Altegris Clearing Solutions Blue Diamond Asset Management AG Blue Diamond Non-Directional Strategy
Monthly Performance (%)
Date Range: 09/11 - 11/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 1.93 -1.65 -0.94 -2.25 -2.92 1.74 -1.95 2.73 -0.52 -1.31 -2.05 -7.13
2016 0.00 3.95 6.74 1.31 4.50 -4.52 2.39 1.14 3.61 2.38 -0.06 -1.10 21.78
2015 -3.40 8.93 3.47 5.54 3.04 1.39 4.58 1.42 -1.24 -2.00 -2.94 -1.63 17.66
2014 1.61 1.37 -2.34 0.60 6.29 0.95 -1.41 4.20 -0.30 -1.92 5.44 -3.51 10.97
2013 -0.75 1.10 -1.51 0.16 -2.10 0.63 6.79 -3.26 4.35 -7.71 3.24 4.51 4.68
2012 3.85 -2.41 4.97 3.46 -3.99 1.10 3.61 0.97 13.54 5.64 7.55 0.13 44.37
2011 9.08 6.03 2.34 18.36
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The investment objective of the Non-Directional Strategy is to provide attractive risk-adjusted absolute returns. The strategy seeks to achieve the investment objective through the use of a systematic investment strategy that attempts to exploit market inefficiencies in liquid volatility-related instruments. The non-directional investment process typically establishes spread positions to seek to capture these perceived market inefficiencies. The Strategy implements its investment decisions primarily with publicly traded volatility, equity index, and bond futures and options.

Performance Statistics
Date Range: 09/11 - 11/17
  Program SP500 TR Altegris 40
Total Return 164.15% 148.37% 1.51%
Annualized Return 17.06% 15.67% 0.24%
Annualized Std. Deviation 12.67% 10.65% 8.38%
Correlation 0.26 -0.20
Sharpe Ratio (rf=2.5%) 1.15 1.24 -0.27
Worst Month -7.71% -7.03% -5.20%
Date of Worst Month 10/2013 09/2011 06/2015
Worst Drawdown -8.89% -8.35% -13.15%
Date of Worst Drawdown 1/17 - 11/17 7/15 - 9/15 9/11 - 9/13
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 09/11 - 11/17
Year or YTD Program SP500 TR Altegris 40
2017 -7.13 20.51 0.15
2016 21.78 11.98 -3.13
2015 17.66 1.41 0.09
2014 10.97 13.69 15.75
2013 4.68 32.41 -2.45
2012 44.37 15.98 -4.75
2011 18.36 11.81 -2.75
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 09/11 - 11/17
Date: 11/30/2017
Perf: $1,015.70 Date: 10/31/2017
Perf: $1,014.38 Date: 9/30/2017
Perf: $973.59 Date: 8/31/2017
Perf: $994.57 Date: 7/31/2017
Perf: $978.33 Date: 6/30/2017
Perf: $974.53 Date: 5/31/2017
Perf: $1,003.84 Date: 4/30/2017
Perf: $1,001.94 Date: 3/31/2017
Perf: $1,007.99 Date: 2/28/2017
Perf: $1,022.92 Date: 1/31/2017
Perf: $1,001.10 Date: 12/31/2016
