Altegris Clearing Solutions Crescent Bay Capital Management, Inc. Balanced Volatility Program
Monthly Performance (%)
Date Range: 07/07 - 03/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 1.43 0.41 3.43 5.34
2016 0.75 -1.36 -2.93 -2.46 2.79 -1.99 0.86 1.16 1.35 0.56 1.19 2.00 1.74
2015 5.28 -0.30 1.35 0.87 1.59 -1.46 1.58 16.88 1.59 -2.52 0.89 0.38 27.91
2014 -1.76 -5.58 6.24 0.75 0.83 -4.35 -2.36 2.75 2.46 4.18 -3.19 3.29 2.54
2013 0.25 -5.79 -3.33 2.54 -26.52 2.05 0.15 -0.05 -1.54 -0.05 -2.54 1.86 -31.35
2012 1.77 1.42 -3.30 2.59 2.12 0.26 0.55 3.42 -1.71 -5.20 -0.95 4.39 5.03
2011 -1.17 1.01 3.08 2.30 3.47 -0.63 -4.40 -4.87 4.85 -7.21 0.63 2.43 -1.29
2010 -4.40 5.25 1.24 -0.75 6.25 10.78 4.55 11.39 -4.30 0.36 0.53 -3.98 28.49
2009 3.35 -0.24 -11.46 0.68 0.81 0.63 -4.29 -1.57 2.39 -3.45 6.48 4.21 -3.65
2008 -3.80 13.90 5.50 2.20 -1.63 -0.47 0.31 0.96 -15.96 -6.29 -2.18 1.49 -8.41
2007 4.00 7.10 12.40 12.10 -4.20 34.45
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The objective of the Balanced Volatility Program (BVP) is to achieve substantial capital appreciation through the speculative trading of options on futures contracts using “Non-Directional” proprietary strategies. A secondary objective of the Balanced Volatility Program (BVP) is to offset volatility risks, which are inherent in short option or premium selling programs, while offering the benefits of an absolute return strategy. The BVP works well as a hedging tool when combined with a premium-selling program such as the Premium Stock Index Program (PSIP) or as a standalone investment. It is well documented that selling premium (short options) is profitable in quiet or low volatility markets, however, when volatility increases sharply, many months or even years of profit can be lost if risk is not properly managed. The foundation of the strategy used in the BVP blends various short and long options to create an overall position that is buffered from increases in volatility. Furthermore, positions are strategically placed across different calendar months providing an overall net long volatility position. These core elements combined with a robust adjustment protocol result in a balanced strategy. Positions are placed using proprietary strike level and ratio algorithms to achieve a strategy that can be profitable in flat or volatile market conditions. Stop limits derived as a function of account value and real-time monitoring of positions are the primary risk controls. Furthermore, the BVP only participates in high liquidity markets (currently the S&P 500 Emini and Pit option contracts).

Performance Statistics
Date Range: 07/07 - 03/17
  Program SP500 TR Altegris 40
Total Return 52.52% 94.18% 19.79%
Annualized Return 4.46% 7.04% 1.87%
Annualized Std. Deviation 17.87% 15.33% 9.15%
Correlation -0.12 0.19
Sharpe Ratio (rf=2.5%) 0.11 0.30 -0.07
Worst Month -26.52% -16.79% -5.20%
Date of Worst Month 05/2013 10/2008 06/2015
Worst Drawdown -39.38% -50.95% -15.74%
Date of Worst Drawdown 5/11 - 2/14 10/07 - 2/09 4/11 - 9/13
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 07/07 - 03/17
Year or YTD Program SP500 TR Altegris 40
2017 5.34 6.07 -0.61
2016 1.74 11.98 -3.13
