Altegris Clearing Solutions Integrated Managed Futures Corp. IMFC Global Investment Program *QEP*
Monthly Performance (%)
Date Range: 01/07 - 03/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 -1.52 -1.83 -3.22 -6.44
2016 3.60 1.72 -3.60 -3.23 -4.77 5.18 -0.28 -5.82 -3.13 -4.96 -5.68 -0.23 -19.88
2015 13.11 -1.18 0.76 -4.70 0.85 -2.37 5.30 1.06 0.34 -3.97 3.23 -1.46 10.23
2014 -2.85 1.26 -3.61 0.13 0.18 0.34 5.19 3.37 2.77 -0.31 8.50 3.82 19.76
2013 3.16 -0.52 0.69 4.04 -0.08 0.35 -2.87 -3.76 1.06 2.16 3.36 2.33 10.03
2012 -2.74 -2.75 -1.51 3.16 6.99 -6.02 1.22 -1.46 -4.51 -4.78 -1.50 0.63 -13.14
2011 -0.21 3.88 -1.43 3.73 -2.92 -2.32 2.96 1.03 -4.08 -4.29 0.67 1.32 -2.10
2010 -3.36 2.31 3.52 0.56 -3.44 -0.62 -3.88 9.37 1.80 5.63 -1.86 3.07 12.94
2009 -0.88 -0.47 -3.63 -1.84 -2.95 0.27 -0.04 4.39 3.31 -4.28 8.77 -3.99 -2.14
2008 4.59 18.84 -1.19 -2.77 1.07 4.26 -6.98 -3.39 4.26 19.65 2.26 2.23 47.47
2007 -6.55 -3.03 9.05 5.56 4.44 -7.01 -3.72 11.52 7.13 -1.25 2.27 17.69
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

There are two investment tenets behind the IMFC Global Investment Program. First, the primary functions of all markets are to provide for a medium of exchange, to price the value or desirability of assets and to price the premiums required to balance supply and demand. Second, futures markets exhibit long term price trends that are a result of the persistent pricing of risk premiums based on deeply rooted fundamental factors and the crowd behavior of market participants. Utilizing four distinct and uncorrelated investment strategies, The IMFC Global Investment Program applies proprietary systematic and quantitative methods to measure the value of assets, the amount of risk premium priced into assets and the momentum and volatility of assets. This analytical process identifies long-term investment opportunities in over 60 industrial, agricultural and financial futures markets. The average duration of profitable investment opportunities is approximately twenty one months, though they can last several years. Risk management operates at much higher frequencies of as little as one day. There are three main components of IMFC’s market risk management policies; Quantitative Asset Allocation, Market Risk Overlays and Portfolio Risk Overlays. Quantitative Asset Allocation seeks to allocate portfolio assets into risk budgets per eligible market in such a way as to target an acceptable level of downside portfolio volatility for expected portfolio returns over the medium term. Expected market returns, volatilities and correlations are the key factors involved in quantitative asset allocation models. The methodology utilized by IMFC to allocate portfolio assets among markets is based on the Black-Litterman model of quantitative asset allocation. Using this methodology, IMFC targets average annualized portfolio downside volatility of 13% over the medium term. Market Risk Overlays reduce or eliminate the initial risk budget allocated to a market based on identifying factors that are correlated to future periods of under-performance. IMFC has developed two market risk overlays. One overlay is reactionary and based on identifying sudden shifts in market behavior. The other overlay is anticipatory and takes profits based on measures of excess return and market irrationality. Portfolio Risk Overlays manage actual, versus targeted, portfolio volatility by imposing limits on allowable downside volatility and Value-at-Risk (VaR). In addition, positions are stress-tested against known events in the history of financial markets in order to limit worst case scenarios under various timeframes.