Perf: $1,014.18 Date: 11/30/2016
Perf: $1,006.53 Date: 10/31/2016
Perf: $1,017.73 Date: 9/30/2016
Perf: $1,044.68 Date: 8/31/2016
Perf: $1,058.33 Date: 7/31/2016
Perf: $1,087.59 Date: 6/30/2016
Perf: $1,076.61 Date: 5/31/2016
Perf: $1,032.72 Date: 4/30/2016
Perf: $1,051.11 Date: 3/31/2016
Perf: $1,078.17 Date: 2/29/2016
Perf: $1,110.03 Date: 1/31/2016
Perf: $1,083.38 Date: 12/31/2015
Perf: $1,046.95 Date: 11/30/2015
Perf: $1,071.59 Date: 10/31/2015
Perf: $1,036.26 Date: 9/30/2015
Perf: $1,054.61 Date: 8/31/2015
Perf: $1,032.21 Date: 7/31/2015
Perf: $1,050.38 Date: 6/30/2015
Perf: $1,010.86 Date: 5/31/2015
Perf: $1,066.30 Date: 4/30/2015
Perf: $1,074.04 Date: 3/31/2015
Perf: $1,117.16 Date: 2/28/2015
Perf: $1,093.00 Date: 1/31/2015
Perf: $1,094.76 Date: 12/31/2014
Perf: $1,046.01 Date: 11/30/2014
Perf: $1,027.92 Date: 10/31/2014
Perf: $970.19 Date: 9/30/2014
Perf: $956.14 Date: 8/31/2014
Perf: $942.10 Date: 7/31/2014
Perf: $903.87 Date: 6/30/2014
Perf: $911.16 Date: 5/31/2014
Perf: $903.39 Date: 4/30/2014
Perf: $880.84 Date: 3/31/2014
Perf: $874.19 Date: 2/28/2014
Perf: $887.33 Date: 1/31/2014
Perf: $880.11 Date: 12/31/2013
Perf: $903.70 Date: 11/30/2013
Perf: $904.96 Date: 10/31/2013
Perf: $888.87 Date: 9/30/2013
Perf: $868.97 Date: 8/31/2013
Perf: $874.22 Date: 7/31/2013
Perf: $891.33 Date: 6/30/2013
Perf: $899.16 Date: 5/31/2013
Perf: $934.58 Date: 4/30/2013
Perf: $976.57 Date: 3/31/2013
Perf: $952.01 Date: 2/28/2013
Perf: $938.49 Date: 1/31/2013
Perf: $943.97 Date: 12/31/2012
Perf: $926.37 Date: 11/30/2012
Perf: $921.85 Date: 10/31/2012
Perf: $919.28 Date: 9/30/2012
Perf: $953.80 Date: 8/31/2012
Perf: $969.81 Date: 7/31/2012
Perf: $983.18 Date: 6/30/2012
Perf: $944.54 Date: 5/31/2012
Perf: $981.45 Date: 4/30/2012
Perf: $963.15 Date: 3/31/2012
Perf: $957.40 Date: 2/29/2012
Perf: $979.64 Date: 1/31/2012
Perf: $975.64 Date: 12/31/2011
Perf: $972.53 Date: 11/30/2011
Perf: $963.28 Date: 10/31/2011
Perf: $960.40 Date: 9/30/2011
Perf: $1,000.00 Date: 11/30/2017
Perf: $2,671.46 Date: 10/31/2017
Perf: $2,591.88 Date: 9/30/2017
Perf: $2,532.87 Date: 8/31/2017
Perf: $2,481.74 Date: 7/31/2017
Perf: $2,474.08 Date: 6/30/2017
Perf: $2,424.14 Date: 5/31/2017
Perf: $2,409.20 Date: 4/30/2017
Perf: $2,375.70 Date: 3/31/2017
Perf: $2,351.48 Date: 2/28/2017
Perf: $2,348.66 Date: 1/31/2017
Perf: $2,258.98 Date: 12/31/2016
Perf: $2,216.86 Date: 11/30/2016
Perf: $2,173.82 Date: 10/31/2016
Perf: $2,096.26 Date: 9/30/2016
