Date: 3/31/2016
Perf: $3,142.37 Date: 2/29/2016
Perf: $3,238.89 Date: 1/31/2016
Perf: $3,050.95 Date: 12/31/2015
Perf: $2,973.92 Date: 11/30/2015
Perf: $3,022.89 Date: 10/31/2015
Perf: $2,904.67 Date: 9/30/2015
Perf: $2,898.01 Date: 8/31/2015
Perf: $2,770.56 Date: 7/31/2015
Perf: $2,685.43 Date: 6/30/2015
Perf: $2,725.22 Date: 5/31/2015
Perf: $2,621.67 Date: 4/30/2015
Perf: $2,602.67 Date: 3/31/2015
Perf: $2,477.08 Date: 2/28/2015
Perf: $2,512.76 Date: 1/31/2015
Perf: $2,456.99 Date: 12/31/2014
Perf: $2,461.42 Date: 11/30/2014
Perf: $2,561.31 Date: 10/31/2014
Perf: $2,563.62 Date: 9/30/2014
Perf: $2,639.64 Date: 8/31/2014
Perf: $2,572.49 Date: 7/31/2014
Perf: $2,608.76 Date: 6/30/2014
Perf: $2,628.47 Date: 5/31/2014
Perf: $2,631.89 Date: 4/30/2014
Perf: $2,641.40 Date: 3/31/2014
Perf: $2,777.50 Date: 2/28/2014
Perf: $2,846.67 Date: 1/31/2014
Perf: $2,834.48 Date: 12/31/2013
Perf: $2,806.70 Date: 11/30/2013
Perf: $2,692.53 Date: 10/31/2013
Perf: $2,634.32 Date: 9/30/2013
Perf: $2,633.26 Date: 8/31/2013
Perf: $2,663.90 Date: 7/31/2013
Perf: $2,629.71 Date: 6/30/2013
Perf: $2,618.45 Date: 5/31/2013
Perf: $2,628.44 Date: 4/30/2013
Perf: $2,629.75 Date: 3/31/2013
Perf: $2,664.93 Date: 2/28/2013
Perf: $2,736.35 Date: 1/31/2013
Perf: $2,748.17 Date: 12/31/2012
Perf: $2,818.92 Date: 11/30/2012
Perf: $2,772.89 Date: 10/31/2012
Perf: $2,858.36 Date: 9/30/2012
Perf: $2,911.05 Date: 8/31/2012
Perf: $2,901.76 Date: 7/31/2012
Perf: $2,886.75 Date: 6/30/2012
Perf: $2,947.17 Date: 5/31/2012
Perf: $2,909.63 Date: 4/30/2012
Perf: $2,714.97 Date: 3/31/2012
Perf: $2,566.86 Date: 2/29/2012
Perf: $2,536.42 Date: 1/31/2012
Perf: $2,572.70 Date: 12/31/2011
Perf: $2,693.64 Date: 11/30/2011
Perf: $2,773.24 Date: 10/31/2011
Perf: $2,657.37 Date: 9/30/2011
Perf: $2,579.73 Date: 8/31/2011
Perf: $2,467.46 Date: 7/31/2011
Perf: $2,460.08 Date: 6/30/2011
Perf: $2,432.35 Date: 5/31/2011
Perf: $2,454.44 Date: 4/30/2011
Perf: $2,536.10 Date: 3/31/2011
Perf: $2,596.60 Date: 2/28/2011
Perf: $2,607.29 Date: 1/31/2011
Perf: $2,574.08 Date: 12/31/2010
Perf: $2,565.62 Date: 11/30/2010
Perf: $2,516.05 Date: 10/31/2010
Perf: $2,564.78 Date: 9/30/2010
Perf: $2,502.23 Date: 8/31/2010
Perf: $2,492.26 Date: 7/31/2010
Perf: $2,458.09 Date: 6/30/2010
Perf: $2,477.16 Date: 5/31/2010
Perf: $2,466.07 Date: 4/30/2010
Perf: $2,498.04 Date: 3/31/2010
Perf: $2,496.05 Date: 2/28/2010
Perf: $2,521.51 Date: 1/31/2010
Perf: $2,532.91 Date: 12/31/2009
Perf: $2,647.27 Date: 11/30/2009
