Altegris Clearing Solutions ISATYS Advisory AG SINGULARITY - Managed Futures Program (Trading System) *FRN*
Monthly Performance (%)
Date Range: 06/10 - 04/13
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2013 2.00 1.46 -0.17 0.70 4.04
2012 4.25 3.07 1.38 -0.31 2.78 2.27 2.51 -2.97 -0.19 -1.98 3.60 -0.21 14.84
2011 5.29 0.12 7.44 0.99 10.51 -0.01 6.32 6.53 0.79 3.26 -2.41 0.13 45.58
2010 -1.66 9.34 -0.11 0.33 10.50 0.65 19.85
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

SINGULARITY is a purely systematic, fully automated multi-strategy managed futures program (CTA). The long, medium and short term trend following strategies are applied to a diversified portfolio of up to 80 liquid futures markets, across the different asset classes namely Equities, Fixed Income, FX and Commodities. Besides the classical diversification across different target markets, SINGULARITY is characterized by a system inherent intra-market diversification, employing a multitude of independent strategy elements in each of its target market. These strategy elements generate independent buy and sell signals and are a fundamental driver for the high degree of scalability of the trading program. Investment objectives are: Annualized net return >25%, annualized volatility <12%; annualized downside volatility <6%, maximum drawdown <10%, uncorrelated to traditional investments and low correlation to other CTAs. - In July 2010, after more than five years of in-house development, live trading in SINGULARITY started with proprietary money. In September 2011 the SINGULARITY Managed Futures Program was opened for qualified investors as an open-end offshore fund (BVI) with tax transparency in Germany, Austria and Switzerland. Other pooled vehicles and managed accounts are available on request.

