Altegris Clearing Solutions Diamond Capital Management LLC Diamond Enhanced S&P Program *PROP*
Monthly Performance (%)
Date Range: 06/09 - 04/13
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2013 4.17 0.87 1.42 2.02 8.72
2012 2.81 4.87 3.78 1.03 -0.47 4.09 0.48 1.19 2.08 2.07 1.35 -0.33 25.33
2011 1.53 2.91 2.91 2.28 0.40 -2.45 -2.38 -3.60 3.54 6.08 -1.97 -0.12 9.01
2010 0.38 0.44 7.77 0.66 -7.32 -3.45 5.96 0.05 1.69 3.33 1.15 3.97 14.65
2009 6.68 5.51 5.67 0.50 2.47 2.06 25.01
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The Enhanced S&P Program (ESP) consists of two basic trading components. The Trend-Following system utilizes a computerized technical trend-following strategy seeking to profit from sustained futures price trends. The Premium Capture system writes out-of-the-money covered and/or uncovered options to increase potential profits. Each month puts and calls will be written with the intent to capture the premiums either by purchasing the options back at a lower price or letting them expire. The Volatility Index (VIX) will be used to determine the number of options to sell and at what strike prices. Strict risk controls will be in place to limit the downside risks and achieve a desirable risk/reward ratio.
Performance Statistics
Date Range: 06/09 - 04/13
  Program SP500 TR Altegris 40
Total Return 112.89% 88.71% 5.14%
Annualized Return 21.79% 17.60% 1.29%
Annualized Std. Deviation 9.97% 14.22% 8.65%
Correlation 0.74 0.11
Sharpe Ratio (rf=2.5%) 1.93 1.06 -0.14
Worst Month -7.32% -7.99% -4.00%
Date of Worst Month 05/2010 05/2010 12/2009
Worst Drawdown -10.52% -16.26% -10.87%
Date of Worst Drawdown 4/10 - 6/10 4/11 - 9/11 4/11 - 10/12
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 06/09 - 04/13
Year or YTD Program SP500 TR Altegris 40
2013 8.72 12.74 5.42
2012 25.33 15.98 -4.75
2011 9.01 2.12 -3.23
2010 14.65 15.06 11.33
2009 25.01 22.58 -0.15
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 06/09 - 04/13
Date: 4/30/2013 Perf: $1,080.15 Date: 3/31/2013 Perf: $1,052.99 Date: 2/28/2013 Perf: $1,038.04 Date: 1/31/2013 Perf: $1,044.09 Date: 12/31/2012 Perf: $1,024.63 Date: 11/30/2012 Perf: $1,019.63 Date: 10/31/2012 Perf: $1,016.78 Date: 9/30/2012 Perf: $1,054.97 Date: 8/31/2012 Perf: $1,072.67 Date: 7/31/2012 Perf: $1,087.46 Date: 6/30/2012 Perf: $1,044.73 Date: 5/31/2012 Perf: $1,085.55 Date: 4/30/2012 Perf: $1,065.31 Date: 3/31/2012 Perf: $1,058.95 Date: 2/29/2012 Perf: $1,083.55 Date: 1/31/2012 Perf: $1,079.13 Date: 12/31/2011 Perf: $1,075.68 Date: 11/30/2011 Perf: $1,065.46 Date: 10/31/2011 Perf: $1,062.27 Date: 9/30/2011 Perf: $1,106.07 Date: 8/31/2011 Perf: $1,106.73 Date: 7/31/2011 Perf: $1,108.95 Date: 6/30/2011 Perf: $1,070.52 Date: 5/31/2011 Perf: $1,099.10 Date: 4/30/2011 Perf: $1,140.73 Date: 3/31/2011 Perf: $1,097.91 Date: 