Performance Statistics
Date Range: 01/07 - 03/17
  Program SP500 TR Altegris 40
Total Return 77.63% 107.68% 27.17%
Annualized Return 5.81% 7.39% 2.37%
Annualized Std. Deviation 15.94% 15.07% 9.24%
Correlation -0.20 0.80
Sharpe Ratio (rf=2.5%) 0.21 0.32 -0.01
Worst Month -7.01% -16.79% -5.20%
Date of Worst Month 07/2007 10/2008 06/2015
Worst Drawdown -28.87% -50.95% -15.74%
Date of Worst Drawdown 2/16 - 3/17 10/07 - 2/09 4/11 - 9/13
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 01/07 - 03/17
Year or YTD Program SP500 TR Altegris 40
2017 -6.44 6.07 -0.61
2016 -19.88 11.98 -3.13
2015 10.23 1.41 0.09
2014 19.76 13.69 15.75
2013 10.03 32.41 -2.45
2012 -13.14 15.98 -4.75
2011 -2.10 2.12 -3.23
2010 12.94 15.06 11.33
2009 -2.14 26.45 -7.98
2008 47.47 -36.99 15.47
2007 17.69 3.93 5.38
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 01/07 - 03/17
Date: 3/31/2017
Perf: $1,250.33 Date: 2/28/2017
Perf: $1,268.85 Date: 1/31/2017
Perf: $1,241.78 Date: 12/31/2016
Perf: $1,258.01 Date: 11/30/2016
Perf: $1,248.52 Date: 10/31/2016
Perf: $1,262.41 Date: 9/30/2016
Perf: $1,295.84 Date: 8/31/2016
Perf: $1,312.78 Date: 7/31/2016
Perf: $1,349.07 Date: 6/30/2016
Perf: $1,335.44 Date: 5/31/2016
Perf: $1,281.00 Date: 4/30/2016
Perf: $1,303.82 Date: 3/31/2016
Perf: $1,337.39 Date: 2/29/2016
Perf: $1,376.90 Date: 1/31/2016
Perf: $1,343.85 Date: 12/31/2015
Perf: $1,298.65 Date: 11/30/2015
Perf: $1,329.22 Date: 10/31/2015
Perf: $1,285.39 Date: 9/30/2015
Perf: $1,308.15 Date: 8/31/2015
Perf: $1,280.37 Date: 7/31/2015
Perf: $1,302.91 Date: 6/30/2015
Perf: $1,253.88 Date: 5/31/2015
Perf: $1,322.66 Date: 4/30/2015
Perf: $1,332.25 Date: 3/31/2015
Perf: $1,385.74 Date: 2/28/2015
Perf: $1,355.78 Date: 1/31/2015
Perf: $1,357.95 Date: 12/31/2014
Perf: $1,297.49 Date: 11/30/2014
Perf: $1,275.05 Date: 10/31/2014
Perf: $1,203.44 Date: 9/30/2014
Perf: $1,186.01 Date: 8/31/2014
Perf: $1,168.60 Date: 7/31/2014
Perf: $1,121.17 Date: 6/30/2014
Perf: $1,130.21 Date: 5/31/2014
Perf: $1,120.58 Date: 4/30/2014
Perf: $1,092.61 Date: 3/31/2014
Perf: $1,084.37 Date: 2/28/2014
Perf: $1,100.66 Date: 1/31/2014
Perf: $1,091.70 Date: 12/31/2013
Perf: $1,120.96 Date: 11/30/2013
Perf: $1,122.53 Date: 10/31/2013
Perf: $1,102.58 Date: 9/30/2013
Perf: $1,077.89 Date: 8/31/2013
Perf: $1,084.40 Date: 7/31/2013
Perf: $1,105.63 Date: 6/30/2013
Perf: $1,115.33 Date: 5/31/2013
Perf: $1,159.27 Date: 4/30/2013
Perf: $1,211.35 Date: 3/31/2013
Perf: $1,180.89 Date: 2/28/2013
Perf: $1,164.12 Date: 1/31/2013
Perf: $1,170.91 Date: 12/31/2012
Perf: $1,149.08 Date: 11/30/2012
Perf: $1,143.48 Date: 10/31/2012
Perf: $1,140.29 Date: 9/30/2012
Perf: $1,183.12 Date: 8/31/2012
Perf: $1,202.96 Date: 7/31/2012
Perf: $1,219.55 Date: 6/30/2012
Perf: $1,171.63 Date: 5/31/2012
Perf: $1,217.40 Date: 4/30/2012
Perf: $1,194.71 Date: 3/31/2012
Perf: $1,187.58 Date: 2/29/2012
Perf: $1,215.16 Date: 1/31/2012
Perf: $1,210.20 Date: 12/31/2011
Perf: $1,206.34 Date: 11/30/2011
Perf: $1,194.87 Date: 10/31/2011
Perf: $1,191.30 Date: 9/30/2011
Perf: $1,240.42 Date: 8/31/2011
Perf: $1,241.16 Date: 7/31/2011
Perf: $1,243.65 Date: 6/30/2011
Perf: $1,200.55 Date: 5/31/2011
Perf: $1,232.60 Date: 4/30/2011
Perf: $1,279.29 Date: 3/31/2011
Perf: $1,231.27 Date: 2/28/2011
Perf: $1,250.40 Date: 1/31/2011
Perf: $1,229.50 Date: 12/31/2010
Perf: $1,246.58 Date: 11/30/2010
Perf: $1,195.30 Date: 10/31/2010
Perf: $1,239.17 Date: 9/30/2010
Perf: $1,192.88 Date: 8/31/2010
Perf: $1,171.56 Date: 7/31/2010
Perf: $1,124.99 Date: 6/30/2010
Perf: $1,139.69 Date: 5/31/2010
Perf: $1,135.37 Date: 4/30/2010
Perf: $1,163.53 Date: 3/31/2010
Perf: $1,145.89 Date: 2/28/2010
Perf: $1,102.13 Date: 1/31/2010
Perf: $1,091.87 Date: 12/31/2009
Perf: $1,119.75 Date: 11/30/2009
Perf: $1,166.41 Date: 10/31/2009
Perf: $1,121.22 Date: 9/30/2009
Perf: $1,150.68 Date: 8/31/2009
Perf: $1,123.93 Date: 7/31/2009
Perf: $1,120.23 Date: 6/30/2009
Perf: $1,121.47 Date: 5/31/2009
Perf: $1,152.11 Date: 4/30/2009
Perf: $1,136.43 Date: 3/31/2009
Perf: $1,174.85 Date: 2/28/2009
Perf: $1,208.32 Date: 1/31/2009
Perf: $1,208.92 Date: 12/31/2008
Perf: $1,216.83 Date: 11/30/2008
Perf: $1,186.34 Date: 10/31/2008
Perf: $1,144.34 Date: 9/30/2008
Perf: $1,088.30 Date: 8/31/2008
Perf: $1,086.02 Date: 7/31/2008
Perf: $1,115.81 Date: 6/30/2008
Perf: $1,169.49 Date: 5/31/2008