Perf: $2,135.12 Date: 8/31/2016
Perf: $2,134.69 Date: 7/31/2016
Perf: $2,131.71 Date: 6/30/2016
Perf: $2,055.85 Date: 5/31/2016
Perf: $2,050.52 Date: 4/30/2016
Perf: $2,014.26 Date: 3/31/2016
Perf: $2,006.43 Date: 2/29/2016
Perf: $1,879.03 Date: 1/31/2016
Perf: $1,881.48 Date: 12/31/2015
Perf: $1,979.67 Date: 11/30/2015
Perf: $2,011.45 Date: 10/31/2015
Perf: $2,005.44 Date: 9/30/2015
Perf: $1,849.35 Date: 8/31/2015
Perf: $1,896.19 Date: 7/31/2015
Perf: $2,017.87 Date: 6/30/2015
Perf: $1,976.36 Date: 5/31/2015
Perf: $2,015.46 Date: 4/30/2015
Perf: $1,989.79 Date: 3/31/2015
Perf: $1,970.87 Date: 2/28/2015
Perf: $2,002.51 Date: 1/31/2015
Perf: $1,893.63 Date: 12/31/2014
Perf: $1,952.19 Date: 11/30/2014
Perf: $1,957.09 Date: 10/31/2014
Perf: $1,905.82 Date: 9/30/2014
Perf: $1,860.43 Date: 8/31/2014
Perf: $1,886.84 Date: 7/31/2014
Perf: $1,814.27 Date: 6/30/2014
Perf: $1,839.66 Date: 5/31/2014
Perf: $1,802.35 Date: 4/30/2014
Perf: $1,760.97 Date: 3/31/2014
Perf: $1,748.03 Date: 2/28/2014
Perf: $1,733.47 Date: 1/31/2014
Perf: $1,657.71 Date: 12/31/2013
Perf: $1,717.13 Date: 11/30/2013
Perf: $1,674.75 Date: 10/31/2013
Perf: $1,625.19 Date: 9/30/2013
Perf: $1,553.72 Date: 8/31/2013
Perf: $1,506.41 Date: 7/31/2013
Perf: $1,551.40 Date: 6/30/2013
Perf: $1,476.26 Date: 5/31/2013
Perf: $1,496.31 Date: 4/30/2013
Perf: $1,462.10 Date: 3/31/2013
Perf: $1,434.42 Date: 2/28/2013
Perf: $1,382.57 Date: 1/31/2013
Perf: $1,364.02 Date: 12/31/2012
Perf: $1,296.84 Date: 11/30/2012
Perf: $1,285.15 Date: 10/31/2012
Perf: $1,277.74 Date: 9/30/2012
Perf: $1,301.82 Date: 8/31/2012
Perf: $1,269.08 Date: 7/31/2012
Perf: $1,241.15 Date: 6/30/2012
Perf: $1,224.14 Date: 5/31/2012
Perf: $1,175.70 Date: 4/30/2012
Perf: $1,250.88 Date: 3/31/2012
Perf: $1,258.81 Date: 2/29/2012
Perf: $1,218.71 Date: 1/31/2012
Perf: $1,168.24 Date: 12/31/2011
Perf: $1,118.15 Date: 11/30/2011
Perf: $1,106.86 Date: 10/31/2011
Perf: $1,109.30 Date: 9/30/2011
Perf: $1,000.00 Date: 11/30/2017
Perf: $2,641.50 Date: 10/31/2017
Perf: $2,696.78 Date: 9/30/2017
Perf: $2,732.58 Date: 8/31/2017
Perf: $2,746.86 Date: 7/31/2017
Perf: $2,673.86 Date: 6/30/2017
Perf: $2,727.04 Date: 5/31/2017
Perf: $2,680.40 Date: 4/30/2017
Perf: $2,761.02 Date: 3/31/2017
Perf: $2,824.58 Date: 2/28/2017
Perf: $2,851.38 Date: 1/31/2017
Perf: $2,899.22 Date: 12/31/2016
Perf: $2,844.32 Date: 11/30/2016
Perf: $2,875.96 Date: 10/31/2016
Perf: $2,877.68 Date: 9/30/2016
Perf: $2,810.79 Date: 8/31/2016
