Altegris Clearing Solutions Rotella Capital Management Inc. Rotella TEXO Program *QEP*
Monthly Performance (%)
Date Range: 05/07 - 04/13
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2013 -3.80 -0.41 0.08 -0.07 -4.18
2012 2.50 -2.24 1.22 0.10 -0.35 -0.54 2.90 -1.72 -0.93 -2.97 -1.02 1.49 -1.73
2011 1.49 1.07 0.52 -0.31 0.60 -1.39 1.23 -5.89 3.35 0.59 -0.71 1.98 2.26
2010 2.27 1.41 0.06 -2.01 -0.57 -0.86 -0.36 -0.58 -0.14 0.27 -0.95 1.26 -0.28
2009 1.13 0.43 0.73 1.30 1.25 -0.29 3.54 -0.33 3.97 2.27 2.34 -0.26 17.19
2008 -4.89 1.80 1.31 0.14 0.47 0.64 0.94 0.07 2.64 -4.62 -1.65 -2.28 -5.61
2007 2.41 -0.60 7.33 3.53 2.26 0.29 0.59 16.69
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The Rotella TEXO Program identifies statistically significant pairs within defined market sectors and attempts to profit from the convergence / divergence of those pairs from their historical relationship. The TEXO portfolio invests in three asset classes and over 25 futures markets across North America, Europe, and Asia Pacific. A systematic investment process is coupled with discretionary leverage management to produce consistent returns with disciplined risk management, even in extreme market conditions such as those witnessed in 2008. TEXO was developed by an independent research group, Rotella Emerging Strategies, and is managed by Veeru Perianan. Investment is available via managed account and through the AlphaMetrix managed account platform.
Performance Statistics
Date Range: 05/07 - 04/13
  Program SP500 TR Altegris 40
Total Return 23.94% 22.86% 23.68%
Annualized Return 3.69% 3.49% 3.61%
Annualized Std. Deviation 7.20% 17.71% 9.27%
Correlation 0.24 -0.01
Sharpe Ratio (rf=2.5%) 0.17 0.06 0.12
Worst Month -5.89% -16.80% -4.59%
Date of Worst Month 08/2011 10/2008 07/2008
Worst Drawdown -9.08% -50.95% -10.87%
Date of Worst Drawdown 7/12 - 4/13 10/07 - 2/09 4/11 - 10/12
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 05/07 - 04/13
Year or YTD Program SP500 TR Altegris 40
2013 -4.18 12.74 5.42
2012 -1.73 15.98 -4.75
2011 2.26 2.12 -3.23
2010 -0.28 15.06 11.33
2009 17.19 26.45 -7.98
2008 -5.61 -37.00 15.47
2007 16.69 -3.00 3.88
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 05/07 - 04/13
Date: 4/30/2013 Perf: $1,194.13 Date: 3/31/2013 Perf: $1,164.10 Date: 2/28/2013 Perf: $1,147.57 Date: 1/31/2013 Perf: $1,154.27 Date: 12/31/2012 Perf: $1,132.74 Date: 11/30/2012 Perf: $1,127.22 Date: 10/31/2012 Perf: $1,124.07 Date: 9/30/2012 Perf: $1,166.29 Date: 8/31/2012 Perf: $1,185.86 Date: 7/31/2012 Perf: $1,202.21 Date: 6/30/2012 Perf: $1,154.97 Date: 5/31/2012 Perf: $1,200.10 Date: 4/30/2012 Perf: $1,177.72 Date: 3/31/2012 Perf: $1,170.69 