2/28/2011 Perf: $1,114.97 Date: 1/31/2011 Perf: $1,096.34 Date: 12/31/2010 Perf: $1,111.56 Date: 11/30/2010 Perf: $1,065.84 Date: 10/31/2010 Perf: $1,104.95 Date: 9/30/2010 Perf: $1,063.68 Date: 8/31/2010 Perf: $1,044.67 Date: 7/31/2010 Perf: $1,003.14 Date: 6/30/2010 Perf: $1,016.25 Date: 5/31/2010 Perf: $1,012.40 Date: 4/30/2010 Perf: $1,037.51 Date: 3/31/2010 Perf: $1,021.78 Date: 2/28/2010 Perf: $982.76 Date: 1/31/2010 Perf: $973.61 Date: 12/31/2009 Perf: $998.47 Date: 11/30/2009 Perf: $1,040.07 Date: 10/31/2009 Perf: $999.78 Date: 9/30/2009 Perf: $1,026.05 Date: 8/31/2009 Perf: $1,002.20 Date: 7/31/2009 Perf: $998.90 Date: 6/30/2009 Perf: $1,000.00 Date: 4/30/2013 Perf: $1,883.32 Date: 3/31/2013 Perf: $1,847.66 Date: 2/28/2013 Perf: $1,780.87 Date: 1/31/2013 Perf: $1,756.98 Date: 12/31/2012 Perf: $1,670.45 Date: 11/30/2012 Perf: $1,655.39 Date: 10/31/2012 Perf: $1,645.84 Date: 9/30/2012 Perf: $1,676.86 Date: 8/31/2012 Perf: $1,634.69 Date: 7/31/2012 Perf: $1,598.72 Date: 6/30/2012 Perf: $1,576.80 Date: 5/31/2012 Perf: $1,514.41 Date: 4/30/2012 Perf: $1,611.24 Date: 3/31/2012 Perf: $1,621.46 Date: 2/29/2012 Perf: $1,569.81 Date: 1/31/2012 Perf: $1,504.80 Date: 12/31/2011 Perf: $1,440.28 Date: 11/30/2011 Perf: $1,425.73 Date: 10/31/2011 Perf: $1,428.88 Date: 9/30/2011 Perf: $1,288.09 Date: 8/31/2011 Perf: $1,385.49 Date: 7/31/2011 Perf: $1,465.04 Date: 6/30/2011 Perf: $1,495.40 Date: 5/31/2011 Perf: $1,520.80 Date: 4/30/2011 Perf: $1,538.18 Date: 3/31/2011 Perf: $1,493.96 Date: 2/28/2011 Perf: $1,493.36 Date: 1/31/2011 Perf: $1,443.84 Date: 12/31/2010 Perf: $1,410.41 Date: 11/30/2010 Perf: $1,322.09 Date: 10/31/2010 Perf: $1,321.96 Date: 9/30/2010 Perf: $1,273.44 Date: 8/31/2010 Perf: $1,169.15 Date: 7/31/2010 Perf: $1,224.37 Date: 6/30/2010 Perf: $1,144.17 Date: 5/31/2010 Perf: $1,207.31 Date: 4/30/2010 Perf: $1,312.15 Date: 3/31/2010 Perf: $1,291.74 Date: 2/28/2010 Perf: $1,218.28 Date: 1/31/2010 Perf: $1,181.65 Date: 12/31/2009 Perf: $1,225.78 Date: 11/30/2009 Perf: $1,202.57 Date: 10/31/2009 Perf: $1,134.50 Date: 9/30/2009 Perf: $1,156.00 Date: 8/31/2009 Perf: $1,114.43 Date: 7/31/2009 Perf: $1,075.60 Date: 6/30/2009 Perf: $1,000.00 Date: 4/30/2013 Perf: $2,128.92 Date: 3/31/2013 Perf: $2,086.77 Date: 2/28/2013 Perf: $2,057.55 Date: 1/31/2013 Perf: $2,039.80 Date: 12/31/2012 Perf: $1,958.15 Date: 11/30/2012 Perf: $1,964.63 Date: 10/31/2012 Perf: $1,938.46 Date: 9/30/2012 Perf: $1,899.15 Date: 8/31/2012 Perf: $1,860.45 Date: 7/31/2012 Perf: $1,838.57 Date: 6/30/2012 Perf: $1,829.79 Date: 5/31/2012 Perf: $1,757.89 Date: 4/30/2012 Perf: $1,766.19 Date: 3/31/2012 Perf: $1,748.19 Date: 2/29/2012 Perf: $1,684.51 Date: 1/31/2012 Perf: $1,606.29 Date: 12/31/2011 Perf: $1,562.38 Date: 11/30/2011 Perf: $1,564.26 Date: 10/31/2011 Perf: $1,595.70 Date: 9/30/2011 Perf: $1,504.24 