Altegris Clearing Solutions John Locke Investments JLC Long Flat Program *QEP* *FRN*
Monthly Performance (%)
Date Range: 11/07 - 02/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 -2.58 -1.06 -3.61
2016 -1.20 -3.21 1.80 5.01 0.17 1.33 -1.47 -3.09 -1.44 -1.05 -0.65 2.43 -1.67
2015 -0.55 -0.24 -3.62 2.61 -2.88 -0.88 -3.76 0.11 -2.02 -1.61 -1.06 -0.53 -13.66
2014 -0.36 4.98 0.30 0.72 -2.61 0.59 -1.27 -0.25 -3.04 -0.77 -1.07 -0.63 -3.57
2013 1.99 -2.44 0.65 -1.00 -2.37 -1.77 1.18 0.72 -2.27 -1.31 -0.62 0.65 -6.52
2012 0.10 2.34 -2.62 -1.19 -2.81 0.89 4.29 1.69 0.01 -4.09 -0.84 -1.29 -3.76
2011 2.51 3.26 0.24 0.91 -3.99 -2.11 0.33 -0.34 -6.54 1.58 0.16 -2.50 -6.71
2010 -5.33 -0.40 1.66 -0.25 -5.07 0.18 2.50 -1.31 6.50 4.96 -1.69 9.95 11.14
2009 -3.21 -1.50 0.63 0.49 9.29 -0.37 1.02 -0.26 -1.27 1.62 2.12 1.59 10.09
2008 0.59 11.79 -6.88 1.83 3.77 5.82 -5.40 -1.27 -1.65 -0.63 -0.59 -0.33 5.90
2007 1.51 1.51
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The Fund seeks to take advantage of upward moves in global commodity markets via its trend following investment approach. Where upward price pressure is in evidence in commodity markets then a long position will be entered into by the Fund. Conversely, where downward price pressure is prevalent then the Fund will seek to achieve a flat or cash position. Fixed allocations are made to the metal, energy, grain and soft commodity sectors. This exposure is dynamically rebalanced to ensure the underlying contracts within the Fund maintain their appropriate weighting. On a yearly basis, sector allocations are reviewed and may be adjusted at the discretion of the investment manager.

Performance Statistics
Date Range: 11/07 - 02/17
  Program SP500 TR Altegris 40
Total Return -12.90% 87.11% 19.35%
Annualized Return -1.48% 6.94% 1.91%
Annualized Std. Deviation 10.24% 15.59% 8.97%
Correlation 0.31 0.27
Sharpe Ratio (rf=2.5%) -0.39 0.29 -0.07
Worst Month -6.88% -16.79% -5.20%
Date of Worst Month 03/2008 10/2008 06/2015
Worst Drawdown -38.15% -50.95% -15.74%
Date of Worst Drawdown 4/11 - 2/17 11/07 - 2/09 4/11 - 9/13
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 11/07 - 02/17
Year or YTD Program SP500 TR Altegris 40
2017 -3.61 5.95 0.86
2016 -1.67 11.98 -3.13
2015 -13.66 1.41 0.09
2014 -3.57 13.69 15.75
2013 -6.52 32.41 -2.45
2012 -3.76 15.98 -4.75
2011 -6.71 2.12 -3.23
2010 11.14 15.06 11.33
2009 10.09 26.45 -7.98
2008 5.90 -36.99 15.47
2007 1.51 -0.69 -0.23
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 11/07 - 02/17
Date: 2/28/2017
Perf: $1,201.28 Date: 1/31/2017
Perf: $1,175.65 Date: 12/31/2016
Perf: $1,191.01 Date: 11/30/2016
Perf: $1,182.03 Date: 10/31/2016
Perf: $1,195.18 Date: 9/30/2016
Perf: $1,226.83 Date: 8/31/2016
Perf: $1,242.86 Date: 7/31/2016
Perf: $1,277.22 Date: 6/30/2016
Perf: $1,264.32 Date: 5/31/2016
Perf: $1,212.78 Date: 4/30/2016
Perf: $1,234.38 Date: 3/31/2016