Perf: $2,748.98 Date: 10/31/2009
Perf: $2,690.34 Date: 9/30/2009
Perf: $2,755.93 Date: 8/31/2009
Perf: $2,716.54 Date: 7/31/2009
Perf: $2,697.65 Date: 6/30/2009
Perf: $2,649.43 Date: 5/31/2009
Perf: $2,663.28 Date: 4/30/2009
Perf: $2,574.96 Date: 3/31/2009
Perf: $2,469.04 Date: 2/28/2009
Perf: $2,526.91 Date: 1/31/2009
Perf: $2,529.44 Date: 12/31/2008
Perf: $2,386.48 Date: 11/30/2008
Perf: $2,365.20 Date: 10/31/2008
Perf: $2,311.80 Date: 9/30/2008
Perf: $2,372.05 Date: 8/31/2008
Perf: $2,300.72 Date: 7/31/2008
Perf: $2,225.93 Date: 6/30/2008
Perf: $2,267.66 Date: 5/31/2008
Perf: $2,302.89 Date: 4/30/2008
Perf: $2,177.06 Date: 3/31/2008
Perf: $2,137.30 Date: 2/29/2008
Perf: $2,064.03 Date: 1/31/2008
Perf: $1,960.14 Date: 12/31/2007
Perf: $2,121.14 Date: 11/30/2007
Perf: $2,096.19 Date: 10/31/2007
Perf: $2,027.27 Date: 9/30/2007
Perf: $1,944.25 Date: 8/31/2007
Perf: $1,924.23 Date: 7/31/2007
Perf: $1,788.99 Date: 6/30/2007
Perf: $1,753.39 Date: 5/31/2007
Perf: $1,732.94 Date: 4/30/2007
Perf: $1,801.40 Date: 3/31/2007
Perf: $1,778.81 Date: 2/28/2007
Perf: $1,687.67 Date: 1/31/2007
Perf: $1,664.86 Date: 12/31/2006
Perf: $1,637.52 Date: 11/30/2006
Perf: $1,656.73 Date: 10/31/2006
Perf: $1,655.08 Date: 9/30/2006
Perf: $1,618.03 Date: 8/31/2006
Perf: $1,637.51 Date: 7/31/2006
Perf: $1,637.84 Date: 6/30/2006
Perf: $1,600.39 Date: 5/31/2006
Perf: $1,638.23 Date: 4/30/2006
Perf: $1,559.93 Date: 3/31/2006
Perf: $1,594.20 Date: 2/28/2006
Perf: $1,570.95 Date: 1/31/2006
Perf: $1,546.21 Date: 12/31/2005
Perf: $1,537.45 Date: 11/30/2005
Perf: $1,491.94 Date: 10/31/2005
Perf: $1,462.12 Date: 9/30/2005
Perf: $1,453.98 Date: 8/31/2005
Perf: $1,441.58 Date: 7/31/2005
Perf: $1,421.67 Date: 6/30/2005
Perf: $1,413.90 Date: 5/31/2005
Perf: $1,442.31 Date: 4/30/2005
Perf: $1,402.34 Date: 3/31/2005
Perf: $1,325.84 Date: 2/28/2005
Perf: $1,271.67 Date: 1/31/2005
Perf: $1,293.00 Date: 12/31/2004
Perf: $1,298.20 Date: 11/30/2004
Perf: $1,320.51 Date: 10/31/2004
Perf: $1,205.07 Date: 9/30/2004
Perf: $1,139.54 Date: 8/31/2004
Perf: $1,074.54 Date: 7/31/2004
Perf: $1,073.46 Date: 6/30/2004
Perf: $1,051.69 Date: 5/31/2004
Perf: $1,036.76 Date: 4/30/2004
Perf: $1,007.15 Date: 3/31/2004
Perf: $1,013.54 Date: 2/29/2004
Perf: $1,112.92 Date: 1/31/2004
Perf: $1,075.18 Date: 12/31/2003
Perf: $1,065.38 Date: 11/30/2003
Perf: $1,030.85 Date: 10/31/2003
Perf: $1,058.80 Date: 9/30/2003
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 09/03 - 09/17
Date: 9/30/2017