Perf: $1,139.07 Date: 4/30/2008
Perf: $1,116.08 Date: 3/31/2008
Perf: $1,129.07 Date: 2/29/2008
Perf: $1,134.06 Date: 1/31/2008
Perf: $1,073.00 Date: 12/31/2007
Perf: $1,053.82 Date: 11/30/2007
Perf: $1,056.25 Date: 10/31/2007
Perf: $1,063.16 Date: 9/30/2007
Perf: $1,019.23 Date: 8/31/2007
Perf: $973.76 Date: 7/31/2007
Perf: $1,011.49 Date: 6/30/2007
Perf: $1,043.74 Date: 5/31/2007
Perf: $1,014.42 Date: 4/30/2007
Perf: $979.46 Date: 3/31/2007
Perf: $939.98 Date: 2/28/2007
Perf: $962.50 Date: 1/31/2007
Perf: $1,000.00 Date: 3/31/2017
Perf: $2,045.95 Date: 2/28/2017
Perf: $2,043.50 Date: 1/31/2017
Perf: $1,965.47 Date: 12/31/2016
Perf: $1,928.82 Date: 11/30/2016
Perf: $1,891.37 Date: 10/31/2016
Perf: $1,823.89 Date: 9/30/2016
Perf: $1,857.70 Date: 8/31/2016
Perf: $1,857.32 Date: 7/31/2016
Perf: $1,854.73 Date: 6/30/2016
Perf: $1,788.72 Date: 5/31/2016
Perf: $1,784.09 Date: 4/30/2016
Perf: $1,752.54 Date: 3/31/2016
Perf: $1,745.73 Date: 2/29/2016
Perf: $1,634.89 Date: 1/31/2016
Perf: $1,637.01 Date: 12/31/2015
Perf: $1,722.45 Date: 11/30/2015
Perf: $1,750.10 Date: 10/31/2015
Perf: $1,744.86 Date: 9/30/2015
Perf: $1,609.06 Date: 8/31/2015
Perf: $1,649.81 Date: 7/31/2015
Perf: $1,755.68 Date: 6/30/2015
Perf: $1,719.57 Date: 5/31/2015
Perf: $1,753.59 Date: 4/30/2015
Perf: $1,731.25 Date: 3/31/2015
Perf: $1,714.79 Date: 2/28/2015
Perf: $1,742.32 Date: 1/31/2015
Perf: $1,647.58 Date: 12/31/2014
Perf: $1,698.54 Date: 11/30/2014
Perf: $1,702.80 Date: 10/31/2014
Perf: $1,658.19 Date: 9/30/2014
Perf: $1,618.70 Date: 8/31/2014
Perf: $1,641.68 Date: 7/31/2014
Perf: $1,578.54 Date: 6/30/2014
Perf: $1,600.63 Date: 5/31/2014
Perf: $1,568.17 Date: 4/30/2014
Perf: $1,532.16 Date: 3/31/2014
Perf: $1,520.90 Date: 2/28/2014
Perf: $1,508.24 Date: 1/31/2014
Perf: $1,442.32 Date: 12/31/2013
Perf: $1,494.01 Date: 11/30/2013
Perf: $1,457.15 Date: 10/31/2013
Perf: $1,414.02 Date: 9/30/2013
Perf: $1,351.84 Date: 8/31/2013
Perf: $1,310.68 Date: 7/31/2013
Perf: $1,349.83 Date: 6/30/2013
Perf: $1,284.45 Date: 5/31/2013
Perf: $1,301.89 Date: 4/30/2013
Perf: $1,272.13 Date: 3/31/2013
Perf: $1,248.04 Date: 2/28/2013
Perf: $1,202.93 Date: 1/31/2013
Perf: $1,186.79 Date: 12/31/2012
Perf: $1,128.34 Date: 11/30/2012
Perf: $1,118.16 Date: 10/31/2012
Perf: $1,111.72 Date: 9/30/2012
Perf: $1,132.67 Date: 8/31/2012
Perf: $1,104.18 Date: 7/31/2012
Perf: $1,079.89 Date: 6/30/2012
Perf: $1,065.08 Date: 5/31/2012
Perf: $1,022.94 Date: 4/30/2012
Perf: $1,088.35 Date: 3/31/2012
Perf: $1,095.25 Date: 2/29/2012
Perf: $1,060.36 Date: 1/31/2012
Perf: $1,016.45 Date: 12/31/2011
Perf: $972.86 Date: 11/30/2011
Perf: $963.04 Date: 10/31/2011
Perf: $965.17 Date: 9/30/2011
Perf: $870.07 Date: 8/31/2011
Perf: $935.86 Date: 7/31/2011
Perf: $989.59 Date: 6/30/2011
Perf: $1,010.10 Date: 5/31/2011
Perf: $1,027.25 Date: 4/30/2011
Perf: $1,038.99 Date: 3/31/2011
Perf: $1,009.12 Date: 2/28/2011
Perf: $1,008.72 Date: 1/31/2011
Perf: $975.27 Date: 12/31/2010
Perf: $952.69 Date: 11/30/2010
Perf: $893.03 Date: 10/31/2010
Perf: $892.95 Date: 9/30/2010
Perf: $860.17 Date: 8/31/2010
Perf: $789.73 Date: 7/31/2010
Perf: $827.03 Date: 6/30/2010
Perf: $772.85 Date: 5/31/2010
Perf: $815.50 Date: 4/30/2010
Perf: $886.32 Date: 3/31/2010
Perf: $872.53 Date: 2/28/2010
Perf: $822.91 Date: 1/31/2010
Perf: $798.17 Date: 12/31/2009
Perf: $827.98 Date: 11/30/2009
Perf: $812.30 Date: 10/31/2009
Perf: $766.32 Date: 9/30/2009
Perf: $780.84 Date: 8/31/2009
Perf: $752.76 Date: 7/31/2009
Perf: $726.54 Date: 6/30/2009
Perf: $675.47 Date: 5/31/2009
Perf: $674.12 Date: 4/30/2009
Perf: $638.43 Date: 3/31/2009
Perf: $582.67 Date: 2/28/2009
Perf: $535.74 Date: 1/31/2009
Perf: $599.60 Date: 12/31/2008
Perf: $654.80 Date: 11/30/2008
Perf: $647.93 Date: 10/31/2008
Perf: $698.05 Date: 9/30/2008
Perf: $838.90 Date: 8/31/2008
Perf: $920.96 Date: 7/31/2008
Perf: $907.80 Date: 6/30/2008
Perf: $915.49 Date: 5/31/2008
Perf: $999.77 Date: 4/30/2008
Perf: $986.94 Date: 3/31/2008
Perf: $941.10 Date: 2/29/2008
Perf: $945.17 Date: 1/31/2008
Perf: $976.92 Date: 12/31/2007
Perf: $1,039.27 Date: 11/30/2007
Perf: $1,046.50 Date: 10/31/2007
Perf: $1,092.15 Date: 9/30/2007
Perf: $1,075.05 Date: 8/31/2007
Perf: $1,036.30 Date: 7/31/2007
Perf: $1,020.98 Date: 6/30/2007
Perf: $1,053.64 Date: 5/31/2007
Perf: $1,071.43 Date: 4/30/2007
Perf: $1,035.30 Date: 3/31/2007