Date: 8/31/2011 Perf: $1,452.81 Date: 7/31/2011 Perf: $1,507.06 Date: 6/30/2011 Perf: $1,543.81 Date: 5/31/2011 Perf: $1,582.58 Date: 4/30/2011 Perf: $1,576.27 Date: 3/31/2011 Perf: $1,541.14 Date: 2/28/2011 Perf: $1,497.56 Date: 1/31/2011 Perf: $1,455.21 Date: 12/31/2010 Perf: $1,433.28 Date: 11/30/2010 Perf: $1,378.55 Date: 10/31/2010 Perf: $1,362.88 Date: 9/30/2010 Perf: $1,318.96 Date: 8/31/2010 Perf: $1,297.04 Date: 7/31/2010 Perf: $1,296.39 Date: 6/30/2010 Perf: $1,223.47 Date: 5/31/2010 Perf: $1,267.19 Date: 4/30/2010 Perf: $1,367.27 Date: 3/31/2010 Perf: $1,358.31 Date: 2/28/2010 Perf: $1,260.38 Date: 1/31/2010 Perf: $1,254.86 Date: 12/31/2009 Perf: $1,250.11 Date: 11/30/2009 Perf: $1,224.87 Date: 10/31/2009 Perf: $1,195.35 Date: 9/30/2009 Perf: $1,189.40 Date: 8/31/2009 Perf: $1,125.58 Date: 7/31/2009 Perf: $1,066.80 Date: 6/30/2009 Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 06/09 - 04/13
Date: 4/30/2013 Return: 2.02 % Date: 3/31/2013 Return: 1.42 % Date: 2/28/2013 Return: 0.87 % Date: 1/31/2013 Return: 4.17 % Date: 12/31/2012 Return: -0.33 % Date: 11/30/2012 Return: 1.35 % Date: 10/31/2012 Return: 2.07 % Date: 9/30/2012 Return: 2.08 % Date: 8/31/2012 Return: 1.19 % Date: 7/31/2012 Return: 0.48 % Date: 6/30/2012 Return: 4.09 % Date: 5/31/2012 Return: -0.47 % Date: 4/30/2012 Return: 1.03 % Date: 3/31/2012 Return: 3.78 % Date: 2/29/2012 Return: 4.87 % Date: 1/31/2012 Return: 2.81 % Date: 12/31/2011 Return: -0.12 % Date: 11/30/2011 Return: -1.97 % Date: 10/31/2011 Return: 6.08 % Date: 9/30/2011 Return: 3.54 % Date: 8/31/2011 Return: -3.60 % Date: 7/31/2011 Return: -2.38 % Date: 6/30/2011 Return: -2.45 % Date: 5/31/2011 Return: 0.40 % Date: 4/30/2011 Return: 2.28 % Date: 3/31/2011 Return: 2.91 % Date: 2/28/2011 Return: 2.91 % Date: 1/31/2011 Return: 1.53 % Date: 12/31/2010 Return: 3.97 % Date: 11/30/2010 Return: 1.15 % Date: 10/31/2010 Return: 3.33 % Date: 9/30/2010 Return: 1.69 % Date: 8/31/2010 Return: 0.05 % Date: 7/31/2010 Return: 5.96 % Date: 6/30/2010 Return: -3.45 % Date: 5/31/2010 Return: -7.32 % Date: 4/30/2010 Return: 0.66 % Date: 3/31/2010 Return: 7.77 % Date: 2/28/2010 Return: 0.44 % Date: 1/31/2010 Return: 0.38 % Date: 12/31/2009 Return: 2.06 % Date: 11/30/2009 Return: 2.47 % Date: 10/31/2009 Return: 0.50 % Date: 9/30/2009 Return: 5.67 % Date: 8/31/2009 Return: 5.51 % Date: 7/31/2009 Return: 6.68 % Date: 6/30/2009 Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 06/09 - 04/13
Return: 5.00 % Count: 1 Return: -4.00 % Count: 1 Return: -2.00 % Count: 3 Return: 4.00 % Count: 5 Return: 3.00 % Count: 4 Return: -3.00 % Count: 1 Return: -7.00 % Count: 1 Return: 1.00 % Count: 7 Return: 8.00 % Count: 1 Return: 2.00 % Count: 8 Return: 6.00 % Count: 4 Return: 7.00 % Count: 1 Return: 0.00 % Count: 10
Note: All performance data is since program inception.