Return: 2.99 % Date: 8/31/2017
Return: -2.93 % Date: 7/31/2017
Return: 0.13 % Date: 6/30/2017
Return: 0.18 % Date: 5/31/2017
Return: -0.05 % Date: 4/30/2017
Return: -0.09 % Date: 3/31/2017
Return: 0.99 % Date: 2/28/2017
Return: 1.06 % Date: 1/31/2017
Return: 3.17 % Date: 12/31/2016
Return: 3.55 % Date: 11/30/2016
Return: 2.51 % Date: 10/31/2016
Return: -1.26 % Date: 9/30/2016
Return: 1.92 % Date: 8/31/2016
Return: 0.62 % Date: 7/31/2016
Return: 0.14 % Date: 6/30/2016
Return: 0.84 % Date: 5/31/2016
Return: 1.59 % Date: 4/30/2016
Return: 0.15 % Date: 3/31/2016
Return: -2.98 % Date: 2/29/2016
Return: 6.16 % Date: 1/31/2016
Return: 2.59 % Date: 12/31/2015
Return: -1.62 % Date: 11/30/2015
Return: 4.07 % Date: 10/31/2015
Return: 0.23 % Date: 9/30/2015
Return: 4.60 % Date: 8/31/2015
Return: 3.17 % Date: 7/31/2015
Return: -1.46 % Date: 6/30/2015
Return: 3.95 % Date: 5/31/2015
Return: 0.73 % Date: 4/30/2015
Return: 5.07 % Date: 3/31/2015
Return: -1.42 % Date: 2/28/2015
Return: 2.27 % Date: 1/31/2015
Return: -0.18 % Date: 12/31/2014
Return: -3.90 % Date: 11/30/2014
Return: -0.09 % Date: 10/31/2014
Return: -2.88 % Date: 9/30/2014
Return: 2.61 % Date: 8/31/2014
Return: -1.39 % Date: 7/31/2014
Return: -0.75 % Date: 6/30/2014
Return: -0.13 % Date: 5/31/2014
Return: -0.36 % Date: 4/30/2014
Return: -4.90 % Date: 3/31/2014
Return: -2.43 % Date: 2/28/2014
Return: 0.43 % Date: 1/31/2014
Return: 0.99 % Date: 12/31/2013
Return: 4.24 % Date: 11/30/2013
Return: 2.21 % Date: 10/31/2013
Return: 0.04 % Date: 9/30/2013
Return: -1.15 % Date: 8/31/2013
Return: 1.30 % Date: 7/31/2013
Return: 0.43 % Date: 6/30/2013
Return: -0.38 % Date: 5/31/2013
Return: -0.05 % Date: 4/30/2013
Return: -1.32 % Date: 3/31/2013
Return: -2.61 % Date: 2/28/2013
Return: -0.43 % Date: 1/31/2013
Return: -2.51 % Date: 12/31/2012
Return: 1.66 % Date: 11/30/2012
Return: -2.99 % Date: 10/31/2012
Return: -1.81 % Date: 9/30/2012
Return: 0.32 % Date: 8/31/2012
Return: 0.52 % Date: 7/31/2012
Return: -2.05 % Date: 6/30/2012
Return: 1.29 % Date: 5/31/2012
Return: 7.17 % Date: 4/30/2012
Return: 5.77 % Date: 3/31/2012
Return: 1.20 % Date: 2/29/2012
Return: -1.41 % Date: 1/31/2012
Return: -4.49 % Date: 12/31/2011
Return: -2.87 % Date: 11/30/2011
Return: 4.36 % Date: 10/31/2011
Return: 3.01 % Date: 9/30/2011
Return: 4.55 % Date: 8/31/2011
Return: 0.30 % Date: 7/31/2011
Return: 1.14 % Date: 6/30/2011
Return: -0.90 % Date: 5/31/2011
Return: -3.22 % Date: 4/30/2011
Return: -2.33 % Date: 3/31/2011
Return: -0.41 % Date: 2/28/2011