Perf: $991.38 Date: 2/28/2007
Perf: $980.40 Date: 1/31/2007
Perf: $1,000.00 Date: 3/31/2017
Perf: $1,776.28 Date: 2/28/2017
Perf: $1,835.38 Date: 1/31/2017
Perf: $1,869.59 Date: 12/31/2016
Perf: $1,898.45 Date: 11/30/2016
Perf: $1,902.82 Date: 10/31/2016
Perf: $2,017.41 Date: 9/30/2016
Perf: $2,122.70 Date: 8/31/2016
Perf: $2,191.29 Date: 7/31/2016
Perf: $2,326.70 Date: 6/30/2016
Perf: $2,333.23 Date: 5/31/2016
Perf: $2,218.32 Date: 4/30/2016
Perf: $2,329.44 Date: 3/31/2016
Perf: $2,407.19 Date: 2/29/2016
Perf: $2,497.09 Date: 1/31/2016
Perf: $2,454.86 Date: 12/31/2015
Perf: $2,369.56 Date: 11/30/2015
Perf: $2,404.67 Date: 10/31/2015
Perf: $2,329.43 Date: 9/30/2015
Perf: $2,425.73 Date: 8/31/2015
Perf: $2,417.51 Date: 7/31/2015
Perf: $2,392.15 Date: 6/30/2015
Perf: $2,271.75 Date: 5/31/2015
Perf: $2,326.90 Date: 4/30/2015
Perf: $2,307.28 Date: 3/31/2015
Perf: $2,421.07 Date: 2/28/2015
Perf: $2,402.81 Date: 1/31/2015
Perf: $2,431.50 Date: 12/31/2014
Perf: $2,149.68 Date: 11/30/2014
Perf: $2,070.59 Date: 10/31/2014
Perf: $1,908.37 Date: 9/30/2014
Perf: $1,914.31 Date: 8/31/2014
Perf: $1,862.71 Date: 7/31/2014
Perf: $1,801.98 Date: 6/30/2014
Perf: $1,713.08 Date: 5/31/2014
Perf: $1,707.27 Date: 4/30/2014
Perf: $1,704.20 Date: 3/31/2014
Perf: $1,701.99 Date: 2/28/2014
Perf: $1,765.73 Date: 1/31/2014
Perf: $1,743.76 Date: 12/31/2013
Perf: $1,794.92 Date: 11/30/2013
Perf: $1,754.05 Date: 10/31/2013
Perf: $1,697.03 Date: 9/30/2013
Perf: $1,661.15 Date: 8/31/2013
Perf: $1,643.72 Date: 7/31/2013
Perf: $1,707.94 Date: 6/30/2013
Perf: $1,758.41 Date: 5/31/2013
Perf: $1,752.28 Date: 4/30/2013
Perf: $1,753.68 Date: 3/31/2013
Perf: $1,685.58 Date: 2/28/2013
Perf: $1,674.03 Date: 1/31/2013
Perf: $1,682.78 Date: 12/31/2012
Perf: $1,631.23 Date: 11/30/2012
Perf: $1,621.02 Date: 10/31/2012
Perf: $1,645.71 Date: 9/30/2012
Perf: $1,728.32 Date: 8/31/2012
Perf: $1,809.95 Date: 7/31/2012
Perf: $1,836.77 Date: 6/30/2012
Perf: $1,814.63 Date: 5/31/2012
Perf: $1,930.87 Date: 4/30/2012
Perf: $1,804.72 Date: 3/31/2012
Perf: $1,749.43 Date: 2/29/2012
Perf: $1,776.26 Date: 1/31/2012
Perf: $1,826.48 Date: 12/31/2011
Perf: $1,877.94 Date: 11/30/2011
Perf: $1,853.47 Date: 10/31/2011
Perf: $1,841.14 Date: 9/30/2011
Perf: $1,923.66 Date: 8/31/2011
Perf: $2,005.49 Date: 7/31/2011
Perf: $1,985.04 Date: 6/30/2011
Perf: $1,927.97 Date: 5/31/2011
Perf: $1,973.76 Date: 4/30/2011
Perf: $2,033.13 Date: 3/31/2011
Perf: $1,960.02 Date: 2/28/2011
Perf: $1,988.46 Date: 1/31/2011
Perf: $1,914.19 Date: 12/31/2010
Perf: $1,918.22 Date: 11/30/2010
Perf: $1,861.08 Date: 10/31/2010
Perf: $1,896.35 Date: 9/30/2010
Perf: $1,795.28 Date: 8/31/2010
Perf: $1,763.53 Date: 7/31/2010
Perf: $1,612.45 Date: 6/30/2010
Perf: $1,677.54 Date: 5/31/2010
Perf: $1,688.00 Date: 4/30/2010
Perf: $1,748.14 Date: 3/31/2010
Perf: $1,738.40 Date: 2/28/2010
Perf: $1,679.29 Date: 1/31/2010
Perf: $1,641.38 Date: 12/31/2009
Perf: $1,698.44 Date: 11/30/2009
Perf: $1,769.03 Date: 10/31/2009
Perf: $1,626.39 Date: 9/30/2009
Perf: $1,699.12 Date: 8/31/2009
Perf: $1,644.68 Date: 7/31/2009
Perf: $1,575.51 Date: 6/30/2009
Perf: $1,576.14 Date: 5/31/2009
Perf: $1,571.90 Date: 4/30/2009
Perf: $1,619.68 Date: 3/31/2009
Perf: $1,650.04 Date: 2/28/2009
Perf: $1,712.19 Date: 1/31/2009
Perf: $1,720.28 Date: 12/31/2008
Perf: $1,735.55 Date: 11/30/2008
Perf: $1,697.69 Date: 10/31/2008
Perf: $1,660.17 Date: 9/30/2008
Perf: $1,387.52 Date: 8/31/2008
Perf: $1,330.83 Date: 7/31/2008
Perf: $1,377.53 Date: 6/30/2008
Perf: $1,480.89 Date: 5/31/2008
Perf: $1,420.39 Date: 4/30/2008
Perf: $1,405.35 Date: 3/31/2008
Perf: $1,445.39 Date: 2/29/2008
Perf: $1,462.79 Date: 1/31/2008
Perf: $1,230.89 Date: 12/31/2007
Perf: $1,176.87 Date: 11/30/2007
Perf: $1,150.75 Date: 10/31/2007
Perf: $1,165.32 Date: 9/30/2007
Perf: $1,087.76 Date: 8/31/2007
Perf: $975.40 Date: 7/31/2007
Perf: $1,013.08 Date: 6/30/2007
Perf: $1,089.45 Date: 5/31/2007
Perf: $1,043.14 Date: 4/30/2007
Perf: $988.19 Date: 3/31/2007
Perf: $906.18 Date: 2/28/2007
Perf: $934.50 Date: 1/31/2007
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 01/07 - 03/17
Date: 3/31/2017
Return: -3.22 % Date: 2/28/2017
Return: -1.83 % Date: 1/31/2017
Return: -1.52 % Date: 12/31/2016
Return: -0.23 % Date: 11/30/2016
Return: -5.68 % Date: 10/31/2016
Return: -4.96 % Date: 9/30/2016