Perf: $1,266.16 Date: 2/29/2016
Perf: $1,303.57 Date: 1/31/2016
Perf: $1,272.28 Date: 12/31/2015
Perf: $1,229.49 Date: 11/30/2015
Perf: $1,258.43 Date: 10/31/2015
Perf: $1,216.94 Date: 9/30/2015
Perf: $1,238.49 Date: 8/31/2015
Perf: $1,212.18 Date: 7/31/2015
Perf: $1,233.52 Date: 6/30/2015
Perf: $1,187.11 Date: 5/31/2015
Perf: $1,252.22 Date: 4/30/2015
Perf: $1,261.30 Date: 3/31/2015
Perf: $1,311.94 Date: 2/28/2015
Perf: $1,283.58 Date: 1/31/2015
Perf: $1,285.63 Date: 12/31/2014
Perf: $1,228.39 Date: 11/30/2014
Perf: $1,207.14 Date: 10/31/2014
Perf: $1,139.35 Date: 9/30/2014
Perf: $1,122.85 Date: 8/31/2014
Perf: $1,106.36 Date: 7/31/2014
Perf: $1,061.46 Date: 6/30/2014
Perf: $1,070.02 Date: 5/31/2014
Perf: $1,060.90 Date: 4/30/2014
Perf: $1,034.42 Date: 3/31/2014
Perf: $1,026.62 Date: 2/28/2014
Perf: $1,042.04 Date: 1/31/2014
Perf: $1,033.56 Date: 12/31/2013
Perf: $1,061.26 Date: 11/30/2013
Perf: $1,062.75 Date: 10/31/2013
Perf: $1,043.86 Date: 9/30/2013
Perf: $1,020.49 Date: 8/31/2013
Perf: $1,026.65 Date: 7/31/2013
Perf: $1,046.74 Date: 6/30/2013
Perf: $1,055.93 Date: 5/31/2013
Perf: $1,097.53 Date: 4/30/2013
Perf: $1,146.84 Date: 3/31/2013
Perf: $1,118.00 Date: 2/28/2013
Perf: $1,102.13 Date: 1/31/2013
Perf: $1,108.56 Date: 12/31/2012
Perf: $1,087.89 Date: 11/30/2012
Perf: $1,082.58 Date: 10/31/2012
Perf: $1,079.56 Date: 9/30/2012
Perf: $1,120.11 Date: 8/31/2012
Perf: $1,138.90 Date: 7/31/2012
Perf: $1,154.60 Date: 6/30/2012
Perf: $1,109.23 Date: 5/31/2012
Perf: $1,152.57 Date: 4/30/2012
Perf: $1,131.08 Date: 3/31/2012
Perf: $1,124.33 Date: 2/29/2012
Perf: $1,150.45 Date: 1/31/2012
Perf: $1,145.75 Date: 12/31/2011
Perf: $1,142.10 Date: 11/30/2011
Perf: $1,131.24 Date: 10/31/2011
Perf: $1,127.85 Date: 9/30/2011
Perf: $1,174.36 Date: 8/31/2011
Perf: $1,175.06 Date: 7/31/2011
Perf: $1,177.42 Date: 6/30/2011
Perf: $1,136.61 Date: 5/31/2011
Perf: $1,166.95 Date: 4/30/2011
Perf: $1,211.16 Date: 3/31/2011
Perf: $1,165.70 Date: 2/28/2011
Perf: $1,183.81 Date: 1/31/2011
Perf: $1,164.02 Date: 12/31/2010
Perf: $1,180.19 Date: 11/30/2010
Perf: $1,131.64 Date: 10/31/2010
Perf: $1,173.17 Date: 9/30/2010
Perf: $1,129.35 Date: 8/31/2010
Perf: $1,109.17 Date: 7/31/2010
Perf: $1,065.07 Date: 6/30/2010
Perf: $1,078.99 Date: 5/31/2010
Perf: $1,074.91 Date: 4/30/2010
Perf: $1,101.57 Date: 3/31/2010
Perf: $1,084.86 Date: 2/28/2010
Perf: $1,043.43 Date: 1/31/2010
Perf: $1,033.72 Date: 12/31/2009
Perf: $1,060.11 Date: 11/30/2009
Perf: $1,104.29 Date: 10/31/2009
Perf: $1,061.51 Date: 9/30/2009
Perf: $1,089.40 Date: 8/31/2009
Perf: $1,064.07 Date: 7/31/2009
Perf: $1,060.57 Date: 6/30/2009
Perf: $1,061.74 Date: 5/31/2009
Perf: $1,090.75 Date: 4/30/2009
Perf: $1,075.91 Date: 3/31/2009
Perf: $1,112.28 Date: 2/28/2009
Perf: $1,143.96 Date: 1/31/2009
Perf: $1,144.54 Date: 12/31/2008
Perf: $1,152.03 Date: 11/30/2008
Perf: $1,123.16 Date: 10/31/2008
Perf: $1,083.40 Date: 9/30/2008