Perf: $2,712.85 Date: 7/31/2016
Perf: $2,682.27 Date: 6/30/2016
Perf: $2,619.66 Date: 5/31/2016
Perf: $2,743.68 Date: 4/30/2016
Perf: $2,625.53 Date: 3/31/2016
Perf: $2,591.58 Date: 2/29/2016
Perf: $2,427.94 Date: 1/31/2016
Perf: $2,335.68 Date: 12/31/2015
Perf: $2,335.68 Date: 11/30/2015
Perf: $2,374.38 Date: 10/31/2015
Perf: $2,446.30 Date: 9/30/2015
Perf: $2,496.23 Date: 8/31/2015
Perf: $2,527.57 Date: 7/31/2015
Perf: $2,492.18 Date: 6/30/2015
Perf: $2,383.04 Date: 5/31/2015
Perf: $2,350.37 Date: 4/30/2015
Perf: $2,281.02 Date: 3/31/2015
Perf: $2,161.29 Date: 2/28/2015
Perf: $2,088.81 Date: 1/31/2015
Perf: $1,917.57 Date: 12/31/2014
Perf: $1,985.06 Date: 11/30/2014
Perf: $2,057.27 Date: 10/31/2014
Perf: $1,951.13 Date: 9/30/2014
Perf: $1,989.32 Date: 8/31/2014
Perf: $1,995.31 Date: 7/31/2014
Perf: $1,914.88 Date: 6/30/2014
Perf: $1,942.27 Date: 5/31/2014
Perf: $1,923.99 Date: 4/30/2014
Perf: $1,810.13 Date: 3/31/2014
Perf: $1,799.34 Date: 2/28/2014
Perf: $1,842.45 Date: 1/31/2014
Perf: $1,817.55 Date: 12/31/2013
Perf: $1,788.75 Date: 11/30/2013
Perf: $1,711.56 Date: 10/31/2013
Perf: $1,657.85 Date: 9/30/2013
Perf: $1,796.35 Date: 8/31/2013
Perf: $1,721.46 Date: 7/31/2013
Perf: $1,779.47 Date: 6/30/2013
Perf: $1,666.33 Date: 5/31/2013
Perf: $1,655.90 Date: 4/30/2013
Perf: $1,691.42 Date: 3/31/2013
Perf: $1,688.71 Date: 2/28/2013
Perf: $1,714.60 Date: 1/31/2013
Perf: $1,695.95 Date: 12/31/2012
Perf: $1,708.77 Date: 11/30/2012
Perf: $1,706.55 Date: 10/31/2012
Perf: $1,586.75 Date: 9/30/2012
Perf: $1,502.03 Date: 8/31/2012
Perf: $1,322.91 Date: 7/31/2012
Perf: $1,310.20 Date: 6/30/2012
Perf: $1,264.55 Date: 5/31/2012
Perf: $1,250.79 Date: 4/30/2012
Perf: $1,302.77 Date: 3/31/2012
Perf: $1,259.20 Date: 2/29/2012
Perf: $1,199.59 Date: 1/31/2012
Perf: $1,229.21 Date: 12/31/2011
Perf: $1,183.64 Date: 11/30/2011
Perf: $1,156.58 Date: 10/31/2011
Perf: $1,090.80 Date: 9/30/2011
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 09/11 - 11/17
Date: 11/30/2017
Return: -2.05 % Date: 10/31/2017
Return: -1.31 % Date: 9/30/2017
Return: -0.52 % Date: 8/31/2017
Return: 2.73 % Date: 7/31/2017
Return: -1.95 % Date: 6/30/2017
Return: 1.74 % Date: 5/31/2017
Return: -2.92 % Date: 4/30/2017
Return: -2.25 % Date: 3/31/2017
Return: -0.94 % Date: 2/28/2017
Return: -1.65 % Date: 1/31/2017
Return: 1.93 % Date: 12/31/2016
Return: -1.10 % Date: 11/30/2016
Return: -0.06 % Date: 10/31/2016
Return: 2.38 % Date: 9/30/2016