Performance Statistics
Date Range: 06/10 - 04/13
  Program SP500 TR Altegris 40
Total Return 108.46% 55.99% 6.69%
Annualized Return 29.60% 16.47% 2.25%
Annualized Std. Deviation 11.96% 14.01% 8.48%
Correlation -0.25 -0.10
Sharpe Ratio (rf=2.5%) 2.26 1.00 -0.03
Worst Month -2.97% -7.03% -3.96%
Date of Worst Month 08/2012 09/2011 10/2011
Worst Drawdown -5.07% -16.26% -10.87%
Date of Worst Drawdown 7/12 - 10/12 4/11 - 9/11 4/11 - 10/12
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 06/10 - 04/13
Year or YTD Program SP500 TR Altegris 40
2013 4.04 12.74 5.42
2012 14.84 15.98 -4.75
2011 45.58 2.12 -3.23
2010 19.85 23.27 9.38
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 06/10 - 04/13
Date: 4/30/2013 Perf: $1,062.88 Date: 3/31/2013 Perf: $1,036.15 Date: 2/28/2013 Perf: $1,021.44 Date: 1/31/2013 Perf: $1,027.40 Date: 12/31/2012 Perf: $1,008.24 Date: 11/30/2012 Perf: $1,003.33 Date: 10/31/2012 Perf: $1,000.52 Date: 9/30/2012 Perf: $1,038.10 Date: 8/31/2012 Perf: $1,055.52 Date: 7/31/2012 Perf: $1,070.07 Date: 6/30/2012 Perf: $1,028.03 Date: 5/31/2012 Perf: $1,068.19 Date: 4/30/2012 Perf: $1,048.27 Date: 3/31/2012 Perf: $1,042.02 Date: 2/29/2012 Perf: $1,066.22 Date: 1/31/2012 Perf: $1,061.87 Date: 12/31/2011 Perf: $1,058.48 Date: 11/30/2011 Perf: $1,048.42 Date: 10/31/2011 Perf: $1,045.28 Date: 9/30/2011 Perf: $1,088.38 Date: 8/31/2011 Perf: $1,089.04 Date: 7/31/2011 Perf: $1,091.22 Date: 6/30/2011 Perf: $1,053.40 Date: 5/31/2011 Perf: $1,081.52 Date: 4/30/2011 Perf: $1,122.49 Date: 3/31/2011 Perf: $1,080.36 Date: 2/28/2011 Perf: $1,097.14 Date: 1/31/2011 Perf: $1,078.80 Date: 12/31/2010 Perf: $1,093.79 Date: 11/30/2010 Perf: $1,048.80 Date: 10/31/2010 Perf: $1,087.29 Date: 9/30/2010 Perf: $1,046.67 Date: 8/31/2010 Perf: $1,027.97 Date: 7/31/2010 Perf: $987.10 Date: 6/30/2010 Perf: $1,000.00 Date: 4/30/2013 Perf: $1,646.02 Date: 3/31/2013 Perf: $1,614.85 Date: 2/28/2013 Perf: $1,556.48 Date: 1/31/2013 Perf: $1,535.60 Date: 12/31/2012 Perf: $1,459.97 Date: 11/30/2012 Perf: $1,446.80 Date: 10/31/2012 Perf: $1,438.46 Date: 9/30/2012 Perf: $1,465.57 Date: 8/31/2012 Perf: $1,428.71 Date: 7/31/2012 Perf: $1,397.28 Date: 6/30/2012 Perf: $1,378.12 Date: 5/31/2012 Perf: $1,323.59 Date: 4/30/2012 Perf: $1,408.22 Date: 3/31/2012 Perf: $1,417.15 Date: 2/29/2012 Perf: $1,372.01 Date: 1/31/2012 Perf: $1,315.19 Date: 12/31/2011 Perf: $1,258.80 Date: 11/30/2011 Perf: $1,246.09 Date: 10/31/2011 Perf: $1,248.84 Date: 9/30/2011 Perf: $1,125.79 Date: 8/31/2011 Perf: $1,210.92 Date: 7/31/2011 Perf: $1,280.44 Date: 6/30/2011 Perf: $1,306.98 Date: 5/31/2011 Perf: $1,329.17 Date: 4/30/2011 Perf: $1,344.36 Date: 3/31/2011 Perf: $1,305.72 Date: 2/28/2011 Perf: $1,305.19 Date: 1/31/2011 Perf: $1,261.91 Date: 12/31/2010 Perf: $1,232.69 Date: 11/30/2010 Perf: $1,155.51 Date: 10/31/2010 Perf: $1,155.39 Date: 9/30/2010 Perf: $1,112.99 Date: 8/31/2010 Perf: $1,021.84 Date: 7/31/2010 Perf: $1,070.10 Date: 6/30/2010 Perf: $1,000.00 Date: 4/30/2013 Perf: $2,084.57 Date: 3/31/2013 Perf: $2,070.08 Date: 2/28/2013 Perf: $2,073.61 Date: 1/31/2013 Perf: $2,043.77 Date: 12/31/2012 Perf: $2,003.69 Date: 11/30/2012 Perf: $2,007.91 Date: 10/31/2012 Perf: $1,938.14 Date: 9/30/2012 Perf: $1,977.29 Date: 8/31/2012 Perf: $1,981.05 Date: 7/31/2012 Perf: $2,041.69 Date: 6/30/2012 Perf: $1,991.70 Date: 5/31/2012 Perf: $1,947.49 Date: 4/30/2012 Perf: $1,894.82 Date: 3/31/2012 Perf: $1,900.71 Date: 2/29/2012 Perf: $1,874.83 Date: 1/31/2012 Perf: $1,818.99 Date: 12/31/2011 Perf: $1,744.84 Date: 11/30/2011 Perf: $1,742.57 Date: 10/31/2011 Perf: $1,785.60 Date: 9/30/2011 Perf: $1,729.23 Date: 8/31/2011 Perf: $1,715.68 Date: 7/31/2011 Perf: $1,610.51 Date: 6/30/2011 Perf: $1,514.78 Date: 5/31/2011 Perf: $1,514.93 Date: 4/30/2011 Perf: $1,370.85 Date: 3/31/2011 Perf: $1,357.41 Date: 2/28/2011 Perf: $1,263.42 Date: 1/31/2011 Perf: $1,261.90 Date: 12/31/2010 Perf: $1,198.50 Date: 11/30/2010 Perf: $1,190.76 Date: 10/31/2010 Perf: $1,077.61 Date: 9/30/2010 Perf: $1,074.07 Date: 8/31/2010 Perf: $1,075.25 Date: 7/31/2010 Perf: $983.40 Date: 6/30/2010 Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 06/10 - 04/13
Date: 4/30/2013 Return: 0.70 % Date: 3/31/2013 Return: -0.17 % Date: 2/28/2013 Return: 1.46 % Date: 1/31/2013 Return: 2.00 % Date: 12/31/2012 Return: -0.21 % Date: 11/30/2012 Return: 3.60 % Date: 10/31/2012 Return: -1.98 % Date: 9/30/2012 Return: -0.19 % Date: 8/31/2012 Return: -2.97 % Date: 7/31/2012 Return: 2.51 % Date: 6/30/2012 Return: 2.27 % Date: 5/31/2012 Return: 2.78 % Date: 4/30/2012 Return: -0.31 % Date: 3/31/2012 Return: 1.38 % Date: 2/29/2012 Return: 3.07 % Date: 1/31/2012 Return: 4.25 % Date: 12/31/2011 Return: 0.13 % Date: 11/30/2011 Return: -2.41 % Date: 10/31/2011 Return: 3.26 % Date: 9/30/2011 Return: 0.79 % Date: 8/31/2011 Return: 6.53 % Date: 7/31/2011 Return: 6.32 % Date: 6/30/2011 Return: -0.01 % Date: 5/31/2011 Return: 10.51 % Date: 4/30/2011 Return: 0.99 % Date: 3/31/2011 Return: 7.44 % Date: 2/28/2011 Return: 0.12 % Date: 1/31/2011 Return: 5.29 % Date: 12/31/2010 Return: 0.65 % Date: 11/30/2010 Return: 10.50 % Date: 10/31/2010 Return: 0.33 % Date: 9/30/2010 Return: -0.11 % Date: 8/31/2010 Return: 9.34 % Date: 7/31/2010 Return: -1.66 % Date: 6/30/2010 Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 06/10 - 04/13
Return: -3.00 % Count: 1 Return: 2.00 % Count: 2 Return: 4.00 % Count: 2 Return: 3.00 % Count: 4 Return: 6.00 % Count: 1 Return: 7.00 % Count: 2 Return: 5.00 % Count: 1 Return: 1.00 % Count: 6 Return: 11.00 % Count: 2 Return: 9.00 % Count: 1 Return: -2.00 % Count: 3 Return: 0.00 % Count: 10
Note: All performance data is since program inception.