Underwater Curve
Date Range: 06/09 - 04/13
Date: 4/30/2013 Drawdown: 0.00 % Date: 3/31/2013 Drawdown: 0.00 % Date: 2/28/2013 Drawdown: 0.00 % Date: 1/31/2013 Drawdown: 0.00 % Date: 12/31/2012 Drawdown: -0.33 % Date: 11/30/2012 Drawdown: 0.00 % Date: 10/31/2012 Drawdown: 0.00 % Date: 9/30/2012 Drawdown: 0.00 % Date: 8/31/2012 Drawdown: 0.00 % Date: 7/31/2012 Drawdown: 0.00 % Date: 6/30/2012 Drawdown: 0.00 % Date: 5/31/2012 Drawdown: -0.47 % Date: 4/30/2012 Drawdown: 0.00 % Date: 3/31/2012 Drawdown: 0.00 % Date: 2/29/2012 Drawdown: 0.00 % Date: 1/31/2012 Drawdown: 0.00 % Date: 12/31/2011 Drawdown: -2.09 % Date: 11/30/2011 Drawdown: -1.97 % Date: 10/31/2011 Drawdown: 0.00 % Date: 9/30/2011 Drawdown: -4.95 % Date: 8/31/2011 Drawdown: -8.20 % Date: 7/31/2011 Drawdown: -4.77 % Date: 6/30/2011 Drawdown: -2.45 % Date: 5/31/2011 Drawdown: 0.00 % Date: 4/30/2011 Drawdown: 0.00 % Date: 3/31/2011 Drawdown: 0.00 % Date: 2/28/2011 Drawdown: 0.00 % Date: 1/31/2011 Drawdown: 0.00 % Date: 12/31/2010 Drawdown: 0.00 % Date: 11/30/2010 Drawdown: 0.00 % Date: 10/31/2010 Drawdown: -0.32 % Date: 9/30/2010 Drawdown: -3.53 % Date: 8/31/2010 Drawdown: -5.14 % Date: 7/31/2010 Drawdown: -5.18 % Date: 6/30/2010 Drawdown: -10.52 % Date: 5/31/2010 Drawdown: -7.32 % Date: 4/30/2010 Drawdown: 0.00 % 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: 0.00 % 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: 0.00 % Date: 7/31/2009 Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Diamond Capital Management LLC
Address: W252N4915 Aberdeen Drive
City: Pewaukee
State: WI
Zip: 53072
Country: USA
Key People
Name:  M. Kelly Farrell
Position:  Principal
Biography: 

M. Kelly Farrell has over 19 years of investment experience. In 1987, she began her career with Prudential Bache Securities in Milwaukee, Wisconsin as a sales assistant. Ms. Farrell joined the Institutional Custody Department at Firstar Bank, N.A. in 1989, where she assumed a management position in 1992, supervising Institutional Custody Service Representatives who had the responsibilities of interfacing with over 200 Registered Investment Advisors. Ms. Farrell became the Trading Desk Manager and General Securities Principal for Firstar Investment Services in May of 1997, where she supervised Registered Representatives on both the fixed income institutional sales and trading desk, as well as the retail brokerage-trading desk. Ms. Farrell assumed the lead trading position as the Fixed Income Product Manager for Firstar Bank’s Fixed Income Department in February of 1998 and moved directly into institutional sales in January of 1999 where she remained until January 2001. During this time, from January of 2000 through December of 2000 Ms. Farrell also acted as a General Securities Principal for Quasar Distributors LLC (division of Firstar), in a consultative capacity, and to provide managerial and principal back up. In connection with her registration as a Registered Representative and General Securities Principal, Ms. Farrell passed the Series 7, Series 24 and Series 63 licensing examinations. In July 2001 Ms. Farrell passed the Series 3 and was registered as a NFA Associated Member. Ms. Farrell became registered as an Associated Person (“AP”) and became listed as a principal of the Lochlan Capital Management on August 10, 2001. In addition, Ms. Farrell became registered as AP and principal of R&S Investment Services L.L.C., a registered CPO, and Inlet Asset Management Inc, also a registered CPO, in August of 2001. Ms. Farrell remained a NFA Associated Member until January 2002 at which time she withdrew to form Diamond Capital Management. Ms. Farrell became registered as an Associated Person (“AP”) and became listed as a principal of Diamond Capital Management on November 12, 2002. Ms. Farrell has utilized the trading strategies described in this document for her own account since October 2001.

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.