Date: 2/29/2012 Perf: $1,197.89 Date: 1/31/2012 Perf: $1,193.00 Date: 12/31/2011 Perf: $1,189.19 Date: 11/30/2011 Perf: $1,177.88 Date: 10/31/2011 Perf: $1,174.36 Date: 9/30/2011 Perf: $1,222.78 Date: 8/31/2011 Perf: $1,223.52 Date: 7/31/2011 Perf: $1,225.97 Date: 6/30/2011 Perf: $1,183.48 Date: 5/31/2011 Perf: $1,215.07 Date: 4/30/2011 Perf: $1,261.10 Date: 3/31/2011 Perf: $1,213.77 Date: 2/28/2011 Perf: $1,232.63 Date: 1/31/2011 Perf: $1,212.02 Date: 12/31/2010 Perf: $1,228.86 Date: 11/30/2010 Perf: $1,178.31 Date: 10/31/2010 Perf: $1,221.55 Date: 9/30/2010 Perf: $1,175.92 Date: 8/31/2010 Perf: $1,154.90 Date: 7/31/2010 Perf: $1,108.99 Date: 6/30/2010 Perf: $1,123.49 Date: 5/31/2010 Perf: $1,119.23 Date: 4/30/2010 Perf: $1,146.99 Date: 3/31/2010 Perf: $1,129.59 Date: 2/28/2010 Perf: $1,086.46 Date: 1/31/2010 Perf: $1,076.34 Date: 12/31/2009 Perf: $1,103.83 Date: 11/30/2009 Perf: $1,149.82 Date: 10/31/2009 Perf: $1,105.28 Date: 9/30/2009 Perf: $1,134.32 Date: 8/31/2009 Perf: $1,107.95 Date: 7/31/2009 Perf: $1,104.30 Date: 6/30/2009 Perf: $1,105.52 Date: 5/31/2009 Perf: $1,135.73 Date: 4/30/2009 Perf: $1,120.27 Date: 3/31/2009 Perf: $1,158.14 Date: 2/28/2009 Perf: $1,191.14 Date: 1/31/2009 Perf: $1,191.73 Date: 12/31/2008 Perf: $1,199.53 Date: 11/30/2008 Perf: $1,169.47 Date: 10/31/2008 Perf: $1,128.07 Date: 9/30/2008 Perf: $1,072.82 Date: 8/31/2008 Perf: $1,070.57 Date: 7/31/2008 Perf: $1,099.94 Date: 6/30/2008 Perf: $1,152.86 Date: 5/31/2008 Perf: $1,122.88 Date: 4/30/2008 Perf: $1,100.21 Date: 3/31/2008 Perf: $1,113.01 Date: 2/29/2008 Perf: $1,117.93 Date: 1/31/2008 Perf: $1,057.75 Date: 12/31/2007 Perf: $1,038.84 Date: 11/30/2007 Perf: $1,041.24 Date: 10/31/2007 Perf: $1,048.05 Date: 9/30/2007 Perf: $1,004.74 Date: 8/31/2007 Perf: $959.91 Date: 7/31/2007 Perf: $997.11 Date: 6/30/2007 Perf: $1,028.90 Date: 5/31/2007 Perf: $1,000.00 Date: 4/30/2013 Perf: $1,187.17 Date: 3/31/2013 Perf: $1,164.69 Date: 2/28/2013 Perf: $1,122.60 Date: 1/31/2013 Perf: $1,107.53 Date: 12/31/2012 Perf: $1,052.99 Date: 11/30/2012 Perf: $1,043.49 Date: 10/31/2012 Perf: $1,037.48 Date: 9/30/2012 Perf: $1,057.03 Date: 8/31/2012 Perf: $1,030.45 Date: 7/31/2012 Perf: $1,007.77 Date: 6/30/2012 Perf: $993.95 Date: 5/31/2012 Perf: $954.62 Date: 4/30/2012 Perf: $1,015.67 Date: 3/31/2012 Perf: $1,022.10 Date: 2/29/2012 Perf: $989.55 Date: 1/31/2012 Perf: $948.57 Date: 12/31/2011 Perf: $907.90 Date: 11/30/2011 Perf: $898.73 Date: 10/31/2011 Perf: $900.71 Date: 9/30/2011 Perf: $811.96 Date: 8/31/2011 Perf: $873.36 Date: 7/31/2011 Perf: $923.51 Date: 6/30/2011 Perf: $942.64 Date: 5/31/2011 Perf: $958.65 Date: 4/30/2011 Perf: $969.61 Date: 3/31/2011 Perf: $941.73 