Return: 1.29 % Date: 1/31/2011
Return: 0.33 % Date: 12/31/2010
Return: 1.97 % Date: 11/30/2010
Return: -1.90 % Date: 10/31/2010
Return: 2.50 % Date: 9/30/2010
Return: 0.40 % Date: 8/31/2010
Return: 1.39 % Date: 7/31/2010
Return: -0.77 % Date: 6/30/2010
Return: 0.45 % Date: 5/31/2010
Return: -1.28 % Date: 4/30/2010
Return: 0.08 % Date: 3/31/2010
Return: -1.01 % Date: 2/28/2010
Return: -0.45 % Date: 1/31/2010
Return: -4.32 % Date: 12/31/2009
Return: -3.70 % Date: 11/30/2009
Return: 2.18 % Date: 10/31/2009
Return: -2.38 % Date: 9/30/2009
Return: 1.45 % Date: 8/31/2009
Return: 0.70 % Date: 7/31/2009
Return: 1.82 % Date: 6/30/2009
Return: -0.52 % Date: 5/31/2009
Return: 3.43 % Date: 4/30/2009
Return: 4.29 % Date: 3/31/2009
Return: -2.29 % Date: 2/28/2009
Return: -0.10 % Date: 1/31/2009
Return: 5.99 % Date: 12/31/2008
Return: 0.90 % Date: 11/30/2008
Return: 2.31 % Date: 10/31/2008
Return: -2.54 % Date: 9/30/2008
Return: 3.10 % Date: 8/31/2008
Return: 3.36 % Date: 7/31/2008
Return: -1.84 % Date: 6/30/2008
Return: -1.53 % Date: 5/31/2008
Return: 5.78 % Date: 4/30/2008
Return: 1.86 % Date: 3/31/2008
Return: 3.55 % Date: 2/29/2008
Return: 5.30 % Date: 1/31/2008
Return: -7.59 % Date: 12/31/2007
Return: 1.19 % Date: 11/30/2007
Return: 3.40 % Date: 10/31/2007
Return: 4.27 % Date: 9/30/2007
Return: 1.04 % Date: 8/31/2007
Return: 7.56 % Date: 7/31/2007
Return: 2.03 % Date: 6/30/2007
Return: 1.18 % Date: 5/31/2007
Return: -3.80 % Date: 4/30/2007
Return: 1.27 % Date: 3/31/2007
Return: 5.40 % Date: 2/28/2007
Return: 1.37 % Date: 1/31/2007
Return: 1.67 % Date: 12/31/2006
Return: -1.16 % Date: 11/30/2006
Return: 0.10 % Date: 10/31/2006
Return: 2.29 % Date: 9/30/2006
Return: -1.19 % Date: 8/31/2006
Return: -0.02 % Date: 7/31/2006
Return: 2.34 % Date: 6/30/2006
Return: -2.31 % Date: 5/31/2006
Return: 5.02 % Date: 4/30/2006
Return: -2.15 % Date: 3/31/2006
Return: 1.48 % Date: 2/28/2006
Return: 1.60 % Date: 1/31/2006
Return: 0.57 % Date: 12/31/2005
Return: 3.05 % Date: 11/30/2005
Return: 2.04 % Date: 10/31/2005
Return: 0.56 % Date: 9/30/2005
Return: 0.86 % Date: 8/31/2005
Return: 1.40 % Date: 7/31/2005
Return: 0.55 % Date: 6/30/2005
Return: -1.97 % Date: 5/31/2005
Return: 2.85 % Date: 4/30/2005
Return: 5.77 % Date: 3/31/2005
Return: 4.26 % Date: 2/28/2005
Return: -1.65 % Date: 1/31/2005
Return: -0.40 % Date: 12/31/2004
Return: -1.69 % Date: 11/30/2004
Return: 9.58 % Date: 10/31/2004
Return: 5.75 % Date: 9/30/2004
Return: 6.05 % Date: 8/31/2004