Return: -3.13 % Date: 8/31/2016
Return: -5.82 % Date: 7/31/2016
Return: -0.28 % Date: 6/30/2016
Return: 5.18 % Date: 5/31/2016
Return: -4.77 % Date: 4/30/2016
Return: -3.23 % Date: 3/31/2016
Return: -3.60 % Date: 2/29/2016
Return: 1.72 % Date: 1/31/2016
Return: 3.60 % Date: 12/31/2015
Return: -1.46 % Date: 11/30/2015
Return: 3.23 % Date: 10/31/2015
Return: -3.97 % Date: 9/30/2015
Return: 0.34 % Date: 8/31/2015
Return: 1.06 % Date: 7/31/2015
Return: 5.30 % Date: 6/30/2015
Return: -2.37 % Date: 5/31/2015
Return: 0.85 % Date: 4/30/2015
Return: -4.70 % Date: 3/31/2015
Return: 0.76 % Date: 2/28/2015
Return: -1.18 % Date: 1/31/2015
Return: 13.11 % Date: 12/31/2014
Return: 3.82 % Date: 11/30/2014
Return: 8.50 % Date: 10/31/2014
Return: -0.31 % Date: 9/30/2014
Return: 2.77 % Date: 8/31/2014
Return: 3.37 % Date: 7/31/2014
Return: 5.19 % Date: 6/30/2014
Return: 0.34 % Date: 5/31/2014
Return: 0.18 % Date: 4/30/2014
Return: 0.13 % Date: 3/31/2014
Return: -3.61 % Date: 2/28/2014
Return: 1.26 % Date: 1/31/2014
Return: -2.85 % Date: 12/31/2013
Return: 2.33 % Date: 11/30/2013
Return: 3.36 % Date: 10/31/2013
Return: 2.16 % Date: 9/30/2013
Return: 1.06 % Date: 8/31/2013
Return: -3.76 % Date: 7/31/2013
Return: -2.87 % Date: 6/30/2013
Return: 0.35 % Date: 5/31/2013
Return: -0.08 % Date: 4/30/2013
Return: 4.04 % Date: 3/31/2013
Return: 0.69 % Date: 2/28/2013
Return: -0.52 % Date: 1/31/2013
Return: 3.16 % Date: 12/31/2012
Return: 0.63 % Date: 11/30/2012
Return: -1.50 % Date: 10/31/2012
Return: -4.78 % Date: 9/30/2012
Return: -4.51 % Date: 8/31/2012
Return: -1.46 % Date: 7/31/2012
Return: 1.22 % Date: 6/30/2012
Return: -6.02 % Date: 5/31/2012
Return: 6.99 % Date: 4/30/2012
Return: 3.16 % Date: 3/31/2012
Return: -1.51 % Date: 2/29/2012
Return: -2.75 % Date: 1/31/2012
Return: -2.74 % Date: 12/31/2011
Return: 1.32 % Date: 11/30/2011
Return: 0.67 % Date: 10/31/2011
Return: -4.29 % Date: 9/30/2011
Return: -4.08 % Date: 8/31/2011
Return: 1.03 % Date: 7/31/2011
Return: 2.96 % Date: 6/30/2011
Return: -2.32 % Date: 5/31/2011
Return: -2.92 % Date: 4/30/2011
Return: 3.73 % Date: 3/31/2011
Return: -1.43 % Date: 2/28/2011
Return: 3.88 % Date: 1/31/2011
Return: -0.21 % Date: 12/31/2010
Return: 3.07 % Date: 11/30/2010
Return: -1.86 % Date: 10/31/2010
Return: 5.63 % Date: 9/30/2010
Return: 1.80 % Date: 8/31/2010
Return: 9.37 % Date: 7/31/2010
Return: -3.88 % Date: 6/30/2010
Return: -0.62 % Date: 5/31/2010
Return: -3.44 % Date: 4/30/2010
Return: 0.56 % Date: 3/31/2010
Return: 3.52 % Date: 2/28/2010
Return: 2.31 % Date: 1/31/2010
Return: -3.36 % Date: 12/31/2009
Return: -3.99 % Date: 11/30/2009
Return: 8.77 % Date: 10/31/2009
Return: -4.28 % Date: 9/30/2009
Return: 3.31 % Date: 8/31/2009
Return: 4.39 % Date: 7/31/2009
Return: -0.04 % Date: 6/30/2009
Return: 0.27 % Date: 5/31/2009
Return: -2.95 % Date: 4/30/2009
Return: -1.84 % Date: 3/31/2009
Return: -3.63 % Date: 2/28/2009
Return: -0.47 % Date: 1/31/2009
Return: -0.88 % Date: 12/31/2008
Return: 2.23 % Date: 11/30/2008
Return: 2.26 % Date: 10/31/2008
Return: 19.65 % Date: 9/30/2008
Return: 4.26 % Date: 8/31/2008
Return: -3.39 % Date: 7/31/2008
Return: -6.98 % Date: 6/30/2008
Return: 4.26 % Date: 5/31/2008
Return: 1.07 % Date: 4/30/2008
Return: -2.77 % Date: 3/31/2008
Return: -1.19 % Date: 2/29/2008
Return: 18.84 % Date: 1/31/2008
Return: 4.59 % Date: 12/31/2007
Return: 2.27 % Date: 11/30/2007
Return: -1.25 % Date: 10/31/2007
Return: 7.13 % Date: 9/30/2007
Return: 11.52 % Date: 8/31/2007
Return: -3.72 % Date: 7/31/2007
Return: -7.01 % Date: 6/30/2007
Return: 4.44 % Date: 5/31/2007
Return: 5.56 % Date: 4/30/2007
Return: 9.05 % Date: 3/31/2007
Return: -3.03 % Date: 2/28/2007
Return: -6.55 % Date: 1/31/2007
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 01/07 - 03/17
Return: 13.00 %
Count: 1 Return: -5.00 %
Count: 5 Return: -6.00 %
Count: 3 Return: 3.00 %
Count: 9 Return: -2.00 %
Count: 8 Return: 20.00 %
Count: 1 Return: 1.00 %
Count: 13 Return: 19.00 %
Count: 1 Return: 5.00 %
Count: 4 Return: 2.00 %
Count: 8 Return: -1.00 %
Count: 9 Return: 7.00 %
Count: 2 Return: 12.00 %
Count: 1 Return: -4.00 %
Count: 11 Return: 4.00 %
Count: 10 Return: 6.00 %
Count: 2 Return: 9.00 %
Count: 4 Return: -3.00 %
Count: 14 Return: -7.00 %
Count: 3 Return: 0.00 %
Count: 14
Note: All performance data is since program inception.

