Altegris Clearing Solutions Meliora Capital SA Commodity Absolute Return Program (3X)
Monthly Performance (%)
Date Range: 10/14 - 11/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 -4.59 2.91 -5.61 -6.48 4.02 1.50 8.07 -7.95 5.34 2.64 0.09 -1.49
2016 9.60 7.59 -7.98 14.49 -9.72 8.70 -0.84 6.18 -4.80 4.47 5.82 2.43 38.37
2015 6.03 4.38 -6.00 10.50 7.29 1.53 -5.43 -5.34 2.58 -3.99 -8.61 12.75 13.76
2014 10.17 -5.25 4.39
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The Strategy aims to provide absolute return regardless of the market state through a fully systematic approach. The Strategy is a proprietary computer-based trading sytem that will take short-term exposure on commodity futures following a synthetic "long volatility" approach. It trades intraday with no over-night market exposure and uses strict risk management rules. The objectives are to generate an annualized performance of 12% with a volatility of 10% and peak-to-valley drawdowns that do not exceed 10%.

Performance Statistics
Date Range: 10/14 - 11/17
  Program SP500 TR Altegris 40
Total Return 61.88% 43.59% 6.23%
Annualized Return 16.91% 12.10% 1.93%
Annualized Std. Deviation 22.92% 9.77% 9.16%
Correlation -0.14 0.03
Sharpe Ratio (rf=2.5%) 0.63 0.98 -0.06
Worst Month -9.72% -6.03% -5.20%
Date of Worst Month 05/2016 08/2015 06/2015
Worst Drawdown -19.43% -8.35% -12.85%
Date of Worst Drawdown 6/15 - 11/15 7/15 - 9/15 3/15 - 9/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 10/14 - 11/17
Year or YTD Program SP500 TR Altegris 40
2017 -1.49 20.51 0.15
2016 38.37 11.98 -3.13
2015 13.76 1.41 0.09
2014 4.39 2.43 7.81
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 10/14 - 11/17
Date: 11/30/2017
Perf: $1,046.90 Date: 10/31/2017
Perf: $1,045.55 Date: 9/30/2017
Perf: $1,003.50 Date: 8/31/2017
Perf: $1,025.13 Date: 7/31/2017
Perf: $1,008.39 Date: 6/30/2017
Perf: $1,004.47 Date: 5/31/2017
Perf: $1,034.69 Date: 4/30/2017
Perf: $1,032.72 Date: 3/31/2017
Perf: $1,038.96 Date: 2/28/2017
Perf: $1,054.35 Date: 1/31/2017
Perf: $1,031.86 Date: 12/31/2016
Perf: $1,045.34 Date: 11/30/2016
Perf: $1,037.46 Date: 10/31/2016
Perf: $1,049.00 Date: 9/30/2016
Perf: $1,076.78 Date: 8/31/2016
Perf: $1,090.85 Date: 7/31/2016
Perf: $1,121.00 Date: 6/30/2016
Perf: $1,109.68 Date: 5/31/2016
Perf: $1,064.45 Date: 4/30/2016
Perf: $1,083.40 Date: 3/31/2016
Perf: $1,111.30 Date: 2/29/2016
Perf: $1,144.14 Date: 1/31/2016
Perf: $1,116.67 Date: 12/31/2015
Perf: $1,079.11 Date: 11/30/2015
Perf: $1,104.52 Date: 10/31/2015
Perf: $1,068.09 Date: 9/30/2015
Perf: $1,087.01 Date: 8/31/2015
Perf: $1,063.92 Date: 7/31/2015
Perf: $1,082.65 Date: 6/30/2015
Perf: $1,041.91 Date: 5/31/2015
Perf: $1,099.06 Date: 4/30/2015
Perf: $1,107.03 Date: 3/31/2015
Perf: $1,151.48 Date: 2/28/2015
Perf: $1,126.58 Date: 1/31/2015
Perf: $1,128.39 Date: 12/31/2014
Perf: $1,078.15 Date: 11/30/2014
Perf: $1,059.50 Date: 10/31/2014
Perf: $1,000.00 Date: 11/30/2017
Perf: $1,401.73 Date: 10/31/2017
Perf: $1,359.98 Date: 9/30/2017
Perf: $1,329.02 Date: 8/31/2017
Perf: $1,302.19 Date: 7/31/2017
Perf: $1,298.17 Date: 6/30/2017
Perf: $1,271.97 Date: 5/31/2017
Perf: $1,264.13 Date: 4/30/2017
Perf: $1,246.55 Date: 3/31/2017
Perf: $1,233.84 Date: 2/28/2017
Perf: $1,232.36 Date: 1/31/2017
Perf: $1,185.31 Date: 12/31/2016
Perf: $1,163.21 Date: 11/30/2016
Perf: $1,140.62 Date: 10/31/2016
Perf: $1,099.92 Date: 9/30/2016
Perf: $1,120.31 Date: 8/31/2016
Perf: $1,120.09 Date: 7/31/2016
Perf: $1,118.52 Date: 6/30/2016
Perf: $1,078.72 Date: 5/31/2016
Perf: $1,075.92 Date: 4/30/2016
Perf: $1,056.90 Date: 3/31/2016
Perf: $1,052.79 Date: 2/29/2016
