Measuring Risk and Return

Investors often consider historical risk versus return when evaluating a particular opportunity. The chart below measures risk versus return for the top 20 CTA programs in the our database. Risk, or uncertainty, is represented by annualized standard deviation over the life of the investment program, and return is represented by annualized returns over the same time period.

The relative size of the program, as measured by assets under management for the program, is also indicated.

Click the bubbles to reveal the name of the managed futures program. You can click on the program name in the list below the chart to highlight a particular bubble.

Risk vs. Reward - Last 48 Months

	Program	ARORAnnualized Rate of Return	AUMAssets Under Management	Std DevStandard Deviation
1	Indices - International Traders Research: Altegris 40	5.55%	$80,091,033,727	9.50%
2	Indices - Standard & Poor's: S&P 500 TR Index	-3.02%		18.31%
3	Dendrich Ltd: Dendrich Ltd Program QEP PROP	52.65%	$623,000	58.91%
4	RAM Management Group, Ltd: MRTP - Aggressive	38.27%	$3,723,497	35.46%
5	Pere Trading Group, LLC: Pere Trading Program	37.76%	$11,066,000	74.74%
6	Di Tomasso Group Inc.: Equilibrium Program QEP	31.01%	$30,240,000	24.66%
7	Vegasoul Capital Management (Asia) Limited: Vegasoul Fund FRN	30.36%	$205,000,000	11.76%
8	Becker Asset Management, LLC: Program 1 PROP	29.25%	$554,782	20.31%
9	White Indian Trading Company Limited: STAIRS Program PROP	25.32%	$1,800,000	21.04%
10	Revolution Capital Management, LLC: Alpha Profile PROP	25.01%	$1,720,000	13.96%
11	Scully Capital Management, LLC: Poniente Program QEP	23.15%	$15,355,576	26.19%
12	Scully Capital Management, LLC: Mistral Program QEP	22.61%	$19,296,803	23.46%
13	Financial Commodity Investments (FCI): Credit Premium Program	22.39%	$19,146,608	11.88%
14	Heyden & Steindl, GMBH: TOMAC2 PROP FRN	22.25%	$54,000,000	28.70%
15	Becker Asset Management, LLC: Program 1 (CLIENT)	22.23%	$451,307	20.44%
16	Blackwater Capital Management LLC: Blackwater Global Program QEP	22.18%	$171,000,000	16.43%
17	Paskewitz Asset Management, LLC: Contrarian 3X Stock Index Program QEP	21.71%	$259,320,000	19.59%
18	Hawksbill Capital Management: Global Diversified Program	21.33%	$63,000,000	33.28%
19	Parizek Capital Inc.: Parizek Capital Futures Program	21.30%	$2,294,977	27.58%
20	BlueCrest Capital Management Ltd.: BlueTrend Fund Limited QEP	20.17%	$6,900,000,000	14.50%

PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
AROR: Annualized Rate of Return; AUM: Assets Under Management as represented by notional value; Std Dev: Standard Deviation of Monthly Returns.

The rankings above include the trading programs that have submitted performance information for the most recent full month.

Emerging programs are defined as those with less than $50M in assets under management.

Established programs are defined as those with assets under management equal to or in excess of $50M.

*When using the 'since inception' filter, returns shown for programs with track records of less than 12 months are shown as Total Return, and not Annualized. As a result these numbers may not be valid for comparison against programs with longer track records.

**The list above includes only commodity trading advisors (CTAs) tracked by International Traders Research Inc (ITR). There may be other programs not tracked by ITR that outperformed or under performed those listed above which, if tracked would affect the order of the rankings. When reviewing the information, you should be aware that some of the programs:

- Are only available to (a) non-US persons, (b) persons who meet the financial requirements for Qualified Eligible Persons as describe in CFTC Regulation 4.7;
- Reflect proprietary trading results and may not accurately reflect the performance a client could expect because of differences in fees and costs, leverage and trading and may not have tested with customer funds;
- Are closed to new investments.

The rankings do not include rates of return for any single fund or pool that is not incorporated into a composite track record.

In each of the following cases the trader is not required to file a disclosure document with the Commodity Futures Trading Commission (CFTC) or the National Futures Association (NFA). As a result the numbers reported are those provided by the trader directly to ITR or its affiliates.

QEP: These programs may only be available to QEP's (Qualified Eligible Persons) as defined under the (CFTC) Regulation 4.7.
CLSD: These programs are currently closed to new investments.
FXE: These programs trade only the foreign exchange markets and are exempt from CFTC registration and NFA membership.
FRN: The traders of these programs may be registered with a regulatory body outside of the United States but are not necessarily registered with the CFTC or NFA members. Therefore, these programs may be closed to U.S. investors.
PROP: Proprietary

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Toll Free: 800-828-5225 | Phone: 858-459-7040 | Fax: 858-456-9209 | cta@altegris.com

There are substantial risks and conflicts of interests associated with managed futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent upon a CTA’s ability to identify profitable investment opportunities and to successfully trade. The identification of attractive trading opportunities is difficult, requires skill, and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage that is often obtainable in commodity trading can work against you as well as for you. The use of leverage can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Altegris, a FINRA and NFA member, offers various alternative investments, including hedge funds, futures funds and managed futures and commodities accounts, that may operate in commodities markets and foreign markets, among others. Altegris and/or its officers/partners may have a financial interest in such alternative investments. In working with clients, Altegris acts in its capacity as an SEC-registered Broker-Dealer and/or as a CFTC-registered Introducing Broker and CTA. Although Altegris may give securities-related advice that is incidental to its securities brokerage services, it is not an Investment Adviser. When acting as an Introducing Broker for individually managed accounts, Altegris receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. CTAs may also pay Altegris a portion of the fees they receive from accounts introduced to them by Altegris. When acting as a Broker-Dealer, Altegris enters into selling agreements with hedge funds and futures funds that it offers (including funds sponsored by affiliates), pursuant to which Altegris, with respect to the interests it sells, is paid a portion of the management and/or performance fees charged by the funds or their managers in respect of those interests. Altegris may also provide ongoing managed futures consulting services to its clients for a monthly service charge pursuant to individual managed account consulting arrangements.