Perf: $1,030.34 Date: 8/31/2008
Perf: $1,028.18 Date: 7/31/2008
Perf: $1,056.38 Date: 6/30/2008
Perf: $1,107.20 Date: 5/31/2008
Perf: $1,078.41 Date: 4/30/2008
Perf: $1,056.64 Date: 3/31/2008
Perf: $1,068.94 Date: 2/29/2008
Perf: $1,073.66 Date: 1/31/2008
Perf: $1,015.86 Date: 12/31/2007
Perf: $997.70 Date: 11/30/2007
Perf: $1,000.00 Date: 2/28/2017
Perf: $1,952.70 Date: 1/31/2017
Perf: $1,878.14 Date: 12/31/2016
Perf: $1,843.12 Date: 11/30/2016
Perf: $1,807.34 Date: 10/31/2016
Perf: $1,742.85 Date: 9/30/2016
Perf: $1,775.16 Date: 8/31/2016
Perf: $1,774.80 Date: 7/31/2016
Perf: $1,772.32 Date: 6/30/2016
Perf: $1,709.25 Date: 5/31/2016
Perf: $1,704.82 Date: 4/30/2016
Perf: $1,674.67 Date: 3/31/2016
Perf: $1,668.17 Date: 2/29/2016
Perf: $1,562.25 Date: 1/31/2016
Perf: $1,564.28 Date: 12/31/2015
Perf: $1,645.92 Date: 11/30/2015
Perf: $1,672.34 Date: 10/31/2015
Perf: $1,667.34 Date: 9/30/2015
Perf: $1,537.57 Date: 8/31/2015
Perf: $1,576.51 Date: 7/31/2015
Perf: $1,677.67 Date: 6/30/2015
Perf: $1,643.17 Date: 5/31/2015
Perf: $1,675.67 Date: 4/30/2015
Perf: $1,654.33 Date: 3/31/2015
Perf: $1,638.60 Date: 2/28/2015
Perf: $1,664.91 Date: 1/31/2015
Perf: $1,574.38 Date: 12/31/2014
Perf: $1,623.07 Date: 11/30/2014
Perf: $1,627.14 Date: 10/31/2014
Perf: $1,584.52 Date: 9/30/2014
Perf: $1,546.78 Date: 8/31/2014
Perf: $1,568.74 Date: 7/31/2014
Perf: $1,508.40 Date: 6/30/2014
Perf: $1,529.51 Date: 5/31/2014
Perf: $1,498.49 Date: 4/30/2014
Perf: $1,464.09 Date: 3/31/2014
Perf: $1,453.33 Date: 2/28/2014
Perf: $1,441.22 Date: 1/31/2014
Perf: $1,378.24 Date: 12/31/2013
Perf: $1,427.64 Date: 11/30/2013
Perf: $1,392.41 Date: 10/31/2013
Perf: $1,351.20 Date: 9/30/2013
Perf: $1,291.77 Date: 8/31/2013
Perf: $1,252.45 Date: 7/31/2013
Perf: $1,289.85 Date: 6/30/2013
Perf: $1,227.38 Date: 5/31/2013
Perf: $1,244.05 Date: 4/30/2013
Perf: $1,215.60 Date: 3/31/2013
Perf: $1,192.59 Date: 2/28/2013
Perf: $1,149.48 Date: 1/31/2013
Perf: $1,134.06 Date: 12/31/2012
Perf: $1,078.21 Date: 11/30/2012
Perf: $1,068.48 Date: 10/31/2012
Perf: $1,062.32 Date: 9/30/2012
Perf: $1,082.35 Date: 8/31/2012
Perf: $1,055.12 Date: 7/31/2012
Perf: $1,031.91 Date: 6/30/2012
Perf: $1,017.76 Date: 5/31/2012
Perf: $977.49 Date: 4/30/2012
Perf: $1,039.99 Date: 3/31/2012
Perf: $1,046.58 Date: 2/29/2012
Perf: $1,013.25 Date: 1/31/2012
Perf: $971.29 Date: 12/31/2011
Perf: $929.64 Date: 11/30/2011
Perf: $920.25 Date: 10/31/2011
Perf: $922.28 Date: 9/30/2011
Perf: $831.41 Date: 8/31/2011
Perf: $894.28 Date: 7/31/2011
Perf: $945.63 Date: 6/30/2011
Perf: $965.22 Date: 5/31/2011
Perf: $981.61 Date: 4/30/2011
Perf: $992.83 Date: 3/31/2011
Perf: $964.29 Date: 2/28/2011
Perf: $963.90 Date: 1/31/2011
Perf: $931.94 Date: 12/31/2010
Perf: $910.36 Date: 11/30/2010
Perf: $853.36 Date: 10/31/2010
Perf: $853.27 Date: 9/30/2010
Perf: $821.96 Date: 8/31/2010
Perf: $754.64 Date: 7/31/2010
Perf: $790.28 Date: 6/30/2010