Return: 3.61 % Date: 8/31/2016
Return: 1.14 % Date: 7/31/2016
Return: 2.39 % Date: 6/30/2016
Return: -4.52 % Date: 5/31/2016
Return: 4.50 % Date: 4/30/2016
Return: 1.31 % Date: 3/31/2016
Return: 6.74 % Date: 2/29/2016
Return: 3.95 % Date: 1/31/2016
Return: 0.00 % Date: 12/31/2015
Return: -1.63 % Date: 11/30/2015
Return: -2.94 % Date: 10/31/2015
Return: -2.00 % Date: 9/30/2015
Return: -1.24 % Date: 8/31/2015
Return: 1.42 % Date: 7/31/2015
Return: 4.58 % Date: 6/30/2015
Return: 1.39 % Date: 5/31/2015
Return: 3.04 % Date: 4/30/2015
Return: 5.54 % Date: 3/31/2015
Return: 3.47 % Date: 2/28/2015
Return: 8.93 % Date: 1/31/2015
Return: -3.40 % Date: 12/31/2014
Return: -3.51 % Date: 11/30/2014
Return: 5.44 % Date: 10/31/2014
Return: -1.92 % Date: 9/30/2014
Return: -0.30 % Date: 8/31/2014
Return: 4.20 % Date: 7/31/2014
Return: -1.41 % Date: 6/30/2014
Return: 0.95 % Date: 5/31/2014
Return: 6.29 % Date: 4/30/2014
Return: 0.60 % Date: 3/31/2014
Return: -2.34 % Date: 2/28/2014
Return: 1.37 % Date: 1/31/2014
Return: 1.61 % Date: 12/31/2013
Return: 4.51 % Date: 11/30/2013
Return: 3.24 % Date: 10/31/2013
Return: -7.71 % Date: 9/30/2013
Return: 4.35 % Date: 8/31/2013
Return: -3.26 % Date: 7/31/2013
Return: 6.79 % Date: 6/30/2013
Return: 0.63 % Date: 5/31/2013
Return: -2.10 % Date: 4/30/2013
Return: 0.16 % Date: 3/31/2013
Return: -1.51 % Date: 2/28/2013
Return: 1.10 % Date: 1/31/2013
Return: -0.75 % Date: 12/31/2012
Return: 0.13 % Date: 11/30/2012
Return: 7.55 % Date: 10/31/2012
Return: 5.64 % Date: 9/30/2012
Return: 13.54 % Date: 8/31/2012
Return: 0.97 % Date: 7/31/2012
Return: 3.61 % Date: 6/30/2012
Return: 1.10 % Date: 5/31/2012
Return: -3.99 % Date: 4/30/2012
Return: 3.46 % Date: 3/31/2012
Return: 4.97 % Date: 2/29/2012
Return: -2.41 % Date: 1/31/2012
Return: 3.85 % Date: 12/31/2011
Return: 2.34 % Date: 11/30/2011
Return: 6.03 % Date: 10/31/2011
Return: 9.08 % Date: 9/30/2011
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 09/11 - 11/17
Return: -5.00 %
Count: 1 Return: -8.00 %
Count: 1 Return: -3.00 %
Count: 4 Return: 7.00 %
Count: 2 Return: -1.00 %
Count: 7 Return: 8.00 %
Count: 1 Return: 14.00 %
Count: 1 Return: 1.00 %
Count: 11 Return: -4.00 %
Count: 2 Return: 3.00 %
Count: 5 Return: 5.00 %
Count: 5 Return: -2.00 %
Count: 11 Return: 4.00 %
Count: 6 Return: 2.00 %
Count: 6 Return: 6.00 %
Count: 4 Return: 9.00 %
Count: 2 Return: 0.00 %
Count: 6
Note: All performance data is since program inception.