Date: 2/28/2011 Perf: $941.36 Date: 1/31/2011 Perf: $910.14 Date: 12/31/2010 Perf: $889.07 Date: 11/30/2010 Perf: $833.40 Date: 10/31/2010 Perf: $833.31 Date: 9/30/2010 Perf: $802.73 Date: 8/31/2010 Perf: $736.99 Date: 7/31/2010 Perf: $771.80 Date: 6/30/2010 Perf: $721.24 Date: 5/31/2010 Perf: $761.04 Date: 4/30/2010 Perf: $827.13 Date: 3/31/2010 Perf: $814.26 Date: 2/28/2010 Perf: $767.96 Date: 1/31/2010 Perf: $744.87 Date: 12/31/2009 Perf: $772.68 Date: 11/30/2009 Perf: $758.05 Date: 10/31/2009 Perf: $715.14 Date: 9/30/2009 Perf: $728.70 Date: 8/31/2009 Perf: $702.49 Date: 7/31/2009 Perf: $678.02 Date: 6/30/2009 Perf: $630.36 Date: 5/31/2009 Perf: $629.10 Date: 4/30/2009 Perf: $595.80 Date: 3/31/2009 Perf: $543.76 Date: 2/28/2009 Perf: $499.96 Date: 1/31/2009 Perf: $559.56 Date: 12/31/2008 Perf: $611.07 Date: 11/30/2008 Perf: $604.66 Date: 10/31/2008 Perf: $651.43 Date: 9/30/2008 Perf: $782.97 Date: 8/31/2008 Perf: $859.56 Date: 7/31/2008 Perf: $847.27 Date: 6/30/2008 Perf: $854.45 Date: 5/31/2008 Perf: $933.11 Date: 4/30/2008 Perf: $921.14 Date: 3/31/2008 Perf: $878.36 Date: 2/29/2008 Perf: $882.16 Date: 1/31/2008 Perf: $911.79 Date: 12/31/2007 Perf: $969.99 Date: 11/30/2007 Perf: $976.73 Date: 10/31/2007 Perf: $1,019.34 Date: 9/30/2007 Perf: $1,003.38 Date: 8/31/2007 Perf: $967.21 Date: 7/31/2007 Perf: $952.91 Date: 6/30/2007 Perf: $983.40 Date: 5/31/2007 Perf: $1,000.00 Date: 4/30/2013 Perf: $1,239.39 Date: 3/31/2013 Perf: $1,240.26 Date: 2/28/2013 Perf: $1,239.27 Date: 1/31/2013 Perf: $1,244.37 Date: 12/31/2012 Perf: $1,293.52 Date: 11/30/2012 Perf: $1,274.53 Date: 10/31/2012 Perf: $1,287.66 Date: 9/30/2012 Perf: $1,327.08 Date: 8/31/2012 Perf: $1,339.54 Date: 7/31/2012 Perf: $1,362.98 Date: 6/30/2012 Perf: $1,324.57 Date: 5/31/2012 Perf: $1,331.76 Date: 4/30/2012 Perf: $1,336.44 Date: 3/31/2012 Perf: $1,335.10 Date: 2/29/2012 Perf: $1,319.01 Date: 1/31/2012 Perf: $1,349.23 Date: 12/31/2011 Perf: $1,316.32 Date: 11/30/2011 Perf: $1,290.77 Date: 10/31/2011 Perf: $1,300.00 Date: 9/30/2011 Perf: $1,292.37 Date: 8/31/2011 Perf: $1,250.48 Date: 7/31/2011 Perf: $1,328.74 Date: 6/30/2011 Perf: $1,312.60 Date: 5/31/2011 Perf: $1,331.10 Date: 4/30/2011 Perf: $1,323.16 Date: 3/31/2011 Perf: $1,327.28 Date: 2/28/2011 Perf: $1,320.41 Date: 1/31/2011 Perf: $1,306.43 Date: 12/31/2010 Perf: $1,287.25 Date: 11/30/2010 Perf: $1,271.23 Date: 10/31/2010 Perf: $1,283.43 Date: 9/30/2010 Perf: $1,279.97 Date: 8/31/2010 Perf: $1,281.77 Date: 7/31/2010 Perf: $1,289.24 Date: 6/30/2010 Perf: $1,293.90 Date: 5/31/2010 Perf: $1,305.13 Date: 4/30/2010 Perf: $1,312.61 Date: 3/31/2010 Perf: $1,339.53 Date: 2/28/2010 Perf: $1,338.73 Date: 1/31/2010 