Perf: $738.51 Date: 5/31/2010
Perf: $779.27 Date: 4/30/2010
Perf: $846.94 Date: 3/31/2010
Perf: $833.77 Date: 2/28/2010
Perf: $786.35 Date: 1/31/2010
Perf: $762.71 Date: 12/31/2009
Perf: $791.19 Date: 11/30/2009
Perf: $776.21 Date: 10/31/2009
Perf: $732.27 Date: 9/30/2009
Perf: $746.15 Date: 8/31/2009
Perf: $719.32 Date: 7/31/2009
Perf: $694.26 Date: 6/30/2009
Perf: $645.46 Date: 5/31/2009
Perf: $644.17 Date: 4/30/2009
Perf: $610.07 Date: 3/31/2009
Perf: $556.78 Date: 2/28/2009
Perf: $511.94 Date: 1/31/2009
Perf: $572.96 Date: 12/31/2008
Perf: $625.71 Date: 11/30/2008
Perf: $619.14 Date: 10/31/2008
Perf: $667.04 Date: 9/30/2008
Perf: $801.63 Date: 8/31/2008
Perf: $880.04 Date: 7/31/2008
Perf: $867.46 Date: 6/30/2008
Perf: $874.81 Date: 5/31/2008
Perf: $955.35 Date: 4/30/2008
Perf: $943.09 Date: 3/31/2008
Perf: $899.29 Date: 2/29/2008
Perf: $903.17 Date: 1/31/2008
Perf: $933.51 Date: 12/31/2007
Perf: $993.10 Date: 11/30/2007
Perf: $1,000.00 Date: 2/28/2017
Perf: $871.02 Date: 1/31/2017
Perf: $880.35 Date: 12/31/2016
Perf: $903.66 Date: 11/30/2016
Perf: $882.22 Date: 10/31/2016
Perf: $888.00 Date: 9/30/2016
Perf: $897.42 Date: 8/31/2016
Perf: $910.53 Date: 7/31/2016
Perf: $939.56 Date: 6/30/2016
Perf: $953.58 Date: 5/31/2016
Perf: $941.06 Date: 4/30/2016
Perf: $939.47 Date: 3/31/2016
Perf: $894.65 Date: 2/29/2016
Perf: $878.83 Date: 1/31/2016
Perf: $907.97 Date: 12/31/2015
Perf: $919.00 Date: 11/30/2015
Perf: $923.90 Date: 10/31/2015
Perf: $933.79 Date: 9/30/2015
Perf: $949.08 Date: 8/31/2015
Perf: $968.64 Date: 7/31/2015
Perf: $967.58 Date: 6/30/2015
Perf: $1,005.38 Date: 5/31/2015
Perf: $1,014.31 Date: 4/30/2015
Perf: $1,044.38 Date: 3/31/2015
Perf: $1,017.82 Date: 2/28/2015
Perf: $1,056.05 Date: 1/31/2015
Perf: $1,058.59 Date: 12/31/2014
Perf: $1,064.44 Date: 11/30/2014
Perf: $1,071.19 Date: 10/31/2014
Perf: $1,082.78 Date: 9/30/2014
Perf: $1,091.18 Date: 8/31/2014
Perf: $1,125.39 Date: 7/31/2014
Perf: $1,128.21 Date: 6/30/2014
Perf: $1,142.72 Date: 5/31/2014
Perf: $1,136.02 Date: 4/30/2014
Perf: $1,166.47 Date: 3/31/2014
Perf: $1,158.13 Date: 2/28/2014
Perf: $1,154.66 Date: 1/31/2014
Perf: $1,099.89 Date: 12/31/2013
Perf: $1,103.86 Date: 11/30/2013
Perf: $1,096.73 Date: 10/31/2013
Perf: $1,103.58 Date: 9/30/2013
Perf: $1,118.23 Date: 8/31/2013
Perf: $1,144.20 Date: 7/31/2013
Perf: $1,136.02 Date: 6/30/2013
Perf: $1,122.77 Date: 5/31/2013
Perf: $1,143.00 Date: 4/30/2013
Perf: $1,170.75 Date: 3/31/2013
Perf: $1,182.57 Date: 2/28/2013
Perf: $1,174.94 Date: 1/31/2013
Perf: $1,204.32 Date: 12/31/2012
Perf: $1,180.82 Date: 11/30/2012
Perf: $1,196.26 Date: 10/31/2012
Perf: $1,206.39 Date: 9/30/2012
Perf: $1,257.83 Date: 8/31/2012
Perf: $1,257.71 Date: 7/31/2012
Perf: $1,236.81 Date: 6/30/2012
Perf: $1,185.93 Date: 5/31/2012
Perf: $1,175.47 Date: 4/30/2012
Perf: $1,209.45 Date: 3/31/2012
Perf: $1,224.02 Date: 2/29/2012
Perf: $1,256.95 Date: 1/31/2012