2015 27.91 1.41 0.09
2014 2.54 13.69 15.75
2013 -31.35 32.41 -2.45
2012 5.03 15.98 -4.75
2011 -1.29 2.12 -3.23
2010 28.49 15.06 11.33
2009 -3.65 26.45 -7.98
2008 -8.41 -36.99 15.47
2007 34.45 1.79 4.19
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 07/07 - 03/17
Date: 3/31/2017
Perf: $1,236.13 Date: 2/28/2017
Perf: $1,254.44 Date: 1/31/2017
Perf: $1,227.68 Date: 12/31/2016
Perf: $1,243.72 Date: 11/30/2016
Perf: $1,234.34 Date: 10/31/2016
Perf: $1,248.07 Date: 9/30/2016
Perf: $1,281.12 Date: 8/31/2016
Perf: $1,297.87 Date: 7/31/2016
Perf: $1,333.74 Date: 6/30/2016
Perf: $1,320.28 Date: 5/31/2016
Perf: $1,266.45 Date: 4/30/2016
Perf: $1,289.01 Date: 3/31/2016
Perf: $1,322.20 Date: 2/29/2016
Perf: $1,361.26 Date: 1/31/2016
Perf: $1,328.58 Date: 12/31/2015
Perf: $1,283.90 Date: 11/30/2015
Perf: $1,314.13 Date: 10/31/2015
Perf: $1,270.79 Date: 9/30/2015
Perf: $1,293.30 Date: 8/31/2015
Perf: $1,265.83 Date: 7/31/2015
Perf: $1,288.11 Date: 6/30/2015
Perf: $1,239.64 Date: 5/31/2015
Perf: $1,307.64 Date: 4/30/2015
Perf: $1,317.12 Date: 3/31/2015
Perf: $1,370.00 Date: 2/28/2015
Perf: $1,340.38 Date: 1/31/2015
Perf: $1,342.53 Date: 12/31/2014
Perf: $1,282.75 Date: 11/30/2014
Perf: $1,260.57 Date: 10/31/2014
Perf: $1,189.78 Date: 9/30/2014
Perf: $1,172.54 Date: 8/31/2014
Perf: $1,155.33 Date: 7/31/2014
Perf: $1,108.44 Date: 6/30/2014
Perf: $1,117.38 Date: 5/31/2014
Perf: $1,107.85 Date: 4/30/2014
Perf: $1,080.20 Date: 3/31/2014
Perf: $1,072.05 Date: 2/28/2014
Perf: $1,088.15 Date: 1/31/2014
Perf: $1,079.30 Date: 12/31/2013
Perf: $1,108.23 Date: 11/30/2013
Perf: $1,109.78 Date: 10/31/2013
Perf: $1,090.05 Date: 9/30/2013
Perf: $1,065.65 Date: 8/31/2013
Perf: $1,072.08 Date: 7/31/2013
Perf: $1,093.07 Date: 6/30/2013
Perf: $1,102.66 Date: 5/31/2013
Perf: $1,146.10 Date: 4/30/2013
Perf: $1,197.60 Date: 3/31/2013
Perf: $1,167.47 Date: 2/28/2013
Perf: $1,150.90 Date: 1/31/2013
Perf: $1,157.62 Date: 12/31/2012
Perf: $1,136.03 Date: 11/30/2012
Perf: $1,130.49 Date: 10/31/2012
Perf: $1,127.34 Date: 9/30/2012
Perf: $1,169.68 Date: 8/31/2012
Perf: $1,189.30 Date: 7/31/2012
Perf: $1,205.70 Date: 6/30/2012
Perf: $1,158.32 Date: 5/31/2012
Perf: $1,203.58 Date: 4/30/2012
Perf: $1,181.14 Date: 3/31/2012
Perf: $1,174.09 Date: 2/29/2012
Perf: $1,201.36 Date: 1/31/2012
Perf: $1,196.46 Date: 12/31/2011
Perf: $1,192.64 Date: 11/30/2011
Perf: $1,181.30 Date: 10/31/2011
Perf: $1,177.77 Date: 9/30/2011
Perf: $1,226.33 Date: 8/31/2011
Perf: $1,227.07 Date: 7/31/2011
Perf: $1,229.52 Date: 6/30/2011
Perf: $1,186.91 Date: 5/31/2011
Perf: $1,218.60 Date: 4/30/2011
Perf: $1,264.76 Date: 3/31/2011
Perf: $1,217.29 Date: 2/28/2011
Perf: $1,236.20 Date: 1/31/2011
Perf: $1,215.54 Date: 12/31/2010
Perf: $1,232.42 Date: 11/30/2010
Perf: $1,181.73 Date: 10/31/2010
Perf: $1,225.09 Date: 9/30/2010
Perf: $1,179.34 Date: 8/31/2010
Perf: $1,158.26 Date: 7/31/2010
Perf: $1,112.21 Date: 6/30/2010
Perf: $1,126.74 Date: 5/31/2010
Perf: $1,122.48 Date: 4/30/2010
Perf: $1,150.32 Date: 3/31/2010
Perf: $1,132.87 Date: 2/28/2010
Perf: $1,089.61 Date: 1/31/2010
Perf: $1,079.47 Date: 12/31/2009
Perf: $1,107.03 Date: 11/30/2009
Perf: $1,153.16 Date: 10/31/2009
Perf: $1,108.49 Date: 9/30/2009