Underwater Curve
Date Range: 01/07 - 03/17
Date: 3/31/2017
Drawdown: -28.87 % Date: 2/28/2017
Drawdown: -26.50 % Date: 1/31/2017
Drawdown: -25.13 % Date: 12/31/2016
Drawdown: -23.97 % Date: 11/30/2016
Drawdown: -23.80 % Date: 10/31/2016
Drawdown: -19.21 % Date: 9/30/2016
Drawdown: -14.99 % Date: 8/31/2016
Drawdown: -12.25 % Date: 7/31/2016
Drawdown: -6.82 % Date: 6/30/2016
Drawdown: -6.56 % Date: 5/31/2016
Drawdown: -11.16 % Date: 4/30/2016
Drawdown: -6.71 % Date: 3/31/2016
Drawdown: -3.60 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: 0.00 % Date: 12/31/2015
Drawdown: -2.55 % Date: 11/30/2015
Drawdown: -1.10 % Date: 10/31/2015
Drawdown: -4.20 % Date: 9/30/2015
Drawdown: -0.24 % Date: 8/31/2015
Drawdown: -0.58 % Date: 7/31/2015
Drawdown: -1.62 % Date: 6/30/2015
Drawdown: -6.57 % Date: 5/31/2015
Drawdown: -4.30 % Date: 4/30/2015
Drawdown: -5.11 % Date: 3/31/2015
Drawdown: -0.43 % Date: 2/28/2015
Drawdown: -1.18 % Date: 1/31/2015
Drawdown: 0.00 % Date: 12/31/2014
Drawdown: 0.00 % Date: 11/30/2014
Drawdown: 0.00 % Date: 10/31/2014
Drawdown: -6.14 % Date: 9/30/2014
Drawdown: -5.84 % Date: 8/31/2014
Drawdown: -8.38 % Date: 7/31/2014
Drawdown: -11.37 % Date: 6/30/2014
Drawdown: -15.74 % Date: 5/31/2014
Drawdown: -16.03 % Date: 4/30/2014
Drawdown: -16.18 % Date: 3/31/2014
Drawdown: -16.29 % Date: 2/28/2014
Drawdown: -13.15 % Date: 1/31/2014
Drawdown: -14.23 % Date: 12/31/2013
Drawdown: -11.72 % Date: 11/30/2013
Drawdown: -13.73 % Date: 10/31/2013
Drawdown: -16.53 % Date: 9/30/2013
Drawdown: -18.30 % Date: 8/31/2013
Drawdown: -19.15 % Date: 7/31/2013
Drawdown: -15.99 % Date: 6/30/2013
Drawdown: -13.51 % Date: 5/31/2013
Drawdown: -13.81 % Date: 4/30/2013
Drawdown: -13.74 % Date: 3/31/2013
Drawdown: -17.09 % Date: 2/28/2013
Drawdown: -17.66 % Date: 1/31/2013
Drawdown: -17.23 % Date: 12/31/2012
Drawdown: -19.77 % Date: 11/30/2012
Drawdown: -20.27 % Date: 10/31/2012
Drawdown: -19.06 % Date: 9/30/2012
Drawdown: -14.99 % Date: 8/31/2012
Drawdown: -10.98 % Date: 7/31/2012
Drawdown: -9.66 % Date: 6/30/2012
Drawdown: -10.75 % Date: 5/31/2012
Drawdown: -5.03 % Date: 4/30/2012
Drawdown: -11.23 % Date: 3/31/2012
Drawdown: -13.95 % Date: 2/29/2012
Drawdown: -12.63 % Date: 1/31/2012
Drawdown: -10.16 % Date: 12/31/2011
Drawdown: -7.63 % Date: 11/30/2011
Drawdown: -8.84 % Date: 10/31/2011
Drawdown: -9.44 % Date: 9/30/2011
Drawdown: -5.38 % Date: 8/31/2011
Drawdown: -1.36 % Date: 7/31/2011
Drawdown: -2.37 % Date: 6/30/2011
Drawdown: -5.17 % Date: 5/31/2011
Drawdown: -2.92 % Date: 4/30/2011
Drawdown: 0.00 % Date: 3/31/2011
Drawdown: -1.43 % Date: 2/28/2011
Drawdown: 0.00 % Date: 1/31/2011
Drawdown: -0.21 % Date: 12/31/2010
Drawdown: 0.00 % Date: 11/30/2010
Drawdown: -1.86 % Date: 10/31/2010
Drawdown: 0.00 % Date: 9/30/2010
Drawdown: 0.00 % Date: 8/31/2010
Drawdown: -0.31 % Date: 7/31/2010
Drawdown: -8.85 % Date: 6/30/2010
Drawdown: -5.17 % Date: 5/31/2010
Drawdown: -4.58 % Date: 4/30/2010
Drawdown: -1.18 % Date: 3/31/2010
Drawdown: -1.73 % Date: 2/28/2010
Drawdown: -5.07 % Date: 1/31/2010
Drawdown: -7.22 % Date: 12/31/2009
Drawdown: -3.99 % Date: 11/30/2009
Drawdown: 0.00 % Date: 10/31/2009
Drawdown: -6.29 % Date: 9/30/2009
Drawdown: -2.10 % Date: 8/31/2009
Drawdown: -5.24 % Date: 7/31/2009
Drawdown: -9.22 % Date: 6/30/2009
Drawdown: -9.18 % Date: 5/31/2009
Drawdown: -9.43 % Date: 4/30/2009
Drawdown: -6.68 % Date: 3/31/2009
Drawdown: -4.93 % Date: 2/28/2009
Drawdown: -1.35 % Date: 1/31/2009
Drawdown: -0.88 % Date: 12/31/2008
Drawdown: 0.00 % Date: 11/30/2008
Drawdown: 0.00 % Date: 10/31/2008
Drawdown: 0.00 % Date: 9/30/2008
Drawdown: -6.31 % Date: 8/31/2008
Drawdown: -10.13 % Date: 7/31/2008
Drawdown: -6.98 % Date: 6/30/2008
Drawdown: 0.00 % Date: 5/31/2008
Drawdown: -2.90 % Date: 4/30/2008
Drawdown: -3.93 % Date: 3/31/2008
Drawdown: -1.19 % Date: 2/29/2008
Drawdown: 0.00 % Date: 1/31/2008
Drawdown: 0.00 % Date: 12/31/2007
Drawdown: 0.00 % Date: 11/30/2007
Drawdown: -1.25 % Date: 10/31/2007
Drawdown: 0.00 % Date: 9/30/2007
Drawdown: -0.16 % Date: 8/31/2007
Drawdown: -10.47 % Date: 7/31/2007
Drawdown: -7.01 % Date: 6/30/2007
Drawdown: 0.00 % Date: 5/31/2007
Drawdown: 0.00 % Date: 4/30/2007
Drawdown: -1.18 % Date: 3/31/2007
Drawdown: -9.38 % Date: 2/28/2007
Drawdown: -6.55 %
Note: All performance data is since program inception.
Notes to Performance