Perf: $1,228.21 Date: 12/31/2011
Perf: $1,226.99 Date: 11/30/2011
Perf: $1,258.45 Date: 10/31/2011
Perf: $1,256.44 Date: 9/30/2011
Perf: $1,236.89 Date: 8/31/2011
Perf: $1,323.45 Date: 7/31/2011
Perf: $1,327.96 Date: 6/30/2011
Perf: $1,323.59 Date: 5/31/2011
Perf: $1,352.12 Date: 4/30/2011
Perf: $1,408.32 Date: 3/31/2011
Perf: $1,395.62 Date: 2/28/2011
Perf: $1,392.27 Date: 1/31/2011
Perf: $1,348.32 Date: 12/31/2010
Perf: $1,315.30 Date: 11/30/2010
Perf: $1,196.28 Date: 10/31/2010
Perf: $1,216.84 Date: 9/30/2010
Perf: $1,159.34 Date: 8/31/2010
Perf: $1,088.58 Date: 7/31/2010
Perf: $1,103.03 Date: 6/30/2010
Perf: $1,076.13 Date: 5/31/2010
Perf: $1,074.19 Date: 4/30/2010
Perf: $1,131.56 Date: 3/31/2010
Perf: $1,134.40 Date: 2/28/2010
Perf: $1,115.87 Date: 1/31/2010
Perf: $1,120.36 Date: 12/31/2009
Perf: $1,183.43 Date: 11/30/2009
Perf: $1,164.91 Date: 10/31/2009
Perf: $1,140.73 Date: 9/30/2009
Perf: $1,122.54 Date: 8/31/2009
Perf: $1,136.98 Date: 7/31/2009
Perf: $1,139.95 Date: 6/30/2009
Perf: $1,128.44 Date: 5/31/2009
Perf: $1,132.63 Date: 4/30/2009
Perf: $1,036.35 Date: 3/31/2009
Perf: $1,031.30 Date: 2/28/2009
Perf: $1,024.84 Date: 1/31/2009
Perf: $1,040.45 Date: 12/31/2008
Perf: $1,074.95 Date: 11/30/2008
Perf: $1,078.51 Date: 10/31/2008
Perf: $1,084.91 Date: 9/30/2008
Perf: $1,091.79 Date: 8/31/2008
Perf: $1,110.11 Date: 7/31/2008
Perf: $1,124.39 Date: 6/30/2008
Perf: $1,188.57 Date: 5/31/2008
Perf: $1,123.20 Date: 4/30/2008
Perf: $1,082.39 Date: 3/31/2008
Perf: $1,062.94 Date: 2/29/2008
Perf: $1,141.48 Date: 1/31/2008
Perf: $1,021.09 Date: 12/31/2007
Perf: $1,015.10 Date: 11/30/2007
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 11/07 - 02/17
Date: 2/28/2017
Return: -1.06 % Date: 1/31/2017
Return: -2.58 % Date: 12/31/2016
Return: 2.43 % Date: 11/30/2016
Return: -0.65 % Date: 10/31/2016
Return: -1.05 % Date: 9/30/2016
Return: -1.44 % Date: 8/31/2016
Return: -3.09 % Date: 7/31/2016
Return: -1.47 % Date: 6/30/2016
Return: 1.33 % Date: 5/31/2016
Return: 0.17 % Date: 4/30/2016
Return: 5.01 % Date: 3/31/2016
Return: 1.80 % Date: 2/29/2016
Return: -3.21 % Date: 1/31/2016
Return: -1.20 % Date: 12/31/2015
Return: -0.53 % Date: 11/30/2015
Return: -1.06 % Date: 10/31/2015
Return: -1.61 % Date: 9/30/2015
Return: -2.02 % Date: 8/31/2015
Return: 0.11 % Date: 7/31/2015
Return: -3.76 % Date: 6/30/2015
Return: -0.88 % Date: 5/31/2015
Return: -2.88 % Date: 4/30/2015
Return: 2.61 % Date: 3/31/2015
Return: -3.62 % Date: 2/28/2015
Return: -0.24 % Date: 1/31/2015
Return: -0.55 % Date: 12/31/2014
Return: -0.63 % Date: 11/30/2014
Return: -1.07 % Date: 10/31/2014
Return: -0.77 % Date: 9/30/2014
Return: -3.04 % Date: 8/31/2014
Return: -0.25 % Date: 7/31/2014
Return: -1.27 % Date: 6/30/2014
Return: 0.59 % Date: 5/31/2014
Return: -2.61 % Date: 4/30/2014
Return: 0.72 % Date: 3/31/2014
Return: 0.30 % Date: 2/28/2014
Return: 4.98 % Date: 1/31/2014