Perf: $1,137.61 Date: 8/31/2009
Perf: $1,111.16 Date: 7/31/2009
Perf: $1,107.51 Date: 6/30/2009
Perf: $1,108.73 Date: 5/31/2009
Perf: $1,139.03 Date: 4/30/2009
Perf: $1,123.52 Date: 3/31/2009
Perf: $1,161.50 Date: 2/28/2009
Perf: $1,194.59 Date: 1/31/2009
Perf: $1,195.19 Date: 12/31/2008
Perf: $1,203.01 Date: 11/30/2008
Perf: $1,172.87 Date: 10/31/2008
Perf: $1,131.35 Date: 9/30/2008
Perf: $1,075.94 Date: 8/31/2008
Perf: $1,073.68 Date: 7/31/2008
Perf: $1,103.13 Date: 6/30/2008
Perf: $1,156.20 Date: 5/31/2008
Perf: $1,126.14 Date: 4/30/2008
Perf: $1,103.41 Date: 3/31/2008
Perf: $1,116.24 Date: 2/29/2008
Perf: $1,121.18 Date: 1/31/2008
Perf: $1,060.82 Date: 12/31/2007
Perf: $1,041.85 Date: 11/30/2007
Perf: $1,044.26 Date: 10/31/2007
Perf: $1,051.09 Date: 9/30/2007
Perf: $1,007.66 Date: 8/31/2007
Perf: $962.70 Date: 7/31/2007
Perf: $1,000.00 Date: 3/31/2017
Perf: $2,003.90 Date: 2/28/2017
Perf: $2,001.50 Date: 1/31/2017
Perf: $1,925.08 Date: 12/31/2016
Perf: $1,889.18 Date: 11/30/2016
Perf: $1,852.50 Date: 10/31/2016
Perf: $1,786.40 Date: 9/30/2016
Perf: $1,819.52 Date: 8/31/2016
Perf: $1,819.16 Date: 7/31/2016
Perf: $1,816.61 Date: 6/30/2016
Perf: $1,751.96 Date: 5/31/2016
Perf: $1,747.42 Date: 4/30/2016
Perf: $1,716.52 Date: 3/31/2016
Perf: $1,709.86 Date: 2/29/2016
Perf: $1,601.29 Date: 1/31/2016
Perf: $1,603.37 Date: 12/31/2015
Perf: $1,687.05 Date: 11/30/2015
Perf: $1,714.13 Date: 10/31/2015
Perf: $1,709.01 Date: 9/30/2015
Perf: $1,575.99 Date: 8/31/2015
Perf: $1,615.91 Date: 7/31/2015
Perf: $1,719.60 Date: 6/30/2015
Perf: $1,684.23 Date: 5/31/2015
Perf: $1,717.55 Date: 4/30/2015
Perf: $1,695.67 Date: 3/31/2015
Perf: $1,679.55 Date: 2/28/2015
Perf: $1,706.51 Date: 1/31/2015
Perf: $1,613.72 Date: 12/31/2014
Perf: $1,663.63 Date: 11/30/2014
Perf: $1,667.80 Date: 10/31/2014
Perf: $1,624.11 Date: 9/30/2014
Perf: $1,585.43 Date: 8/31/2014
Perf: $1,607.94 Date: 7/31/2014
Perf: $1,546.10 Date: 6/30/2014
Perf: $1,567.73 Date: 5/31/2014
Perf: $1,535.94 Date: 4/30/2014
Perf: $1,500.67 Date: 3/31/2014
Perf: $1,489.65 Date: 2/28/2014
Perf: $1,477.24 Date: 1/31/2014
Perf: $1,412.68 Date: 12/31/2013
Perf: $1,463.31 Date: 11/30/2013
Perf: $1,427.20 Date: 10/31/2013
Perf: $1,384.96 Date: 9/30/2013
Perf: $1,324.06 Date: 8/31/2013
Perf: $1,283.75 Date: 7/31/2013
Perf: $1,322.09 Date: 6/30/2013
Perf: $1,258.05 Date: 5/31/2013
Perf: $1,275.14 Date: 4/30/2013
Perf: $1,245.98 Date: 3/31/2013
Perf: $1,222.39 Date: 2/28/2013
Perf: $1,178.21 Date: 1/31/2013
Perf: $1,162.40 Date: 12/31/2012
Perf: $1,105.15 Date: 11/30/2012
Perf: $1,095.19 Date: 10/31/2012
Perf: $1,088.87 Date: 9/30/2012
Perf: $1,109.39 Date: 8/31/2012
Perf: $1,081.49 Date: 7/31/2012
Perf: $1,057.69 Date: 6/30/2012
Perf: $1,043.19 Date: 5/31/2012
Perf: $1,001.91 Date: 4/30/2012
Perf: $1,065.98 Date: 3/31/2012
Perf: $1,072.74 Date: 2/29/2012
Perf: $1,038.57 Date: 1/31/2012
Perf: $995.56 Date: 12/31/2011
Perf: $952.87 Date: 11/30/2011
Perf: $943.25 Date: 10/31/2011
Perf: $945.33 Date: 9/30/2011
Perf: $852.19 Date: 8/31/2011
Perf: $916.63 Date: 7/31/2011
Perf: $969.26 Date: 6/30/2011
Perf: $989.34 Date: 5/31/2011
Perf: $1,006.14 Date: 4/30/2011
Perf: $1,017.64 Date: 3/31/2011