Return: 0.10 % Date: 7/31/2004
Return: 2.07 % Date: 6/30/2004
Return: 1.44 % Date: 5/31/2004
Return: 2.94 % Date: 4/30/2004
Return: -0.63 % Date: 3/31/2004
Return: -8.93 % Date: 2/29/2004
Return: 3.51 % Date: 1/31/2004
Return: 0.92 % Date: 12/31/2003
Return: 3.35 % Date: 11/30/2003
Return: -2.64 % Date: 10/31/2003
Return: 5.88 % Date: 9/30/2003
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 09/03 - 09/17
Return: -5.00 %
Count: 1 Return: 7.00 %
Count: 1 Return: -8.00 %
Count: 1 Return: 8.00 %
Count: 1 Return: -4.00 %
Count: 5 Return: 5.00 %
Count: 6 Return: -2.00 %
Count: 15 Return: 10.00 %
Count: 1 Return: 2.00 %
Count: 17 Return: -1.00 %
Count: 16 Return: -9.00 %
Count: 1 Return: 4.00 %
Count: 10 Return: 1.00 %
Count: 29 Return: 3.00 %
Count: 16 Return: -3.00 %
Count: 10 Return: 6.00 %
Count: 8 Return: 0.00 %
Count: 31
Note: All performance data is since program inception.

Underwater Curve
Date Range: 09/03 - 09/17
Date: 9/30/2017
Drawdown: -0.03 % Date: 8/31/2017
Drawdown: -2.93 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: 0.00 % Date: 5/31/2017
Drawdown: -0.14 % Date: 4/30/2017
Drawdown: -0.09 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: 0.00 % Date: 1/31/2017
Drawdown: 0.00 % Date: 12/31/2016
Drawdown: 0.00 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: -1.26 % Date: 9/30/2016
Drawdown: 0.00 % Date: 8/31/2016
Drawdown: 0.00 % Date: 7/31/2016
Drawdown: -0.32 % Date: 6/30/2016
Drawdown: -0.46 % Date: 5/31/2016
Drawdown: -1.29 % Date: 4/30/2016
Drawdown: -2.83 % Date: 3/31/2016
Drawdown: -2.98 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: 0.00 % Date: 12/31/2015
Drawdown: -1.62 % Date: 11/30/2015
Drawdown: 0.00 % Date: 10/31/2015
Drawdown: -1.44 % Date: 9/30/2015
Drawdown: -1.67 % Date: 8/31/2015
Drawdown: -5.99 % Date: 7/31/2015
Drawdown: -8.88 % Date: 6/30/2015
Drawdown: -7.53 % Date: 5/31/2015
Drawdown: -11.04 % Date: 4/30/2015
Drawdown: -11.69 % Date: 3/31/2015
Drawdown: -15.95 % Date: 2/28/2015
Drawdown: -14.74 % Date: 1/31/2015
Drawdown: -16.63 % Date: 12/31/2014
Drawdown: -16.48 % Date: 11/30/2014
Drawdown: -13.09 % Date: 10/31/2014
Drawdown: -13.01 % Date: 9/30/2014
Drawdown: -10.43 % Date: 8/31/2014
Drawdown: -12.71 % Date: 7/31/2014
Drawdown: -11.48 % Date: 6/30/2014
Drawdown: -10.81 % Date: 5/31/2014
Drawdown: -10.70 % Date: 4/30/2014
Drawdown: -10.37 % Date: 3/31/2014
Drawdown: -5.76 % Date: 2/28/2014
Drawdown: -3.41 % Date: 1/31/2014
Drawdown: -3.82 % Date: 12/31/2013
