Altegris Clearing Solutions Stein Investment Management, LLC Trading Edge Select *QEP*
Monthly Performance (%)
Date Range: 10/09 - 05/13
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2013 1.57 -10.58 0.07 -4.32 6.09 -7.74
2012 6.81 6.52 -3.32 -0.67 -10.90 -13.68 -7.80 9.31 -7.94 1.98 8.46 -4.70 -17.82
2011 0.81 3.27 3.59 -8.31 8.06 1.54 3.52 -12.79 15.49 5.79 0.82 6.04 27.94
2010 6.44 0.57 -5.46 2.71 -9.70 10.78 -0.95 -3.26 0.86 5.67 1.18 1.33 8.87
2009 0.44 3.61 4.07
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

TRADING EDGE SELECT is a 70% systematic, 30% discretionary program, which invests exclusively in S&P 500 index futures. The program can be as profitable in a rising stock market as in a falling market because it assumes both long and short positions. The program incorporates about two dozen rigorously designed and tested independent mechanical trading systems, all of which are proprietary. The decision to take a certain position in the market is based on a bias indicated by these independent systems. The trades are taken only if their possible outcomes meet the strict requirements of the proprietary risk control system. Due to its complex and unique design, the returns of the program are uncorrelated with both market indices and with other alternative investments.
Performance Statistics
Date Range: 10/09 - 05/13
  Program SP500 TR Altegris 40
Total Return 9.91% 66.73% 0.75%
Annualized Return 2.67% 14.96% 0.20%
Annualized Std. Deviation 22.87% 14.23% 9.04%
Correlation 0.04 -0.13
Sharpe Ratio (rf=2.5%) 0.01 0.88 -0.25
Worst Month -13.68% -7.99% -4.30%
Date of Worst Month 06/2012 05/2010 05/2013
Worst Drawdown -37.18% -16.26% -10.87%
Date of Worst Drawdown 2/12 - 4/13 4/11 - 9/11 4/11 - 10/12
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 10/09 - 05/13
Year or YTD Program SP500 TR Altegris 40
2013 -7.74 15.38 0.89
2012 -17.82 15.98 -4.75
2011 27.94 2.12 -3.23
2010 8.87 15.06 11.33
2009 4.07 8.05 -0.13
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 10/09 - 05/13
Date: 5/31/2013 Perf: $1,033.93 Date: 4/30/2013 Perf: $1,080.39 Date: 3/31/2013 Perf: $1,053.22 Date: 2/28/2013 Perf: $1,038.26 Date: 1/31/2013 Perf: $1,044.32 Date: 12/31/2012 Perf: $1,024.85 Date: 11/30/2012 Perf: $1,019.85 Date: 10/31/2012 Perf: $1,017.00 Date: 9/30/2012 Perf: $1,055.20 Date: 8/31/2012 Perf: $1,072.91 Date: 7/31/2012 Perf: $1,087.70 Date: 6/30/2012 Perf: $1,044.96 Date: 5/31/2012 Perf: $1,085.79 Date: 4/30/2012 Perf: $1,065.54 Date: 3/31/2012 Perf: $1,059.19 Date: 2/29/2012 Perf: $1,083.79 Date: 1/31/2012 Perf: $1,079.36 Date: 12/31/2011 Perf: $1,075.92 Date: 11/30/2011 Perf: $1,065.69 Date: 10/31/2011 Perf: $1,062.50 Date: 9/30/2011 Perf: $1,106.31 Date: 8/31/2011 Perf: $1,106.97 Date: 7/31/2011 Perf: $1,109.19 Date: 