Perf: $1,320.11 Date: 12/31/2009 Perf: $1,290.81 Date: 11/30/2009 Perf: $1,294.18 Date: 10/31/2009 Perf: $1,264.59 Date: 9/30/2009 Perf: $1,236.52 Date: 8/31/2009 Perf: $1,189.30 Date: 7/31/2009 Perf: $1,193.24 Date: 6/30/2009 Perf: $1,152.44 Date: 5/31/2009 Perf: $1,155.80 Date: 4/30/2009 Perf: $1,141.53 Date: 3/31/2009 Perf: $1,126.88 Date: 2/28/2009 Perf: $1,118.71 Date: 1/31/2009 Perf: $1,113.92 Date: 12/31/2008 Perf: $1,101.47 Date: 11/30/2008 Perf: $1,127.17 Date: 10/31/2008 Perf: $1,146.08 Date: 9/30/2008 Perf: $1,201.60 Date: 8/31/2008 Perf: $1,170.69 Date: 7/31/2008 Perf: $1,169.87 Date: 6/30/2008 Perf: $1,158.98 Date: 5/31/2008 Perf: $1,151.61 Date: 4/30/2008 Perf: $1,146.22 Date: 3/31/2008 Perf: $1,144.62 Date: 2/29/2008 Perf: $1,129.82 Date: 1/31/2008 Perf: $1,109.84 Date: 12/31/2007 Perf: $1,166.90 Date: 11/30/2007 Perf: $1,160.06 Date: 10/31/2007 Perf: $1,156.70 Date: 9/30/2007 Perf: $1,131.14 Date: 8/31/2007 Perf: $1,092.57 Date: 7/31/2007 Perf: $1,017.96 Date: 6/30/2007 Perf: $1,024.10 Date: 5/31/2007 Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 05/07 - 04/13
Date: 4/30/2013 Return: -0.07 % Date: 3/31/2013 Return: 0.08 % Date: 2/28/2013 Return: -0.41 % Date: 1/31/2013 Return: -3.80 % Date: 12/31/2012 Return: 1.49 % Date: 11/30/2012 Return: -1.02 % Date: 10/31/2012 Return: -2.97 % Date: 9/30/2012 Return: -0.93 % Date: 8/31/2012 Return: -1.72 % Date: 7/31/2012 Return: 2.90 % Date: 6/30/2012 Return: -0.54 % Date: 5/31/2012 Return: -0.35 % Date: 4/30/2012 Return: 0.10 % Date: 3/31/2012 Return: 1.22 % Date: 2/29/2012 Return: -2.24 % Date: 1/31/2012 Return: 2.50 % Date: 12/31/2011 Return: 1.98 % Date: 11/30/2011 Return: -0.71 % Date: 10/31/2011 Return: 0.59 % Date: 9/30/2011 Return: 3.35 % Date: 8/31/2011 Return: -5.89 % Date: 7/31/2011 Return: 1.23 % Date: 6/30/2011 Return: -1.39 % Date: 5/31/2011 Return: 0.60 % Date: 4/30/2011 Return: -0.31 % Date: 3/31/2011 Return: 0.52 % Date: 2/28/2011 Return: 1.07 % Date: 1/31/2011 Return: 1.49 % Date: 12/31/2010 Return: 1.26 % Date: 11/30/2010 Return: -0.95 % Date: 10/31/2010 Return: 0.27 % Date: 9/30/2010 Return: -0.14 % Date: 8/31/2010 Return: -0.58 % Date: 7/31/2010 Return: -0.36 % Date: 6/30/2010 Return: -0.86 % Date: 5/31/2010 Return: -0.57 % Date: 4/30/2010 Return: -2.01 % Date: 3/31/2010 Return: 0.06 % Date: 2/28/2010 Return: 1.41 % Date: 1/31/2010 Return: 2.27 % Date: 12/31/2009 Return: -0.26 % Date: 11/30/2009 Return: 2.34 % Date: 10/31/2009 Return: 2.27 % Date: 9/30/2009 Return: 3.97 % Date: 8/31/2009 Return: -0.33 % Date: 7/31/2009 Return: 3.54 % Date: 6/30/2009 Return: -0.29 % Date: 5/31/2009 Return: 1.25 % Date: 4/30/2009 Return: 1.30 % Date: 3/31/2009 Return: 