Perf: $985.95 Date: 1/31/2016
Perf: $987.23 Date: 12/31/2015
Perf: $1,038.75 Date: 11/30/2015
Perf: $1,055.43 Date: 10/31/2015
Perf: $1,052.27 Date: 9/30/2015
Perf: $970.37 Date: 8/31/2015
Perf: $994.95 Date: 7/31/2015
Perf: $1,058.79 Date: 6/30/2015
Perf: $1,037.01 Date: 5/31/2015
Perf: $1,057.53 Date: 4/30/2015
Perf: $1,044.06 Date: 3/31/2015
Perf: $1,034.13 Date: 2/28/2015
Perf: $1,050.73 Date: 1/31/2015
Perf: $993.60 Date: 12/31/2014
Perf: $1,024.33 Date: 11/30/2014
Perf: $1,026.90 Date: 10/31/2014
Perf: $1,000.00 Date: 11/30/2017
Perf: $1,618.81 Date: 10/31/2017
Perf: $1,617.36 Date: 9/30/2017
Perf: $1,575.76 Date: 8/31/2017
Perf: $1,495.88 Date: 7/31/2017
Perf: $1,625.07 Date: 6/30/2017
Perf: $1,503.72 Date: 5/31/2017
Perf: $1,481.50 Date: 4/30/2017
Perf: $1,424.24 Date: 3/31/2017
Perf: $1,522.93 Date: 2/28/2017
Perf: $1,613.45 Date: 1/31/2017
Perf: $1,567.82 Date: 12/31/2016
Perf: $1,643.25 Date: 11/30/2016
Perf: $1,604.26 Date: 10/31/2016
Perf: $1,516.03 Date: 9/30/2016
Perf: $1,451.16 Date: 8/31/2016
Perf: $1,524.33 Date: 7/31/2016
Perf: $1,435.61 Date: 6/30/2016
Perf: $1,447.77 Date: 5/31/2016
Perf: $1,331.90 Date: 4/30/2016
Perf: $1,475.30 Date: 3/31/2016
Perf: $1,288.58 Date: 2/29/2016
Perf: $1,400.33 Date: 1/31/2016
Perf: $1,301.54 Date: 12/31/2015
Perf: $1,187.54 Date: 11/30/2015
Perf: $1,053.25 Date: 10/31/2015
Perf: $1,152.47 Date: 9/30/2015
Perf: $1,200.37 Date: 8/31/2015
Perf: $1,170.18 Date: 7/31/2015
Perf: $1,236.19 Date: 6/30/2015
Perf: $1,307.17 Date: 5/31/2015
Perf: $1,287.47 Date: 4/30/2015
Perf: $1,199.99 Date: 3/31/2015
Perf: $1,085.97 Date: 2/28/2015
Perf: $1,155.28 Date: 1/31/2015
Perf: $1,106.81 Date: 12/31/2014
Perf: $1,043.86 Date: 11/30/2014
Perf: $1,101.70 Date: 10/31/2014
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 10/14 - 11/17
Date: 11/30/2017
Return: 0.09 % Date: 10/31/2017
Return: 2.64 % Date: 9/30/2017
Return: 5.34 % Date: 8/31/2017
Return: -7.95 % Date: 7/31/2017
Return: 8.07 % Date: 6/30/2017
Return: 1.50 % Date: 5/31/2017
Return: 4.02 % Date: 4/30/2017
Return: -6.48 % Date: 3/31/2017
Return: -5.61 % Date: 2/28/2017
Return: 2.91 % Date: 1/31/2017
Return: -4.59 % Date: 12/31/2016
Return: 2.43 % Date: 11/30/2016
Return: 5.82 % Date: 10/31/2016
Return: 4.47 % Date: 9/30/2016
Return: -4.80 % Date: 8/31/2016
Return: 6.18 % Date: 7/31/2016
Return: -0.84 % Date: 6/30/2016
Return: 8.70 % Date: 5/31/2016
Return: -9.72 % Date: 4/30/2016
Return: 14.49 % Date: 3/31/2016
Return: -7.98 % Date: 2/29/2016
Return: 7.59 % Date: 1/31/2016
Return: 9.60 % Date: 12/31/2015
Return: 12.75 % Date: 11/30/2015
Return: -8.61 % Date: 10/31/2015
Return: -3.99 % Date: 9/30/2015
Return: 2.58 % Date: 8/31/2015
Return: -5.34 % Date: 7/31/2015
Return: -5.43 % Date: 6/30/2015
Return: 1.53 % Date: 5/31/2015
Return: 7.29 % Date: 4/30/2015
Return: 10.50 % Date: 3/31/2015
Return: -6.00 % Date: 2/28/2015
Return: 4.38 % Date: 1/31/2015
Return: 6.03 % Date: 12/31/2014
Return: -5.25 % Date: 11/30/2014
Return: 10.17 % Date: 10/31/2014
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 10/14 - 11/17
Return: 5.00 %
Count: 1 Return: -1.00 %
Count: 1 Return: 9.00 %
Count: 1 Return: -10.00 %
Count: 1 Return: 14.00 %
Count: 1 Return: -8.00 %
Count: 2 Return: 8.00 %
Count: 2 Return: 13.00 %
Count: 1 Return: -9.00 %
Count: 1 Return: -4.00 %
Count: 1 Return: 3.00 %
Count: 3 Return: 2.00 %
Count: 3 Return: 7.00 %
Count: 1 Return: 11.00 %
Count: 1 Return: -6.00 %
Count: 3 Return: 4.00 %
Count: 3 Return: 6.00 %
Count: 3 Return: -5.00 %
Count: 5 Return: 10.00 %
Count: 2 Return: 0.00 %
Count: 2
Note: All performance data is since program inception.