Perf: $988.39 Date: 2/28/2011
Perf: $987.99 Date: 1/31/2011
Perf: $955.23 Date: 12/31/2010
Perf: $933.11 Date: 11/30/2010
Perf: $874.68 Date: 10/31/2010
Perf: $874.59 Date: 9/30/2010
Perf: $842.50 Date: 8/31/2010
Perf: $773.50 Date: 7/31/2010
Perf: $810.03 Date: 6/30/2010
Perf: $756.97 Date: 5/31/2010
Perf: $798.74 Date: 4/30/2010
Perf: $868.10 Date: 3/31/2010
Perf: $854.60 Date: 2/28/2010
Perf: $806.00 Date: 1/31/2010
Perf: $781.77 Date: 12/31/2009
Perf: $810.96 Date: 11/30/2009
Perf: $795.60 Date: 10/31/2009
Perf: $750.57 Date: 9/30/2009
Perf: $764.80 Date: 8/31/2009
Perf: $737.29 Date: 7/31/2009
Perf: $711.61 Date: 6/30/2009
Perf: $661.59 Date: 5/31/2009
Perf: $660.27 Date: 4/30/2009
Perf: $625.31 Date: 3/31/2009
Perf: $570.70 Date: 2/28/2009
Perf: $524.73 Date: 1/31/2009
Perf: $587.28 Date: 12/31/2008
Perf: $641.34 Date: 11/30/2008
Perf: $634.61 Date: 10/31/2008
Perf: $683.70 Date: 9/30/2008
Perf: $821.66 Date: 8/31/2008
Perf: $902.03 Date: 7/31/2008
Perf: $889.14 Date: 6/30/2008
Perf: $896.67 Date: 5/31/2008
Perf: $979.22 Date: 4/30/2008
Perf: $966.65 Date: 3/31/2008
Perf: $921.76 Date: 2/29/2008
Perf: $925.74 Date: 1/31/2008
Perf: $956.84 Date: 12/31/2007
Perf: $1,017.92 Date: 11/30/2007
Perf: $1,024.99 Date: 10/31/2007
Perf: $1,069.70 Date: 9/30/2007
Perf: $1,052.96 Date: 8/31/2007
Perf: $1,015.00 Date: 7/31/2007
Perf: $1,000.00 Date: 3/31/2017
Perf: $1,525.24 Date: 2/28/2017
Perf: $1,474.66 Date: 1/31/2017
Perf: $1,468.64 Date: 12/31/2016
Perf: $1,447.94 Date: 11/30/2016
Perf: $1,419.55 Date: 10/31/2016
Perf: $1,402.85 Date: 9/30/2016
Perf: $1,395.04 Date: 8/31/2016
Perf: $1,376.46 Date: 7/31/2016
Perf: $1,360.67 Date: 6/30/2016
Perf: $1,349.07 Date: 5/31/2016
Perf: $1,376.46 Date: 4/30/2016
Perf: $1,339.10 Date: 3/31/2016
Perf: $1,372.87 Date: 2/29/2016
Perf: $1,414.31 Date: 1/31/2016
Perf: $1,433.81 Date: 12/31/2015
Perf: $1,423.14 Date: 11/30/2015
Perf: $1,417.75 Date: 10/31/2015
Perf: $1,405.25 Date: 9/30/2015
Perf: $1,441.57 Date: 8/31/2015
Perf: $1,419.01 Date: 7/31/2015
Perf: $1,214.08 Date: 6/30/2015
Perf: $1,195.19 Date: 5/31/2015
Perf: $1,212.90 Date: 4/30/2015
Perf: $1,193.92 Date: 3/31/2015
Perf: $1,183.62 Date: 2/28/2015
Perf: $1,167.85 Date: 1/31/2015
Perf: $1,171.37 Date: 12/31/2014
Perf: $1,112.62 Date: 11/30/2014
Perf: $1,077.18 Date: 10/31/2014
Perf: $1,112.68 Date: 9/30/2014
Perf: $1,068.03 Date: 8/31/2014
Perf: $1,042.39 Date: 7/31/2014
Perf: $1,014.49 Date: 6/30/2014
Perf: $1,039.01 Date: 5/31/2014
Perf: $1,086.26 Date: 4/30/2014
Perf: $1,077.32 Date: 3/31/2014
Perf: $1,069.30 Date: 2/28/2014
Perf: $1,006.50 Date: 1/31/2014
Perf: $1,065.98 Date: 12/31/2013
Perf: $1,085.08 Date: 11/30/2013
Perf: $1,065.26 Date: 10/31/2013
Perf: $1,093.03 Date: 9/30/2013
Perf: $1,093.57 Date: 8/31/2013
Perf: $1,110.68 Date: 7/31/2013
Perf: $1,111.23 Date: 6/30/2013
Perf: $1,109.57 Date: 5/31/2013
Perf: $1,087.28 Date: 4/30/2013
Perf: $1,479.69 Date: 3/31/2013
Perf: $1,443.04 Date: 2/28/2013
Perf: $1,492.75 Date: 1/31/2013
Perf: $1,584.49 Date: 12/31/2012
Perf: $1,580.54 Date: 11/30/2012
Perf: $1,514.07 Date: 10/31/2012
Perf: $1,528.59 Date: 9/30/2012
Perf: $1,612.44 Date: 8/31/2012
Perf: $1,640.49 Date: 7/31/2012