Underwater Curve
Date Range: 09/11 - 11/17
Date: 11/30/2017
Drawdown: -8.89 % Date: 10/31/2017
Drawdown: -6.98 % Date: 9/30/2017
Drawdown: -5.75 % Date: 8/31/2017
Drawdown: -5.26 % Date: 7/31/2017
Drawdown: -7.77 % Date: 6/30/2017
Drawdown: -5.94 % Date: 5/31/2017
Drawdown: -7.55 % Date: 4/30/2017
Drawdown: -4.77 % Date: 3/31/2017
Drawdown: -2.57 % Date: 2/28/2017
Drawdown: -1.65 % Date: 1/31/2017
Drawdown: 0.00 % Date: 12/31/2016
Drawdown: -1.16 % Date: 11/30/2016
Drawdown: -0.06 % Date: 10/31/2016
Drawdown: 0.00 % Date: 9/30/2016
Drawdown: 0.00 % Date: 8/31/2016
Drawdown: -1.12 % Date: 7/31/2016
Drawdown: -2.24 % Date: 6/30/2016
Drawdown: -4.52 % Date: 5/31/2016
Drawdown: 0.00 % Date: 4/30/2016
Drawdown: 0.00 % Date: 3/31/2016
Drawdown: 0.00 % Date: 2/29/2016
Drawdown: -3.94 % Date: 1/31/2016
Drawdown: -7.59 % Date: 12/31/2015
Drawdown: -7.59 % Date: 11/30/2015
Drawdown: -6.06 % Date: 10/31/2015
Drawdown: -3.22 % Date: 9/30/2015
Drawdown: -1.24 % Date: 8/31/2015
Drawdown: 0.00 % Date: 7/31/2015
Drawdown: 0.00 % Date: 6/30/2015
Drawdown: 0.00 % Date: 5/31/2015
Drawdown: 0.00 % Date: 4/30/2015
Drawdown: 0.00 % Date: 3/31/2015
Drawdown: 0.00 % Date: 2/28/2015
Drawdown: 0.00 % Date: 1/31/2015
Drawdown: -6.79 % Date: 12/31/2014
Drawdown: -3.51 % Date: 11/30/2014
Drawdown: 0.00 % Date: 10/31/2014
Drawdown: -2.21 % Date: 9/30/2014
Drawdown: -0.30 % Date: 8/31/2014
Drawdown: 0.00 % Date: 7/31/2014
Drawdown: -1.41 % Date: 6/30/2014
Drawdown: 0.00 % Date: 5/31/2014
Drawdown: 0.00 % Date: 4/30/2014
Drawdown: -1.75 % Date: 3/31/2014
Drawdown: -2.34 % Date: 2/28/2014
Drawdown: 0.00 % Date: 1/31/2014
Drawdown: 0.00 % Date: 12/31/2013
Drawdown: -0.42 % Date: 11/30/2013
Drawdown: -4.72 % Date: 10/31/2013
Drawdown: -7.71 % Date: 9/30/2013
Drawdown: 0.00 % Date: 8/31/2013
Drawdown: -3.26 % Date: 7/31/2013
Drawdown: 0.00 % Date: 6/30/2013
Drawdown: -2.82 % Date: 5/31/2013
Drawdown: -3.42 % Date: 4/30/2013
Drawdown: -1.35 % Date: 3/31/2013
Drawdown: -1.51 % Date: 2/28/2013
Drawdown: 0.00 % Date: 1/31/2013
Drawdown: -0.75 % Date: 12/31/2012
Drawdown: 0.00 % 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: -2.93 % Date: 5/31/2012
Drawdown: -3.99 % Date: 4/30/2012
Drawdown: 0.00 % Date: 3/31/2012
Drawdown: 0.00 % Date: 2/29/2012
Drawdown: -2.41 % 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 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Blue Diamond Asset Management AG
Address: Bahnhofstrasse 1
City: Pfäffikon
State: SZ
Zip: 8808
Country: Switzerland
Key People
Name:  Jonas Stark
Position:  Chief Investment Officer
Biography: 


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.