The performance information shown is a composite of the accounts traded under this program and does not reflect the performance of any single account. The results shown are net of all fees and expenses. Performance results of individual accounts may vary as a result of differing fees, account size, the timing of the entry of orders and other factors.

The performance presented includes a Canadian limited partnership available only to Canadian investors. Although considered a client account by the Ontario Securities Commission, this limited partnership is comprised of both client and proprietary assets and has at times contained greater than 50% proprietary assets.

All client accounts since 1996, either under IMFC or Aero Capital Corporation (a predecessor company acquired by IMFC), have been and continue to be managed by Mr. Austrup who is President, Chief Executive Officer, Director and an associated person of both IMFC and was once a principal and associated person of Aero Capital Corporation. Additionally the strategies currently used at IMFC to manage client accounts are the same strategies as those developed and used by Aero Capital Corporation to manage client accounts from 1996 until March 2003, when IMFC purchased the operations of Aero Capital Corporation. For supplemental performance information prior to 2002, please see IMFC's disclosure document.

Manager Information
Manager Name:  Integrated Managed Futures Corp.
Address: 70 University Avenue, Suite 1200
City: Toronto
State: ONT
Zip: M5J 2M4
Country: Canada
Key People
Name:  Robert Koloshuk
Position:  Principal
Biography: 

Mr. Koloshuk has been registered with the CFTC as an associated person since June, 2004, and is an associate member of the National Futures Association. Mr. Koloshuk has been conducting research exclusive to the Managed Futures industry since September of 2002, and he has been working extensively in collaboration with Professor Kolkiewiez at the University of Waterloo for the past five years. Mr. Koloshuk is also a computer programmer and a trade execution and account management supervisor. Mr. Koloshuk holds a B.A. (Honours Philosophy) from the University of Guelph, where he specialized in Machine Functionalism.