Underwater Curve
Date Range: 10/14 - 11/17
Date: 11/30/2017
Drawdown: -1.49 % Date: 10/31/2017
Drawdown: -1.58 % Date: 9/30/2017
Drawdown: -4.11 % Date: 8/31/2017
Drawdown: -8.97 % Date: 7/31/2017
Drawdown: -1.11 % Date: 6/30/2017
Drawdown: -8.49 % Date: 5/31/2017
Drawdown: -9.84 % Date: 4/30/2017
Drawdown: -13.33 % Date: 3/31/2017
Drawdown: -7.32 % Date: 2/28/2017
Drawdown: -1.81 % Date: 1/31/2017
Drawdown: -4.59 % Date: 12/31/2016
Drawdown: 0.00 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: -0.54 % Date: 9/30/2016
Drawdown: -4.80 % Date: 8/31/2016
Drawdown: 0.00 % Date: 7/31/2016
Drawdown: -2.69 % Date: 6/30/2016
Drawdown: -1.87 % Date: 5/31/2016
Drawdown: -9.72 % Date: 4/30/2016
Drawdown: 0.00 % Date: 3/31/2016
Drawdown: -7.98 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: -0.43 % Date: 12/31/2015
Drawdown: -9.15 % Date: 11/30/2015
Drawdown: -19.43 % Date: 10/31/2015
Drawdown: -11.83 % Date: 9/30/2015
Drawdown: -8.17 % Date: 8/31/2015
Drawdown: -10.48 % Date: 7/31/2015
Drawdown: -5.43 % 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: -6.00 % Date: 2/28/2015
Drawdown: 0.00 % Date: 1/31/2015
Drawdown: 0.00 % Date: 12/31/2014
Drawdown: -5.25 % Date: 11/30/2014
Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Meliora Capital SA
Address: Av. de la Gare 28
City: Sion 1950
State:
Zip:
Country: Switzerland
Key People
Name:  Pablo Albrecht
Position:  Chief Executive Officer
Biography: 

Pablo is a seasoned technology entrepreneur with over 10 years of experience in computer engineering. At 15, he built a web data-interpreter engine based on a self-learning approach that was acquired the year after. He later managed a medium-sized team of engineers, based in various countries, building an object recognition software company. Throughout his career, Pablo has been involved as founder/investor in multiple ventures where the core edge has always been the technology. Pablo co-founded Meliora Capital with Fabrice in 2012 after having managed proprietary capital.


Name:  Fabrice Gras
Position:  Chief Investment Officer
Biography: 

Fabrice graduate from Queensland University of Technology (Brisbane, Australia) in 1992 with First Class Honours, focusing on statistics and multi-scale numerical methods. In 1997 he received his PhD in Spatial Statistics where he gained extensive knowledge of wavelet theory, long range dependence, fractal processes and wood drying modelling. From the beginning of his PhD, he became involved in financial modelling and particularly in the development of trading systems and trading strategies for commodity and financial futures. In 1997, he founded Financielle, a French CTA fund which was later white-labelled to Oddo, a leading French investment bank. For 3 years in a row, Financielle's CTA was in the top best French funds. At their peak in 2004, Financielle managed up to USD 100M. Between 2005 and 2012, Fabrice managed a team of up to 21 people working full-time on the trading program now used at Meliora Capital, the comapny he co-founded in 2012 with Pablo. throughout his career, Fabrice has managed 4 funds with different time horizon acquring an outstanding knowledge in quantitative finance and market modelling.


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.