Return: -0.36 % Date: 12/31/2013
Return: 0.65 % Date: 11/30/2013
Return: -0.62 % Date: 10/31/2013
Return: -1.31 % Date: 9/30/2013
Return: -2.27 % Date: 8/31/2013
Return: 0.72 % Date: 7/31/2013
Return: 1.18 % Date: 6/30/2013
Return: -1.77 % Date: 5/31/2013
Return: -2.37 % Date: 4/30/2013
Return: -1.00 % Date: 3/31/2013
Return: 0.65 % Date: 2/28/2013
Return: -2.44 % Date: 1/31/2013
Return: 1.99 % Date: 12/31/2012
Return: -1.29 % Date: 11/30/2012
Return: -0.84 % Date: 10/31/2012
Return: -4.09 % Date: 9/30/2012
Return: 0.01 % Date: 8/31/2012
Return: 1.69 % Date: 7/31/2012
Return: 4.29 % Date: 6/30/2012
Return: 0.89 % Date: 5/31/2012
Return: -2.81 % Date: 4/30/2012
Return: -1.19 % Date: 3/31/2012
Return: -2.62 % Date: 2/29/2012
Return: 2.34 % Date: 1/31/2012
Return: 0.10 % Date: 12/31/2011
Return: -2.50 % Date: 11/30/2011
Return: 0.16 % Date: 10/31/2011
Return: 1.58 % Date: 9/30/2011
Return: -6.54 % Date: 8/31/2011
Return: -0.34 % Date: 7/31/2011
Return: 0.33 % Date: 6/30/2011
Return: -2.11 % Date: 5/31/2011
Return: -3.99 % Date: 4/30/2011
Return: 0.91 % Date: 3/31/2011
Return: 0.24 % Date: 2/28/2011
Return: 3.26 % Date: 1/31/2011
Return: 2.51 % Date: 12/31/2010
Return: 9.95 % Date: 11/30/2010
Return: -1.69 % Date: 10/31/2010
Return: 4.96 % Date: 9/30/2010
Return: 6.50 % Date: 8/31/2010
Return: -1.31 % Date: 7/31/2010
Return: 2.50 % Date: 6/30/2010
Return: 0.18 % Date: 5/31/2010
Return: -5.07 % Date: 4/30/2010
Return: -0.25 % Date: 3/31/2010
Return: 1.66 % Date: 2/28/2010
Return: -0.40 % Date: 1/31/2010
Return: -5.33 % Date: 12/31/2009
Return: 1.59 % Date: 11/30/2009
Return: 2.12 % Date: 10/31/2009
Return: 1.62 % Date: 9/30/2009
Return: -1.27 % Date: 8/31/2009
Return: -0.26 % Date: 7/31/2009
Return: 1.02 % Date: 6/30/2009
Return: -0.37 % Date: 5/31/2009
Return: 9.29 % Date: 4/30/2009
Return: 0.49 % Date: 3/31/2009
Return: 0.63 % Date: 2/28/2009
Return: -1.50 % Date: 1/31/2009
Return: -3.21 % Date: 12/31/2008
Return: -0.33 % Date: 11/30/2008
Return: -0.59 % Date: 10/31/2008
Return: -0.63 % Date: 9/30/2008
Return: -1.65 % Date: 8/31/2008
Return: -1.27 % Date: 7/31/2008
Return: -5.40 % Date: 6/30/2008
Return: 5.82 % Date: 5/31/2008
Return: 3.77 % Date: 4/30/2008
Return: 1.83 % Date: 3/31/2008
Return: -6.88 % Date: 2/29/2008
Return: 11.79 % Date: 1/31/2008
Return: 0.59 % Date: 12/31/2007
Return: 1.51 % Date: 11/30/2007
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 11/07 - 02/17
Return: -4.00 %
Count: 4 Return: 3.00 %
Count: 3 Return: 10.00 %
Count: 1 Return: 5.00 %
Count: 3 Return: 7.00 %
Count: 1 Return: 9.00 %
Count: 1 Return: -3.00 %
Count: 9 Return: -2.00 %
Count: 10 Return: -1.00 %
Count: 26 Return: -5.00 %
Count: 3 Return: 6.00 %
Count: 1 Return: 4.00 %
Count: 2 Return: -7.00 %
Count: 2 Return: 12.00 %
Count: 1 Return: 1.00 %
Count: 12 Return: 2.00 %
Count: 13 Return: 0.00 %
Count: 20
Note: All performance data is since program inception.