Perf: $1,586.24 Date: 6/30/2012
Perf: $1,577.57 Date: 5/31/2012
Perf: $1,573.47 Date: 4/30/2012
Perf: $1,540.81 Date: 3/31/2012
Perf: $1,501.91 Date: 2/29/2012
Perf: $1,553.16 Date: 1/31/2012
Perf: $1,531.42 Date: 12/31/2011
Perf: $1,504.78 Date: 11/30/2011
Perf: $1,469.09 Date: 10/31/2011
Perf: $1,459.89 Date: 9/30/2011
Perf: $1,573.32 Date: 8/31/2011
Perf: $1,500.55 Date: 7/31/2011
Perf: $1,577.37 Date: 6/30/2011
Perf: $1,649.96 Date: 5/31/2011
Perf: $1,660.42 Date: 4/30/2011
Perf: $1,604.74 Date: 3/31/2011
Perf: $1,568.66 Date: 2/28/2011
Perf: $1,521.79 Date: 1/31/2011
Perf: $1,506.57 Date: 12/31/2010
Perf: $1,524.41 Date: 11/30/2010
Perf: $1,587.60 Date: 10/31/2010
Perf: $1,579.23 Date: 9/30/2010
Perf: $1,573.56 Date: 8/31/2010
Perf: $1,644.26 Date: 7/31/2010
Perf: $1,476.13 Date: 6/30/2010
Perf: $1,411.89 Date: 5/31/2010
Perf: $1,274.50 Date: 4/30/2010
Perf: $1,199.53 Date: 3/31/2010
Perf: $1,208.59 Date: 2/28/2010
Perf: $1,193.79 Date: 1/31/2010
Perf: $1,134.24 Date: 12/31/2009
Perf: $1,186.45 Date: 11/30/2009
Perf: $1,138.52 Date: 10/31/2009
Perf: $1,069.23 Date: 9/30/2009
Perf: $1,107.44 Date: 8/31/2009
Perf: $1,081.59 Date: 7/31/2009
Perf: $1,098.84 Date: 6/30/2009
Perf: $1,148.09 Date: 5/31/2009
Perf: $1,140.90 Date: 4/30/2009
Perf: $1,131.74 Date: 3/31/2009
Perf: $1,124.09 Date: 2/28/2009
Perf: $1,269.59 Date: 1/31/2009
Perf: $1,272.64 Date: 12/31/2008
Perf: $1,231.39 Date: 11/30/2008
Perf: $1,213.31 Date: 10/31/2008
Perf: $1,240.35 Date: 9/30/2008
Perf: $1,323.61 Date: 8/31/2008
Perf: $1,574.97 Date: 7/31/2008
Perf: $1,560.00 Date: 6/30/2008
Perf: $1,555.17 Date: 5/31/2008
Perf: $1,562.52 Date: 4/30/2008
Perf: $1,588.41 Date: 3/31/2008
Perf: $1,554.22 Date: 2/29/2008
Perf: $1,473.19 Date: 1/31/2008
Perf: $1,293.41 Date: 12/31/2007
Perf: $1,344.50 Date: 11/30/2007
Perf: $1,403.44 Date: 10/31/2007
Perf: $1,251.96 Date: 9/30/2007
Perf: $1,113.84 Date: 8/31/2007
Perf: $1,040.00 Date: 7/31/2007
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 07/07 - 03/17
Date: 3/31/2017
Return: 3.43 % Date: 2/28/2017
Return: 0.41 % Date: 1/31/2017
Return: 1.43 % Date: 12/31/2016
Return: 2.00 % Date: 11/30/2016
Return: 1.19 % Date: 10/31/2016
Return: 0.56 % Date: 9/30/2016
Return: 1.35 % Date: 8/31/2016
Return: 1.16 % Date: 7/31/2016
Return: 0.86 % Date: 6/30/2016
Return: -1.99 % Date: 5/31/2016
Return: 2.79 % Date: 4/30/2016
Return: -2.46 % Date: 3/31/2016
Return: -2.93 % Date: 2/29/2016
Return: -1.36 % Date: 1/31/2016
Return: 0.75 % Date: 12/31/2015
Return: 0.38 % Date: 11/30/2015
Return: 0.89 % Date: 10/31/2015
Return: -2.52 % Date: 9/30/2015
Return: 1.59 % Date: 8/31/2015
Return: 16.88 % Date: 7/31/2015
Return: 1.58 % Date: 6/30/2015
Return: -1.46 % Date: 5/31/2015
Return: 1.59 % Date: 4/30/2015
Return: 0.87 % Date: 3/31/2015
Return: 1.35 % Date: 2/28/2015
Return: -0.30 % Date: 1/31/2015
Return: 5.28 % Date: 12/31/2014
Return: 3.29 % Date: 11/30/2014
Return: -3.19 % Date: 10/31/2014
Return: 4.18 % Date: 9/30/2014
Return: 2.46 % Date: 8/31/2014
Return: 2.75 % Date: 7/31/2014
Return: -2.36 % Date: 6/30/2014
Return: -4.35 % Date: 5/31/2014
Return: 0.83 % Date: 4/30/2014
Return: 0.75 % Date: 3/31/2014
Return: 6.24 % Date: 2/28/2014