Drawdown: -4.77 % Date: 11/30/2013
Drawdown: -8.64 % Date: 10/31/2013
Drawdown: -10.62 % Date: 9/30/2013
Drawdown: -10.65 % Date: 8/31/2013
Drawdown: -9.61 % Date: 7/31/2013
Drawdown: -10.77 % Date: 6/30/2013
Drawdown: -11.15 % Date: 5/31/2013
Drawdown: -10.81 % Date: 4/30/2013
Drawdown: -10.77 % Date: 3/31/2013
Drawdown: -9.58 % Date: 2/28/2013
Drawdown: -7.15 % Date: 1/31/2013
Drawdown: -6.75 % Date: 12/31/2012
Drawdown: -4.35 % Date: 11/30/2012
Drawdown: -5.91 % Date: 10/31/2012
Drawdown: -3.01 % Date: 9/30/2012
Drawdown: -1.23 % Date: 8/31/2012
Drawdown: -1.54 % Date: 7/31/2012
Drawdown: -2.05 % Date: 6/30/2012
Drawdown: 0.00 % Date: 5/31/2012
Drawdown: 0.00 % Date: 4/30/2012
Drawdown: -2.10 % Date: 3/31/2012
Drawdown: -7.44 % Date: 2/29/2012
Drawdown: -8.54 % Date: 1/31/2012
Drawdown: -7.23 % Date: 12/31/2011
Drawdown: -2.87 % Date: 11/30/2011
Drawdown: 0.00 % Date: 10/31/2011
Drawdown: -3.58 % Date: 9/30/2011
Drawdown: -6.39 % Date: 8/31/2011
Drawdown: -10.47 % Date: 7/31/2011
Drawdown: -10.74 % Date: 6/30/2011
Drawdown: -11.74 % Date: 5/31/2011
Drawdown: -10.94 % Date: 4/30/2011
Drawdown: -7.98 % Date: 3/31/2011
Drawdown: -5.78 % Date: 2/28/2011
Drawdown: -5.39 % Date: 1/31/2011
Drawdown: -6.60 % Date: 12/31/2010
Drawdown: -6.91 % Date: 11/30/2010
Drawdown: -8.70 % Date: 10/31/2010
Drawdown: -6.94 % Date: 9/30/2010
Drawdown: -9.21 % Date: 8/31/2010
Drawdown: -9.57 % Date: 7/31/2010
Drawdown: -10.81 % Date: 6/30/2010
Drawdown: -10.12 % Date: 5/31/2010
Drawdown: -10.52 % Date: 4/30/2010
Drawdown: -9.36 % Date: 3/31/2010
Drawdown: -9.43 % Date: 2/28/2010
Drawdown: -8.51 % Date: 1/31/2010
Drawdown: -8.09 % Date: 12/31/2009
Drawdown: -3.94 % Date: 11/30/2009
Drawdown: -0.25 % Date: 10/31/2009
Drawdown: -2.38 % Date: 9/30/2009
Drawdown: 0.00 % Date: 8/31/2009
Drawdown: 0.00 % Date: 7/31/2009
Drawdown: 0.00 % Date: 6/30/2009
Drawdown: -0.52 % Date: 5/31/2009
Drawdown: 0.00 % Date: 4/30/2009
Drawdown: 0.00 % Date: 3/31/2009
Drawdown: -2.39 % Date: 2/28/2009
Drawdown: -0.10 % Date: 1/31/2009
Drawdown: 0.00 % Date: 12/31/2008
Drawdown: 0.00 % Date: 11/30/2008
Drawdown: -0.29 % Date: 10/31/2008
Drawdown: -2.54 % Date: 9/30/2008
Drawdown: 0.00 % Date: 8/31/2008
Drawdown: -0.09 % Date: 7/31/2008
Drawdown: -3.34 % Date: 6/30/2008
Drawdown: -1.53 % Date: 5/31/2008
Drawdown: 0.00 % Date: 4/30/2008
Drawdown: 0.00 % Date: 3/31/2008
Drawdown: 0.00 % Date: 2/29/2008
Drawdown: -2.69 % Date: 1/31/2008
Drawdown: -7.59 % Date: 12/31/2007
Drawdown: 0.00 % Date: 11/30/2007