Underwater Curve
Date Range: 11/07 - 02/17
Date: 2/28/2017
Drawdown: -38.15 % Date: 1/31/2017
Drawdown: -37.49 % Date: 12/31/2016
Drawdown: -35.83 % Date: 11/30/2016
Drawdown: -37.36 % Date: 10/31/2016
Drawdown: -36.95 % Date: 9/30/2016
Drawdown: -36.28 % Date: 8/31/2016
Drawdown: -35.35 % Date: 7/31/2016
Drawdown: -33.28 % Date: 6/30/2016
Drawdown: -32.29 % Date: 5/31/2016
Drawdown: -33.18 % Date: 4/30/2016
Drawdown: -33.29 % Date: 3/31/2016
Drawdown: -36.47 % Date: 2/29/2016
Drawdown: -37.60 % Date: 1/31/2016
Drawdown: -35.53 % Date: 12/31/2015
Drawdown: -34.74 % Date: 11/30/2015
Drawdown: -34.40 % Date: 10/31/2015
Drawdown: -33.69 % Date: 9/30/2015
Drawdown: -32.61 % Date: 8/31/2015
Drawdown: -31.22 % Date: 7/31/2015
Drawdown: -31.30 % Date: 6/30/2015
Drawdown: -28.61 % Date: 5/31/2015
Drawdown: -27.98 % Date: 4/30/2015
Drawdown: -25.84 % Date: 3/31/2015
Drawdown: -27.73 % Date: 2/28/2015
Drawdown: -25.01 % Date: 1/31/2015
Drawdown: -24.83 % Date: 12/31/2014
Drawdown: -24.42 % Date: 11/30/2014
Drawdown: -23.94 % Date: 10/31/2014
Drawdown: -23.12 % Date: 9/30/2014
Drawdown: -22.52 % Date: 8/31/2014
Drawdown: -20.09 % Date: 7/31/2014
Drawdown: -19.89 % Date: 6/30/2014
Drawdown: -18.86 % Date: 5/31/2014
Drawdown: -19.33 % Date: 4/30/2014
Drawdown: -17.17 % Date: 3/31/2014
Drawdown: -17.77 % Date: 2/28/2014
Drawdown: -18.01 % Date: 1/31/2014
Drawdown: -21.90 % Date: 12/31/2013
Drawdown: -21.62 % Date: 11/30/2013
Drawdown: -22.12 % Date: 10/31/2013
Drawdown: -21.64 % Date: 9/30/2013
Drawdown: -20.60 % Date: 8/31/2013
Drawdown: -18.75 % Date: 7/31/2013
Drawdown: -19.33 % Date: 6/30/2013
Drawdown: -20.28 % Date: 5/31/2013
Drawdown: -18.84 % Date: 4/30/2013
Drawdown: -16.87 % Date: 3/31/2013
Drawdown: -16.03 % Date: 2/28/2013
Drawdown: -16.57 % Date: 1/31/2013
Drawdown: -14.48 % Date: 12/31/2012
Drawdown: -16.15 % Date: 11/30/2012
Drawdown: -15.06 % Date: 10/31/2012
Drawdown: -14.34 % Date: 9/30/2012
Drawdown: -10.69 % Date: 8/31/2012
Drawdown: -10.69 % Date: 7/31/2012
Drawdown: -12.18 % Date: 6/30/2012
Drawdown: -15.79 % Date: 5/31/2012
Drawdown: -16.53 % Date: 4/30/2012
Drawdown: -14.12 % Date: 3/31/2012
Drawdown: -13.09 % Date: 2/29/2012
Drawdown: -10.75 % Date: 1/31/2012
Drawdown: -12.79 % Date: 12/31/2011
Drawdown: -12.88 % Date: 11/30/2011
Drawdown: -10.64 % Date: 10/31/2011
Drawdown: -10.78 % Date: 9/30/2011
Drawdown: -12.17 % Date: 8/31/2011
Drawdown: -6.03 % Date: 7/31/2011
Drawdown: -5.71 % Date: 6/30/2011
Drawdown: -6.02 % Date: 5/31/2011
Drawdown: -3.99 % Date: 4/30/2011
Drawdown: 0.00 % Date: 3/31/2011
Drawdown: 0.00 % Date: 2/28/2011
Drawdown: 0.00 % Date: 1/31/2011
Drawdown: 0.00 % Date: 12/31/2010
Drawdown: 0.00 % Date: 11/30/2010
Drawdown: -1.69 % Date: 10/31/2010
Drawdown: 0.00 % Date: 9/30/2010
Drawdown: -2.46 % Date: 8/31/2010
Drawdown: -8.41 % Date: 7/31/2010
Drawdown: -7.20 % Date: 6/30/2010
Drawdown: -9.46 % Date: 5/31/2010
Drawdown: -9.62 % Date: 4/30/2010
Drawdown: -4.80 % Date: 3/31/2010
Drawdown: -4.56 % Date: 2/28/2010
Drawdown: -6.12 % Date: 1/31/2010
Drawdown: -5.74 % Date: 12/31/2009