Return: -5.58 % Date: 1/31/2014
Return: -1.76 % Date: 12/31/2013
Return: 1.86 % Date: 11/30/2013
Return: -2.54 % Date: 10/31/2013
Return: -0.05 % Date: 9/30/2013
Return: -1.54 % Date: 8/31/2013
Return: -0.05 % Date: 7/31/2013
Return: 0.15 % Date: 6/30/2013
Return: 2.05 % Date: 5/31/2013
Return: -26.52 % Date: 4/30/2013
Return: 2.54 % Date: 3/31/2013
Return: -3.33 % Date: 2/28/2013
Return: -5.79 % Date: 1/31/2013
Return: 0.25 % Date: 12/31/2012
Return: 4.39 % Date: 11/30/2012
Return: -0.95 % Date: 10/31/2012
Return: -5.20 % Date: 9/30/2012
Return: -1.71 % Date: 8/31/2012
Return: 3.42 % Date: 7/31/2012
Return: 0.55 % Date: 6/30/2012
Return: 0.26 % Date: 5/31/2012
Return: 2.12 % Date: 4/30/2012
Return: 2.59 % Date: 3/31/2012
Return: -3.30 % Date: 2/29/2012
Return: 1.42 % Date: 1/31/2012
Return: 1.77 % Date: 12/31/2011
Return: 2.43 % Date: 11/30/2011
Return: 0.63 % Date: 10/31/2011
Return: -7.21 % Date: 9/30/2011
Return: 4.85 % Date: 8/31/2011
Return: -4.87 % Date: 7/31/2011
Return: -4.40 % Date: 6/30/2011
Return: -0.63 % Date: 5/31/2011
Return: 3.47 % Date: 4/30/2011
Return: 2.30 % Date: 3/31/2011
Return: 3.08 % Date: 2/28/2011
Return: 1.01 % Date: 1/31/2011
Return: -1.17 % Date: 12/31/2010
Return: -3.98 % Date: 11/30/2010
Return: 0.53 % Date: 10/31/2010
Return: 0.36 % Date: 9/30/2010
Return: -4.30 % Date: 8/31/2010
Return: 11.39 % Date: 7/31/2010
Return: 4.55 % Date: 6/30/2010
Return: 10.78 % Date: 5/31/2010
Return: 6.25 % Date: 4/30/2010
Return: -0.75 % Date: 3/31/2010
Return: 1.24 % Date: 2/28/2010
Return: 5.25 % Date: 1/31/2010
Return: -4.40 % Date: 12/31/2009
Return: 4.21 % Date: 11/30/2009
Return: 6.48 % Date: 10/31/2009
Return: -3.45 % Date: 9/30/2009
Return: 2.39 % Date: 8/31/2009
Return: -1.57 % Date: 7/31/2009
Return: -4.29 % Date: 6/30/2009
Return: 0.63 % Date: 5/31/2009
Return: 0.81 % Date: 4/30/2009
Return: 0.68 % Date: 3/31/2009
Return: -11.46 % Date: 2/28/2009
Return: -0.24 % Date: 1/31/2009
Return: 3.35 % Date: 12/31/2008
Return: 1.49 % Date: 11/30/2008
Return: -2.18 % Date: 10/31/2008
Return: -6.29 % Date: 9/30/2008
Return: -15.96 % Date: 8/31/2008
Return: 0.96 % Date: 7/31/2008
Return: 0.31 % Date: 6/30/2008
Return: -0.47 % Date: 5/31/2008
Return: -1.63 % Date: 4/30/2008
Return: 2.20 % Date: 3/31/2008
Return: 5.50 % Date: 2/29/2008
Return: 13.90 % Date: 1/31/2008
Return: -3.80 % Date: 12/31/2007
Return: -4.20 % Date: 11/30/2007
Return: 12.10 % Date: 10/31/2007
Return: 12.40 % Date: 9/30/2007
Return: 7.10 % Date: 8/31/2007
Return: 4.00 % Date: 7/31/2007
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 07/07 - 03/17
Return: 17.00 %
Count: 1 Return: -27.00 %
Count: 1 Return: -7.00 %
Count: 1 Return: -5.00 %
Count: 2 Return: 11.00 %
Count: 2 Return: -1.00 %
Count: 6 Return: 5.00 %
Count: 4 Return: -3.00 %
Count: 7 Return: -11.00 %
Count: 1 Return: 3.00 %
Count: 10 Return: -6.00 %
Count: 3 Return: -16.00 %
Count: 1 Return: 1.00 %
Count: 23 Return: -2.00 %
Count: 9 Return: 2.00 %
Count: 13 Return: 6.00 %
Count: 4 Return: 14.00 %
Count: 1 Return: -4.00 %
Count: 8 Return: 12.00 %
Count: 2 Return: 7.00 %
Count: 1 Return: 4.00 %
Count: 4 Return: 0.00 %
Count: 13
Note: All performance data is since program inception.