Name:  David Mather
Position:  Principal
Biography: 

Vice-President, Director and Principal, Integrated Managed Futures Corp. since 2003, President & Chief Operating Officer since June, 2011. Registered with the CFTC as an Associated Person since March, 2010. Associate Member of the National Futures Association. Member of the MFA. Executive Vice President, Integrated Asset Management Corp. since 2001, Director since 2004. Director, River Plate House Capital Management Inc. Previously Managing Director, SEI Investments, and Managing Director, Fidelity Group Pensions. Senior Vice-President, Elliott & Page, 1990-1997. Vice-President, Crown Life Investment Management, 1983-1990. Past Chair, Board of Governors, Royal St .George's College, Treasurer & Director, Royal St. George’s College Foundation, Treasurer, Director and Chair, Investment Committee, Boys and Girls Clubs of Canada Foundation, Chair, Investment Committee, Heart and Stroke Foundation of Ontario, Chair, Pension Committee, Heart and Stroke Foundation of Canada. Past director Genesis Research Foundation and past Chair and director of Toronto Brigantine Inc. B.A. (Honours), University of Waterloo, M.A., University of Waterloo.


Name:  Roland Austrup
Position:  Principal
Biography: 

Mr. Austrup has been the Chief Executive Officer, Chief Investment Officer and a Director of IMFC since June 9, 2003. Mr. Austrup is responsible for strategic planning and development and enhancement of the trading programs. Mr. Austrup has been registered with the CFTC in the United States as an Associated Person and Principal of the Advisor since June 2003 and with the OSC as an Advisor since February 1999. Mr. Austrup is an Associate Member of the NFA and a member of the Managed Funds Association. He is a director of the Master of Quantitative Finance program at the University of Waterloo. B.A. (Hons.), University of Western Ontario.


Name:  Stephen Johnson
Position:  Principal
Biography: 

Mr. Johnson has been Chairman, Director, and listed principal of IMFC since June 2003. He is a Director of IMFC and also provides financial oversight and advice. Mr. Johnson has acted as CFO and Director of both Integrated Asset Management Corp. (“IAM”) since June, 1999 and BluMont Capital Inc. since December 2000, and since July 2001 has served as a Senior Vice-President, at Integrated Partners (a wholly-owned subsidiary of IAM that undertakes private equity investments) where Mr. Johnson monitors and oversees the firm’s various portfolio investments. He has also served Vice-President of Koloshuk Farrugia Corp., a holding company for Messrs Koloshuk’s and Johnson’s equity interest in IAM since February, 1989. He was also a Director of Independent Equity Research Corp., a firm providing independent equity research to investors from June, 1999 to December 2008. Mr. Johnson has a B.Sc. Hons. (Econ) from Southampton University, and is both a Chartered Accountant (Scotland), Chartered Accountant and Chartered Business Valuator.


Name:  Veronika Hirsch
Position:  Principal
Biography: 

Veronika Hirsch, B.Comm., FLMI, has been a listed principal of IMFC since June 2003. Since June 1998, Ms. Hirsch has also been Chief Investment Officer and a Director of Blumont Capital Corporation, a subsidiary and principal of Integrated Asset Management Corp. Ms. Hirsch is also a Director of Integrated Asset Management Corp. since June 1998 and as such, has the normal oversight responsibilities of a director of a Canadian public company. Ms. Hirsch holds a B. Comm. From McGill University and is a Fellow, Life Management Institute.


Name:  Victor Koloshuk, MBA, CFA
Position:  Principal
Biography: 

Victor Koloshuk, B.Sc., M.B.A., CFA, has been a listed principal of IMFC since June 2003. He provides strategic direction to IMFC. Mr. Koloshuk is also Chairman, President, Chief Executive Officer, founder and a Director of Integrated Asset Management Corp.(IAM) since March 1998, co-founder and Chairman of Integrated Partners, and co-founder, Chairman, President, Chief Executive Officer and a Director of Koloshuk Farrugia Corp. since June 1988. Mr. Koloshuk holds a B.Sc. and M.B.A. from McGill University and is a Chartered Financial Analyst (CFA).


Name:  Bryan Chuah, B.Sc.
Position:  Director
Biography: 

Bryan joined IMFC in June, 2009. Prior to joining IMFC, Mr. Chuah was a proprietary equity trader with Vibe Equities in Edmonton. Bryan is a candidate for a Masters in Quantitative Finance at the University of Waterloo. He has been registered with the CFTC as an Associated Person since October 2009, and is an associate member of the National Futures Association. B.Sc., University of Alberta.


Name:  Paul Patterson, B.A., J.D, M.B.A., CAIA
Position:  Director
Biography: 

Paul has been registered with the CFTC as an Associated Person since April, 2011 and is an associate member of the National Futures Association. Paul joined Integrated Asset Management in 2008 as Vice-President, Private Investment. For the 4 years prior to that, he was Associate Vice-President, Institutional and Offshore at BluMont Capital, a wholly-owned subsidiary of IAM. Prior to joining BluMont, Paul practiced corporate and securities law with Lang Michener LLP and served as legal and policy counsel with the Toronto Stock Exchange. Paul is past President of the Boys and Girls Clubs of Ontario. Paul has a B.A. in political science from Carleton University, a J.D. from the University of Toronto and an M.B.A. from Northwestern University’s J. L. Kellogg School of Management. Called to the Ontario Bar in February, 1999. He is a CAIA charterholder.


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.