Drawdown: -0.43 % Date: 11/30/2009
Drawdown: -1.99 % Date: 10/31/2009
Drawdown: -4.03 % Date: 9/30/2009
Drawdown: -5.56 % Date: 8/31/2009
Drawdown: -4.34 % Date: 7/31/2009
Drawdown: -4.09 % Date: 6/30/2009
Drawdown: -5.06 % Date: 5/31/2009
Drawdown: -4.71 % Date: 4/30/2009
Drawdown: -12.81 % Date: 3/31/2009
Drawdown: -13.23 % Date: 2/28/2009
Drawdown: -13.78 % Date: 1/31/2009
Drawdown: -12.46 % Date: 12/31/2008
Drawdown: -9.56 % Date: 11/30/2008
Drawdown: -9.26 % Date: 10/31/2008
Drawdown: -8.72 % Date: 9/30/2008
Drawdown: -8.14 % Date: 8/31/2008
Drawdown: -6.60 % Date: 7/31/2008
Drawdown: -5.40 % Date: 6/30/2008
Drawdown: 0.00 % Date: 5/31/2008
Drawdown: -1.60 % Date: 4/30/2008
Drawdown: -5.18 % Date: 3/31/2008
Drawdown: -6.88 % Date: 2/29/2008
Drawdown: 0.00 % Date: 1/31/2008
Drawdown: 0.00 % Date: 12/31/2007
Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  John Locke Investments
Address: 38 Avenue Franklin Roosevelt
City: Fontainebleau-Avon
State:
Zip: 77210
Country: France
Key People
Name:  Francois Bonnin
Position:  Principal
Biography: 

Francois Bonnin is the CEO and Founding Partner of John Locke Investments SA, a company which was set up near Paris, France in 2001. The team is composed of 26 individuals, among which 13 are dedicated to research, based in 4 locations, Fontainebleau and Garches close to Paris, Drogheda, Ireland and Geneva, Illinois, USA. The firm offers systematic managed futures strategies, and the current assets under management are in excess of USD 650 million. JLI proprietary investment programs are based on the systematic application of computerized trading strategies, qualified within a quantified risk management framework. The strategies are purely technical and based on in-depth analysis of market price movements. The recognition of particular price configurations (patterns formed over time by market price movements) is key to John Locke's strategies. John Locke Investments' systems follow the markets’ price activity on a continuous basis and immediately detect any upcoming opportunity. Prior to creating John Locke Investments, he was in charge of research and alternative investments at ING France from September 1998 to June 2001. Between March 1992 and September 1998, Mr. Bonnin was Managing Director and Founding Partner of CAP STARDEX SA, a French AMF regulated asset management company, specialized in alternative systematic strategies. From September 1989 to March 1992, Mr. Bonnin was a director of the convertible bonds trading desk at RAFE SA. Mr. Bonnin graduated from International University of America with an MBA (Paris-France) and with a major in Finance in 1986.


Name:  Marc Botter
Position:  Principal
Biography: 

August 2002 - May 2004: Chairman of Botter Dupont , Research Company, FRANCE. June 2004 – June 2006: Chairman of QuantAM, alternative investment firm, FRANCE. Since July 2006: Managing partner of JOHN LOCKE INVESTMENTS SA, Avon, FRANCE. Mr Botter is active in Research, Risk management.


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.