Underwater Curve
Date Range: 07/07 - 03/17
Date: 3/31/2017
Drawdown: -8.14 % Date: 2/28/2017
Drawdown: -11.19 % Date: 1/31/2017
Drawdown: -11.55 % Date: 12/31/2016
Drawdown: -12.80 % Date: 11/30/2016
Drawdown: -14.51 % Date: 10/31/2016
Drawdown: -15.51 % Date: 9/30/2016
Drawdown: -15.98 % Date: 8/31/2016
Drawdown: -17.10 % Date: 7/31/2016
Drawdown: -18.05 % Date: 6/30/2016
Drawdown: -18.75 % Date: 5/31/2016
Drawdown: -17.10 % Date: 4/30/2016
Drawdown: -19.35 % Date: 3/31/2016
Drawdown: -17.32 % Date: 2/29/2016
Drawdown: -14.82 % Date: 1/31/2016
Drawdown: -13.65 % Date: 12/31/2015
Drawdown: -14.29 % Date: 11/30/2015
Drawdown: -14.62 % Date: 10/31/2015
Drawdown: -15.37 % Date: 9/30/2015
Drawdown: -13.18 % Date: 8/31/2015
Drawdown: -14.54 % Date: 7/31/2015
Drawdown: -26.88 % Date: 6/30/2015
Drawdown: -28.02 % Date: 5/31/2015
Drawdown: -26.95 % Date: 4/30/2015
Drawdown: -28.10 % Date: 3/31/2015
Drawdown: -28.72 % Date: 2/28/2015
Drawdown: -29.67 % Date: 1/31/2015
Drawdown: -29.45 % Date: 12/31/2014
Drawdown: -32.99 % Date: 11/30/2014
Drawdown: -35.13 % Date: 10/31/2014
Drawdown: -32.99 % Date: 9/30/2014
Drawdown: -35.68 % Date: 8/31/2014
Drawdown: -37.22 % Date: 7/31/2014
Drawdown: -38.90 % Date: 6/30/2014
Drawdown: -37.42 % Date: 5/31/2014
Drawdown: -34.58 % Date: 4/30/2014
Drawdown: -35.12 % Date: 3/31/2014
Drawdown: -35.60 % Date: 2/28/2014
Drawdown: -39.38 % Date: 1/31/2014
Drawdown: -35.80 % Date: 12/31/2013
Drawdown: -34.65 % Date: 11/30/2013
Drawdown: -35.84 % Date: 10/31/2013
Drawdown: -34.17 % Date: 9/30/2013
Drawdown: -34.14 % Date: 8/31/2013
Drawdown: -33.11 % Date: 7/31/2013
Drawdown: -33.08 % Date: 6/30/2013
Drawdown: -33.18 % Date: 5/31/2013
Drawdown: -34.52 % Date: 4/30/2013
Drawdown: -10.88 % Date: 3/31/2013
Drawdown: -13.09 % Date: 2/28/2013
Drawdown: -10.10 % Date: 1/31/2013
Drawdown: -4.57 % Date: 12/31/2012
Drawdown: -4.81 % Date: 11/30/2012
Drawdown: -8.81 % Date: 10/31/2012
Drawdown: -7.94 % Date: 9/30/2012
Drawdown: -2.89 % Date: 8/31/2012
Drawdown: -1.20 % Date: 7/31/2012
Drawdown: -4.47 % Date: 6/30/2012
Drawdown: -4.99 % Date: 5/31/2012
Drawdown: -5.24 % Date: 4/30/2012
Drawdown: -7.20 % Date: 3/31/2012
Drawdown: -9.55 % Date: 2/29/2012
Drawdown: -6.46 % Date: 1/31/2012
Drawdown: -7.77 % Date: 12/31/2011
Drawdown: -9.37 % Date: 11/30/2011
Drawdown: -11.52 % Date: 10/31/2011
Drawdown: -12.08 % Date: 9/30/2011
Drawdown: -5.25 % Date: 8/31/2011
Drawdown: -9.63 % Date: 7/31/2011
Drawdown: -5.00 % Date: 6/30/2011
Drawdown: -0.63 % Date: 5/31/2011
Drawdown: 0.00 % Date: 4/30/2011
Drawdown: -2.40 % Date: 3/31/2011
Drawdown: -4.60 % Date: 2/28/2011
Drawdown: -7.45 % Date: 1/31/2011
Drawdown: -8.37 % Date: 12/31/2010
Drawdown: -7.29 % Date: 11/30/2010
Drawdown: -3.45 % Date: 10/31/2010
Drawdown: -3.96 % Date: 9/30/2010
Drawdown: -4.30 % Date: 8/31/2010
Drawdown: 0.00 % Date: 7/31/2010
Drawdown: -7.07 % Date: 6/30/2010
Drawdown: -11.11 % Date: 5/31/2010
Drawdown: -19.76 % Date: 4/30/2010
Drawdown: -24.48 % Date: 3/31/2010
Drawdown: -23.91 % Date: 2/28/2010
Drawdown: -24.84 % Date: 1/31/2010
Drawdown: -28.59 % Date: 12/31/2009
Drawdown: -25.31 % Date: 11/30/2009
Drawdown: -28.32 % Date: 10/31/2009
Drawdown: -32.69 % Date: 9/30/2009
Drawdown: -30.28 % Date: 8/31/2009
Drawdown: -31.91 % Date: 7/31/2009
Drawdown: -30.82 % Date: 6/30/2009
Drawdown: -27.72 % Date: 5/31/2009
Drawdown: -28.17 % Date: 4/30/2009
Drawdown: -28.75 % Date: 3/31/2009