6/30/2011 Perf: $1,070.75 Date: 5/31/2011 Perf: $1,099.34 Date: 4/30/2011 Perf: $1,140.98 Date: 3/31/2011 Perf: $1,098.15 Date: 2/28/2011 Perf: $1,115.22 Date: 1/31/2011 Perf: $1,096.57 Date: 12/31/2010 Perf: $1,111.81 Date: 11/30/2010 Perf: $1,066.07 Date: 10/31/2010 Perf: $1,105.20 Date: 9/30/2010 Perf: $1,063.92 Date: 8/31/2010 Perf: $1,044.90 Date: 7/31/2010 Perf: $1,003.36 Date: 6/30/2010 Perf: $1,016.47 Date: 5/31/2010 Perf: $1,012.62 Date: 4/30/2010 Perf: $1,037.74 Date: 3/31/2010 Perf: $1,022.00 Date: 2/28/2010 Perf: $982.97 Date: 1/31/2010 Perf: $973.82 Date: 12/31/2009 Perf: $998.69 Date: 11/30/2009 Perf: $1,040.30 Date: 10/31/2009 Perf: $1,000.00 Date: 5/31/2013 Perf: $1,698.89 Date: 4/30/2013 Perf: $1,660.05 Date: 3/31/2013 Perf: $1,628.62 Date: 2/28/2013 Perf: $1,569.75 Date: 1/31/2013 Perf: $1,548.69 Date: 12/31/2012 Perf: $1,472.42 Date: 11/30/2012 Perf: $1,459.14 Date: 10/31/2012 Perf: $1,450.72 Date: 9/30/2012 Perf: $1,478.07 Date: 8/31/2012 Perf: $1,440.89 Date: 7/31/2012 Perf: $1,409.19 Date: 6/30/2012 Perf: $1,389.87 Date: 5/31/2012 Perf: $1,334.87 Date: 4/30/2012 Perf: $1,420.23 Date: 3/31/2012 Perf: $1,429.23 Date: 2/29/2012 Perf: $1,383.71 Date: 1/31/2012 Perf: $1,326.41 Date: 12/31/2011 Perf: $1,269.53 Date: 11/30/2011 Perf: $1,256.71 Date: 10/31/2011 Perf: $1,259.48 Date: 9/30/2011 Perf: $1,135.39 Date: 8/31/2011 Perf: $1,221.24 Date: 7/31/2011 Perf: $1,291.36 Date: 6/30/2011 Perf: $1,318.12 Date: 5/31/2011 Perf: $1,340.50 Date: 4/30/2011 Perf: $1,355.82 Date: 3/31/2011 Perf: $1,316.85 Date: 2/28/2011 Perf: $1,316.32 Date: 1/31/2011 Perf: $1,272.67 Date: 12/31/2010 Perf: $1,243.20 Date: 11/30/2010 Perf: $1,165.36 Date: 10/31/2010 Perf: $1,165.24 Date: 9/30/2010 Perf: $1,122.47 Date: 8/31/2010 Perf: $1,030.55 Date: 7/31/2010 Perf: $1,079.22 Date: 6/30/2010 Perf: $1,008.52 Date: 5/31/2010 Perf: $1,064.18 Date: 4/30/2010 Perf: $1,156.59 Date: 3/31/2010 Perf: $1,138.60 Date: 2/28/2010 Perf: $1,073.85 Date: 1/31/2010 Perf: $1,041.56 Date: 12/31/2009 Perf: $1,080.46 Date: 11/30/2009 Perf: $1,060.00 Date: 10/31/2009 Perf: $1,000.00 Date: 5/31/2013 Perf: $1,099.07 Date: 4/30/2013 Perf: $1,035.98 Date: 3/31/2013 Perf: $1,082.76 Date: 2/28/2013 Perf: $1,082.00 Date: 1/31/2013 Perf: $1,210.02 Date: 12/31/2012 Perf: $1,191.32 Date: 11/30/2012 Perf: $1,250.07 Date: 10/31/2012 Perf: $1,152.56 Date: 9/30/2012 Perf: $1,130.19 Date: 8/31/2012 Perf: $1,227.66 Date: 7/31/2012 Perf: $1,123.10 Date: 6/30/2012 Perf: $1,218.11 Date: 5/31/2012 Perf: $1,411.16 Date: 4/30/2012 Perf: $1,583.79 Date: 3/31/2012 Perf: $1,594.48 Date: 2/29/2012 Perf: $1,649.23 Date: 1/31/2012 Perf: $1,548.28 Date: 12/31/2011 Perf: $1,449.57 Date: 11/30/2011 Perf: $1,367.00 Date: 10/31/2011 Perf: $1,355.88 Date: 9/30/2011 Perf: $1,281.67 Date: 8/31/2011 