Underwater Curve
Date Range: 06/10 - 04/13
Date: 4/30/2013 Drawdown: 0.00 % Date: 3/31/2013 Drawdown: -0.17 % Date: 2/28/2013 Drawdown: 0.00 % Date: 1/31/2013 Drawdown: 0.00 % Date: 12/31/2012 Drawdown: -1.86 % Date: 11/30/2012 Drawdown: -1.65 % Date: 10/31/2012 Drawdown: -5.07 % Date: 9/30/2012 Drawdown: -3.15 % Date: 8/31/2012 Drawdown: -2.97 % Date: 7/31/2012 Drawdown: 0.00 % Date: 6/30/2012 Drawdown: 0.00 % Date: 5/31/2012 Drawdown: 0.00 % Date: 4/30/2012 Drawdown: -0.31 % 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: -2.28 % Date: 11/30/2011 Drawdown: -2.41 % Date: 10/31/2011 Drawdown: 0.00 % Date: 9/30/2011 Drawdown: 0.00 % Date: 8/31/2011 Drawdown: 0.00 % Date: 7/31/2011 Drawdown: 0.00 % Date: 6/30/2011 Drawdown: -0.01 % 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: 0.00 % Date: 9/30/2010 Drawdown: -0.11 % Date: 8/31/2010 Drawdown: 0.00 % Date: 7/31/2010 Drawdown: -1.66 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  ISATYS Advisory AG
Address: Toedistrasse 53
City: Horgen (Zurich)
State:
Zip: 8810
Country: Switzerland
Key People
Name:  Bastian Bolesta
Position:  Managing Director
Biography: 

Bastian Bolesta, a German national residing in Switzerland, is a founding partner and executive director of ISATYS Advisory AG (Zurich), the fund’s investment manager. As Director for Alternative and Quantitative Investments he consults institutional and private clients in regards to investments in alternative strategies. From 2006 to 2008 he served as both the Director of Client Management & Financial Consulting and as Chief Representative in China for ISATYS Beijing, a representative office formed to stimulate the acquisition of Asian institutional clients and for building up a local research team for the “Asian markets” for ISATYS. At the start of his career, Mr. Bolesta worked with Deutsche Bank AG in Germany, USA and the UK in various roles, including Relationship Manager for institutional clients and Analyst in market and credit risk controlling. Mr. Bolesta received his Masters Degree in International Relations from the University of Cambridge, UK and holds a Masters Degree (German Diplom Betriebswirt) in Banking and Finance from Frankfurt School of Finance and Management, Frankfurt Germany. Since 2010 Mr Bolesta is certified as Chartered Alternative Investment Analyst (CAIA).

Name:  Heiko Krohne
Position:  Portfolio Manager
Biography: 

Heiko Krohne, a German national residing in Switzerland, is head of Systematic Trading at ISATYS Advisory AG. He and his team manage the SINGULARITY Managed Futures Fund and are responsible for the development and analysis of new systematic strategies. Mr. Krohne was introduced to the financial markets at an early age. Already at 15 he began his trading “career”, and ever since has been actively involved in the markets. In 1993 he commenced work in the insurance industry with focus on life and pension insurance, after completing a three year professional training program at the Allianz Insurance Company, one of the world largest insurance companies and asset managers. In 1999 he left the insurance field to devote himself solely to financial trading, becoming one of the most recognized players among German private proprietary traders until the end of the “dot.com” era. His understanding and expertise in systematic strategies builds on a rich foundation of personal trading experience and in-depth analysis of financial market movements. Especially his observation from times of market turmoil let to his conclusion of the superiority of systematic approaches. Since that time he has gone on to expand on systematic trading strategies, developing new and refining existing strategies, with special focus on futures trading. As of September 2011 he has been placed in charge of managing the first open-end managed futures fund of ISATYS Advisory AG in Zurich, Switzerland.

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.