Drawdown: -29.23 % Date: 2/28/2009
Drawdown: -20.07 % Date: 1/31/2009
Drawdown: -19.88 % Date: 12/31/2008
Drawdown: -22.48 % Date: 11/30/2008
Drawdown: -23.61 % Date: 10/31/2008
Drawdown: -21.91 % Date: 9/30/2008
Drawdown: -16.67 % Date: 8/31/2008
Drawdown: -0.85 % Date: 7/31/2008
Drawdown: -1.79 % Date: 6/30/2008
Drawdown: -2.09 % Date: 5/31/2008
Drawdown: -1.63 % Date: 4/30/2008
Drawdown: 0.00 % Date: 3/31/2008
Drawdown: 0.00 % Date: 2/29/2008
Drawdown: 0.00 % Date: 1/31/2008
Drawdown: -7.84 % Date: 12/31/2007
Drawdown: -4.20 % Date: 11/30/2007
Drawdown: 0.00 % Date: 10/31/2007
Drawdown: 0.00 % Date: 9/30/2007
Drawdown: 0.00 % Date: 8/31/2007
Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Crescent Bay Capital Management, Inc.
Address: 1201 Puerta Del Sol, Suite 224
City: San Clemente
State: CA
Zip: 92673
Country: USA
Key People
Name:  David T. Bedford
Position:  Principal
Biography: 

David Bedford graduated in April 1990 from Pepperdine University in Malibu, California with a Bachelor of Science degree in Sports Medicine. Upon graduation he became a Principal of Bedford Hardwood (a wood flooring sales and contracting company) and later, Sand Vac Systems (a manufacturer of dust retrieval systems for the construction industry). In May 1996, Mr. Bedford managed projects using statistical and quantitative testing methods (a prelude to his future career in trading systems research) as a Biomaterials Research Associate at University of California at San Francisco. From January 1998 - February 2007 he was employed as a District Sales Manager by GC America, an International dental products manufacturer. In August 1998, while remaining gainfully employed, David Bedford began graduate coursework in quantitative analysis, statistics, and information technology at Golden Gate University. These studies, combined with his interest in the markets, launched the pursuit of profitable trading methods research. Since August 1999, Mr. Bedford has been an active trader, testing his methods and skills in the stock and futures markets. He established Crescent Bay Capital Management, Inc. and continues to serve as President. Successful development of multiple trading systems led him to register CBCM as a Commodity Trading Advisor (CTA) for the purpose of managing client accounts. Crescent Bay Capital Management, Inc. (CBCM) was formed January 20th, 2003 for the purpose of trading and market research. CBCM has been registered with the National Futures Association (NFA) and Commodity Futures Trading Commission (CFTC) as a CTA since August 23rd, 2004; and as a Commodity Pool Operator (“CPO”) since November 14th, 2006. David Bedford continues to research multiple trading strategies and alternative markets in addition to constant management and refinement of CBCM’s currently offered managed account programs, the Premium Stock Index Program (PSIP) and the Balanced Volatility Program (BVP). He also manages a limited partnership commodity pool, the Crescent Bay Diversified Futures Fund, L.P.


Name:  Justin Stephan
Position:  Trader
Biography: 

Mr. Stephan is a longtime trader of the equity and equity options markets. Prior to his association with CBCM, he managed proprietary and family accounts and has 10+ years of “live” trading experience. Mr. Stephan is NASD Series 3 examination qualified.


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.