Drawdown: 0.00 % Date: 10/31/2007
Drawdown: 0.00 % Date: 9/30/2007
Drawdown: 0.00 % Date: 8/31/2007
Drawdown: 0.00 % Date: 7/31/2007
Drawdown: -0.69 % Date: 6/30/2007
Drawdown: -2.66 % Date: 5/31/2007
Drawdown: -3.80 % Date: 4/30/2007
Drawdown: 0.00 % Date: 3/31/2007
Drawdown: 0.00 % Date: 2/28/2007
Drawdown: 0.00 % Date: 1/31/2007
Drawdown: 0.00 % Date: 12/31/2006
Drawdown: -1.16 % Date: 11/30/2006
Drawdown: 0.00 % Date: 10/31/2006
Drawdown: 0.00 % Date: 9/30/2006
Drawdown: -1.23 % Date: 8/31/2006
Drawdown: -0.04 % Date: 7/31/2006
Drawdown: -0.02 % Date: 6/30/2006
Drawdown: -2.31 % Date: 5/31/2006
Drawdown: 0.00 % Date: 4/30/2006
Drawdown: -2.15 % Date: 3/31/2006
Drawdown: 0.00 % Date: 2/28/2006
Drawdown: 0.00 % Date: 1/31/2006
Drawdown: 0.00 % Date: 12/31/2005
Drawdown: 0.00 % Date: 11/30/2005
Drawdown: 0.00 % Date: 10/31/2005
Drawdown: 0.00 % Date: 9/30/2005
Drawdown: 0.00 % Date: 8/31/2005
Drawdown: -0.05 % Date: 7/31/2005
Drawdown: -1.43 % Date: 6/30/2005
Drawdown: -1.97 % Date: 5/31/2005
Drawdown: 0.00 % Date: 4/30/2005
Drawdown: 0.00 % Date: 3/31/2005
Drawdown: 0.00 % Date: 2/28/2005
Drawdown: -3.70 % Date: 1/31/2005
Drawdown: -2.08 % Date: 12/31/2004
Drawdown: -1.69 % Date: 11/30/2004
Drawdown: 0.00 % Date: 10/31/2004
Drawdown: 0.00 % Date: 9/30/2004
Drawdown: 0.00 % Date: 8/31/2004
Drawdown: -3.45 % Date: 7/31/2004
Drawdown: -3.55 % Date: 6/30/2004
Drawdown: -5.50 % Date: 5/31/2004
Drawdown: -6.84 % Date: 4/30/2004
Drawdown: -9.50 % Date: 3/31/2004
Drawdown: -8.93 % Date: 2/29/2004
Drawdown: 0.00 % Date: 1/31/2004
Drawdown: 0.00 % Date: 12/31/2003
Drawdown: 0.00 % Date: 11/30/2003
Drawdown: -2.64 % Date: 10/31/2003
Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

The Monthly Performance table represents performance results shown net of all fees and expenses. The performance information shown is a composite of the accounts traded under this program and does not reflect the performance of any single account. The results shown are net of all fees and expenses. Performance results of individual accounts may vary as a result of differing fees, account size, the timing of the entry of orders and other factors. The performance results are not necessarily indicative of the results that may be achieved in the future. Past performance is not necessarily indicative of future results. No representation is being made that any account in the future will or is likely to achieve profits or losses similar to those shown.