Perf: $1,109.77 Date: 7/31/2011 Perf: $1,272.53 Date: 6/30/2011 Perf: $1,229.26 Date: 5/31/2011 Perf: $1,210.61 Date: 4/30/2011 Perf: $1,120.32 Date: 3/31/2011 Perf: $1,221.85 Date: 2/28/2011 Perf: $1,179.51 Date: 1/31/2011 Perf: $1,142.16 Date: 12/31/2010 Perf: $1,132.98 Date: 11/30/2010 Perf: $1,118.11 Date: 10/31/2010 Perf: $1,105.07 Date: 9/30/2010 Perf: $1,045.78 Date: 8/31/2010 Perf: $1,036.86 Date: 7/31/2010 Perf: $1,071.80 Date: 6/30/2010 Perf: $1,082.08 Date: 5/31/2010 Perf: $976.78 Date: 4/30/2010 Perf: $1,081.71 Date: 3/31/2010 Perf: $1,053.17 Date: 2/28/2010 Perf: $1,113.99 Date: 1/31/2010 Perf: $1,107.68 Date: 12/31/2009 Perf: $1,040.66 Date: 11/30/2009 Perf: $1,004.40 Date: 10/31/2009 Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 10/09 - 05/13
Date: 5/31/2013 Return: 6.09 % Date: 4/30/2013 Return: -4.32 % Date: 3/31/2013 Return: 0.07 % Date: 2/28/2013 Return: -10.58 % Date: 1/31/2013 Return: 1.57 % Date: 12/31/2012 Return: -4.70 % Date: 11/30/2012 Return: 8.46 % Date: 10/31/2012 Return: 1.98 % Date: 9/30/2012 Return: -7.94 % Date: 8/31/2012 Return: 9.31 % Date: 7/31/2012 Return: -7.80 % Date: 6/30/2012 Return: -13.68 % Date: 5/31/2012 Return: -10.90 % Date: 4/30/2012 Return: -0.67 % Date: 3/31/2012 Return: -3.32 % Date: 2/29/2012 Return: 6.52 % Date: 1/31/2012 Return: 6.81 % Date: 12/31/2011 Return: 6.04 % Date: 11/30/2011 Return: 0.82 % Date: 10/31/2011 Return: 5.79 % Date: 9/30/2011 Return: 15.49 % Date: 8/31/2011 Return: -12.79 % Date: 7/31/2011 Return: 3.52 % Date: 6/30/2011 Return: 1.54 % Date: 5/31/2011 Return: 8.06 % Date: 4/30/2011 Return: -8.31 % Date: 3/31/2011 Return: 3.59 % Date: 2/28/2011 Return: 3.27 % Date: 1/31/2011 Return: 0.81 % Date: 12/31/2010 Return: 1.33 % Date: 11/30/2010 Return: 1.18 % Date: 10/31/2010 Return: 5.67 % Date: 9/30/2010 Return: 0.86 % Date: 8/31/2010 Return: -3.26 % Date: 7/31/2010 Return: -0.95 % Date: 6/30/2010 Return: 10.78 % Date: 5/31/2010 Return: -9.70 % Date: 4/30/2010 Return: 2.71 % Date: 3/31/2010 Return: -5.46 % Date: 2/28/2010 Return: 0.57 % Date: 1/31/2010 Return: 6.44 % Date: 12/31/2009 Return: 3.61 % Date: 11/30/2009 Return: 0.44 % Date: 10/31/2009 Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 10/09 - 05/13
Return: -4.00 % Count: 1 Return: 9.00 % Count: 1 Return: -14.00 % Count: 1 Return: -11.00 % Count: 2 Return: 7.00 % Count: 2 Return: 15.00 % Count: 1 Return: -13.00 % Count: 1 Return: 2.00 % Count: 3 Return: 8.00 % Count: 2 Return: -8.00 % Count: 3 Return: -3.00 % Count: 2 Return: -1.00 % Count: 2 Return: 11.00 % Count: 1 Return: -10.00 % Count: 1 Return: 3.00 % Count: 2 Return: -5.00 % Count: 2 Return: 1.00 % Count: 6 Return: 6.00 % Count: 5 Return: 4.00 % Count: 3 Return: 0.00 % Count: 3
Note: All performance data is since program inception.