0.73 % Date: 2/28/2009 Return: 0.43 % Date: 1/31/2009 Return: 1.13 % Date: 12/31/2008 Return: -2.28 % Date: 11/30/2008 Return: -1.65 % Date: 10/31/2008 Return: -4.62 % Date: 9/30/2008 Return: 2.64 % Date: 8/31/2008 Return: 0.07 % Date: 7/31/2008 Return: 0.94 % Date: 6/30/2008 Return: 0.64 % Date: 5/31/2008 Return: 0.47 % Date: 4/30/2008 Return: 0.14 % Date: 3/31/2008 Return: 1.31 % Date: 2/29/2008 Return: 1.80 % Date: 1/31/2008 Return: -4.89 % Date: 12/31/2007 Return: 0.59 % Date: 11/30/2007 Return: 0.29 % Date: 10/31/2007 Return: 2.26 % Date: 9/30/2007 Return: 3.53 % Date: 8/31/2007 Return: 7.33 % Date: 7/31/2007 Return: -0.60 % Date: 6/30/2007 Return: 2.41 % Date: 5/31/2007 Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 05/07 - 04/13
Return: -4.00 % Count: 1 Return: -3.00 % Count: 1 Return: -6.00 % Count: 1 Return: -2.00 % Count: 5 Return: 3.00 % Count: 4 Return: -5.00 % Count: 2 Return: 1.00 % Count: 18 Return: 4.00 % Count: 3 Return: 7.00 % Count: 1 Return: -1.00 % Count: 10 Return: 2.00 % Count: 7 Return: 0.00 % Count: 19
Note: All performance data is since program inception.

Underwater Curve
Date Range: 05/07 - 04/13
Date: 4/30/2013 Drawdown: -9.07 % Date: 3/31/2013 Drawdown: -9.00 % Date: 2/28/2013 Drawdown: -9.08 % Date: 1/31/2013 Drawdown: -8.70 % Date: 12/31/2012 Drawdown: -5.10 % Date: 11/30/2012 Drawdown: -6.49 % Date: 10/31/2012 Drawdown: -5.53 % Date: 9/30/2012 Drawdown: -2.63 % Date: 8/31/2012 Drawdown: -1.72 % Date: 7/31/2012 Drawdown: 0.00 % Date: 6/30/2012 Drawdown: -1.83 % Date: 5/31/2012 Drawdown: -1.30 % Date: 4/30/2012 Drawdown: -0.95 % Date: 3/31/2012 Drawdown: -1.05 % Date: 2/29/2012 Drawdown: -2.24 % Date: 1/31/2012 Drawdown: 0.00 % Date: 12/31/2011 Drawdown: -1.73 % Date: 11/30/2011 Drawdown: -3.64 % Date: 10/31/2011 Drawdown: -2.95 % Date: 9/30/2011 Drawdown: -3.52 % Date: 8/31/2011 Drawdown: -6.65 % Date: 7/31/2011 Drawdown: -0.81 % Date: 6/30/2011 Drawdown: -2.01 % Date: 5/31/2011 Drawdown: -0.63 % Date: 4/30/2011 Drawdown: -1.22 % Date: 3/31/2011 Drawdown: -0.91 % Date: 2/28/2011 Drawdown: -1.43 % Date: 1/31/2011 Drawdown: -2.47 % Date: 12/31/2010 Drawdown: -3.90 % Date: 11/30/2010 Drawdown: -5.10 % Date: 10/31/2010 Drawdown: -4.19 % Date: 9/30/2010 Drawdown: -4.45 % Date: 8/31/2010 Drawdown: -4.31 % Date: 7/31/2010 Drawdown: -3.75 % Date: 6/30/2010 Drawdown: -3.41 % Date: 5/31/2010 Drawdown: -2.57 % Date: 4/30/2010 Drawdown: -2.01 % Date: 3/31/2010 Drawdown: 0.00 % Date: 2/28/2010 Drawdown: 0.00 % Date: 1/31/2010 Drawdown: 0.00 % Date: 12/31/2009 Drawdown: -0.26 % Date: 11/30/2009 Drawdown: 0.00 % Date: 10/31/2009 Drawdown: 0.00 % Date: 9/30/2009 Drawdown: 0.00 % Date: 8/31/2009 Drawdown: -1.02 % Date: 7/31/2009 Drawdown: -0.70 % Date: 6/30/2009 Drawdown: -4.09 % Date: 5/31/2009 Drawdown: -3.81 % Date: 4/30/2009 Drawdown: -5.00 % Date: 3/31/2009 Drawdown: -6.22 % Date: 2/28/2009 Drawdown: -6.90 % Date: 1/31/2009 Drawdown: -7.30 % Date: 12/31/2008 Drawdown: -8.33 % Date: 11/30/2008 Drawdown: -6.19 % Date: 10/31/2008 Drawdown: -4.62 % Date: 9/30/2008 Drawdown: 0.00 % Date: 8/31/2008 Drawdown: 0.00 % Date: 7/31/2008 Drawdown: 0.00 % Date: 6/30/2008 Drawdown: -0.68 % Date: 5/31/2008 Drawdown: -1.31 % Date: 4/30/2008 Drawdown: -1.77 % Date: 3/31/2008 Drawdown: -1.91 % Date: 2/29/2008 Drawdown: -3.18 % Date: 1/31/2008 Drawdown: -4.89 % 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: -0.60 % Date: 6/30/2007 Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Rotella Capital Management Inc.
Address: 800 Bellevue Way NE, Suite 200
City: Bellevue
State: WA
Zip: 98004
Country: USA
Key People
Name:  Robert P. Rotella
Position:  Principal
Biography: 

Robert Rotella established Rotella Capital Management, Inc. in 1995 to formalize the management of the Rotella Polaris Program, which was launched via an allocation from Commodities Corporation in 1991. Mr. Rotella has since evolved the firm into an institutional class business trading a diversified suite of managed futures investment strategies. In addition to his role as Fund Manager of the Polaris and Orion programs, Mr. Rotella currently leads the research efforts of the firm, and as CEO is responsible for providing the strategic direction to the Board of Directors and staff. Mr. Rotella graduated from Rensselaer Polytechnic Institute with a Bachelor of Science Degree in Chemical Engineering and received a Masters of Business Administration Degree at Temple University.

Name:  Veeru Perianan
Position:  Portfolio Manager
Biography: 

Veeru Perianan is the Portfolio manager for the Rotella TEXO Program. Prior to joining Rotella Capital in 2003, Veeru worked in finance for over 7 years focused on the areas of structured finance, equity trading and portfolio management. During his early years at Rotella he worked in a variety of research areas spanning risk management, portfolio construction and system analysis. His interest in pairs trading led him to spearhead the relative value research efforts at Rotella, an area where he has concentrated his efforts since 2005. The Rotella TEXO (Global RV) Program began trading proprietary capital under the direction of Mr. Perianan in June 2007 and was launched to the public in September 2009. Education: BA Economics; Master’s Degree Financial Markets / Financial Engineering; MBA.

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.