Manager Information
Manager Name:  Quantitative Investment Management, LLC
Address: 401 East Market St. Suite 104
City: Charlottesville
State: VA
Zip: 22902
Country: USA
Key People
Name:  Jaffray Woodriff
Position:  Chief Executive Officer
Biography: 

Jaffray has over 20 years’ experience trading financial markets using proprietary quantitative models that he has developed. In 2003, Jaffray co-founded QIM to offer the Global Program to outside clients. He guides all aspects of QIM’s business and is chiefly responsible for the constant innovation and improvement of the models and techniques that underlie QIM’s predictions, trading, and risk management. Jaffray served as head trader for Blue Ridge Trading from October 1991 to July 1994. He then founded Woodriff Trading as a CTA and managed client money there until October 1997. In January 1998, he joined Société Générale in its New York office, where he served for two years as a director in the Treasury department, trading proprietary funds in futures, currencies and U.S. equities. Following his departure from Société Générale in March 2000, Jaffray and Michael began managing their own money in a short-term, market-neutral equities program. This led them to co-found a broker-dealer, DHR. In October 2002, Jaffray also co-founded Biomind, a bioinformatics consulting and software firm. Jaffray graduated from the University of Virginia in 1991 with a B.S. in Commerce.


Name:  Michael Geismar
Position:  Principal
Biography: 

Michael co-founded QIM with Jaffray Woodriff in 2003. As the President of QIM, Michael oversees the implementation of the firm’s investment models and its portfolio management. Michael also manages investor relations and QIM’s general business affairs. Michael and Jaffray first worked together from January until July 1994, when Michael was an assistant trader at Blue Ridge Trading. Michael then worked as an actuary and benefits consultant for Towers Perrin from September 1994 until August 1996, Coopers & Lybrand from August 1996 until October 1997, and William M. Mercer from October 1997 until October 1998, when he joined Capital One Financial as an analyst. In February 2000, he re-joined Jaffray, assisting in the development of an equities investment program that led the two to co-found DHR. Michael graduated from the University of Virginia in 1994 with a B.A. in Mathematics and a minor in Statistics.


Name:  Greyson Williams
Position:  Principal
Biography: 

Greyson co-founded QIM after joining Jaffray and Michael as a consultant to DHR in December 2002. Greyson guides the firm’s broad technical strategies and implementations. He shares with Michael in managing QIM’s general business and organizational development. Greyson spent the previous 13 years specializing in the collection, management, analysis, and application of financial information and market data. He worked as an analyst in the Bank Mergers & Acquisitions Department at SNL Securities from August 1997 until July 2000, serving as director of banking mergers & acquisitions research from May 1999 until his departure. In December 2000, he co-founded VW Capital, a firm created to map complex merger terms into programmatic models for interfacing with real-time market data. In October 2002, he founded Jobe Analytics & Consulting, a financial information management consulting firm. Greyson graduated from the University of Virginia in 1995 with a B.A. in English and a minor in Art History. Greyson earned the Chartered Financial Analyst (CFA) designation in 2008.


Additional Information

The Program Performance information presented in this and other areas of the www.managedfutures.com website was prepared by Altegris Clearing Solutions, LLC, an affiliate within the Altegris Group of Companies, based upon information provided by each respective manager of commodity futures and foreign currency trading programs tracked by Altegris Clearing Solutions and its affiliates. The Program Performance information does not contain opinion or analysis of Altegris Clearing Solutions or any of its affiliates, and the completeness and accuracy of performance information reported to Altegris Clearing Solutions cannot in all cases be independently verified. See “Additional Information” at the end of this page for further details regarding the presentation of performance. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.