Underwater Curve
Date Range: 10/09 - 05/13
Date: 5/31/2013 Drawdown: -33.36 % Date: 4/30/2013 Drawdown: -37.18 % Date: 3/31/2013 Drawdown: -34.35 % Date: 2/28/2013 Drawdown: -34.39 % Date: 1/31/2013 Drawdown: -26.63 % Date: 12/31/2012 Drawdown: -27.77 % Date: 11/30/2012 Drawdown: -24.20 % Date: 10/31/2012 Drawdown: -30.12 % Date: 9/30/2012 Drawdown: -31.47 % Date: 8/31/2012 Drawdown: -25.56 % Date: 7/31/2012 Drawdown: -31.90 % Date: 6/30/2012 Drawdown: -26.14 % Date: 5/31/2012 Drawdown: -14.44 % Date: 4/30/2012 Drawdown: -3.97 % Date: 3/31/2012 Drawdown: -3.32 % Date: 2/29/2012 Drawdown: 0.00 % Date: 1/31/2012 Drawdown: 0.00 % Date: 12/31/2011 Drawdown: 0.00 % Date: 11/30/2011 Drawdown: 0.00 % Date: 10/31/2011 Drawdown: 0.00 % Date: 9/30/2011 Drawdown: 0.00 % Date: 8/31/2011 Drawdown: -12.79 % Date: 7/31/2011 Drawdown: 0.00 % Date: 6/30/2011 Drawdown: 0.00 % Date: 5/31/2011 Drawdown: -0.92 % Date: 4/30/2011 Drawdown: -8.31 % 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: -0.80 % Date: 9/30/2010 Drawdown: -6.12 % Date: 8/31/2010 Drawdown: -6.92 % Date: 7/31/2010 Drawdown: -3.79 % Date: 6/30/2010 Drawdown: -2.86 % Date: 5/31/2010 Drawdown: -12.32 % Date: 4/30/2010 Drawdown: -2.90 % Date: 3/31/2010 Drawdown: -5.46 % 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 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Stein Investment Management, LLC
Address: 2180 Kent Court
City: Mahwah
State: NJ
Zip: 07430
Country: USA
Key People
Name:  Boris Stein
Position:  Principal
Biography: 

Mr. Stein graduated from Minsk University in the former Soviet Union with dual Masters Degree in Physics and Computer Science. Mr. Stein was involved in scientific research, mathematical modelling and computer simulations of sophisticated processes, where he applied advanced statistical methods and the latest mathematical breakthroughs. After working as a Chief Information Officer for a major commercial company for many years, Mr. Stein focused his interests on the emerging commodity market and became one of the first foreign currency traders in newly independent State of Belarus. Upon arrival to USA, Mr. Stein established himself as a successful businessman and computer engineer through the ownership of two profitable companies and lucrative contracts in information systems industry. He used his solid mathematical background, strong analytical skills, extensive knowledge of markets and scientific methods of research to pioneer new technical trading ideas and systems as well as innovative approaches to asset management. Being well educated in the world of technical trading (Welles Wilder, Gerald Appel, Bruce Babcock, Larry Williams, Tom DeMark, Steve Nison), he widely used his computer programming skills for back testing various trading ideas to identify, verify and synthesize all the advantages of many popular systems and leverage them by introducing his proprietary weighting signals produced by multiple proprietary trading systems of original design. Mr. Stein left his successful computer consulting business in 2002 to form his trading firm, Stein Investment Management LLC, which is currently registered as a CTA. As the managing member, president, and sole principal of SIM, Mr. Stein brought to the company his extensive experience of over 15 years in market research, development of advanced market trading methodologies, and active personal trading. Mr. Stein has published articles and was featured in numerous industry publications including: Futures, Traders World, FINalternatives, FutureSource, Technical Analyst, Futures & Options Trader, Active Trader. As president, director, and sole principal of SIM, Mr. Stein is responsible for all trading decisions as well as the day-to-day operations of SIM.

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.