Altegris Clearing Solutions Mehnert Capital Management, LLC Diversified Trading Program *PROP*
Monthly Performance (%)
Date Range: 01/12 - 03/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 -3.28 -4.21 2.02 -5.48
2016 6.45 0.20 -4.16 11.50 -0.87 -1.93 -2.49 -7.44 -4.31 2.65 4.94 0.94 4.06
2015 4.92 -2.97 -1.35 -0.49 -2.27 -2.56 0.85 1.34 -6.58 -0.47 5.16 -4.32 -9.01
2014 2.10 -1.83 -2.26 -4.73 -1.11 -0.29 5.71 0.92 14.83 1.16 1.70 -1.41 14.35
2013 0.74 7.35 -2.28 3.17 6.76 4.55 0.35 1.17 -0.80 -0.68 2.61 -3.62 20.38
2012 0.63 -5.06 -7.48 8.16 -4.47 0.69 12.11 10.42 0.31 -2.07 6.00 18.54
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

Diversified Trading Program (“DTP”) is a trading program that takes positions across a diversified portfolio of domestic futures markets with a primary focus on, but not limited to, currencies, agriculturals, equity indices, interest rates, metals, energies, softs and meats. • Directional Bias - There is no directional bias in this program. The program may be net long, short or flat any particular market or sector at any time. • Trading Approach - In broad terms, the different trading approaches that make up the trading program attempt to generate trading profits in (i) trending, (ii) non-trending, and (iii) reversal phases of any major market trend. All trades taken are actively managed, with the view of locking in as much of the prevailing market move as possible, while at the same time allowing each trade sufficient room to move in order to meet its return objectives. This trading program and strategy operate on two levels. The first part of the strategy involves the use of two trading systems operated simultaneously; each system used has been profitable if run in isolation, but the combination of different models and strategies should produce better returns than any of the trading models alone. The use of multiple systems also decreases the reliance on any one market or trading strategy to produce consistent trading profits. The second part of the trading strategy involves strict risk management procedures that are used in order to achieve trading returns with the least possible risk. The Advisor believes that the leverage offered by futures contracts can work for and against an Advisor, and the understanding of risk is essential in trading mechanical systems over a wide range of futures markets. Risk is analyzed on a market basis and used to regularly balance the portfolio of contracts being traded at any given time.

Performance Statistics
Date Range: 01/12 - 03/17
  Program SP500 TR Altegris 40
Total Return 46.04% 110.30% 3.65%
Annualized Return 7.61% 15.21% 0.68%
Annualized Std. Deviation 16.26% 10.12% 8.60%
Correlation -0.22 0.05
Sharpe Ratio (rf=2.5%) 0.31 1.26 -0.21
Worst Month -7.48% -6.03% -5.20%
Date of Worst Month 04/2012 08/2015 06/2015
Worst Drawdown -17.00% -8.35% -11.62%
Date of Worst Drawdown 1/15 - 9/16 7/15 - 9/15 7/12 - 9/13
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 01/12 - 03/17
Year or YTD Program SP500 TR Altegris 40
2017 -5.48 6.07 -0.61
2016 4.06 11.98 -3.13
2015 -9.01 1.41 0.09
2014 14.35 13.69 15.75
2013 20.38 32.41 -2.45
2012 18.54 11.01 -5.05
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 01/12 - 03/17
Date: 3/31/2017
Perf: $1,033.16 Date: 2/28/2017
Perf: $1,048.46 Date: 1/31/2017
Perf: $1,026.09 Date: 12/31/2016
Perf: $1,039.50 Date: 11/30/2016
Perf: $1,031.66 Date: 10/31/2016
Perf: $1,043.14 Date: 9/30/2016
Perf: $1,070.76 Date: 8/31/2016
Perf: $1,084.76 Date: 7/31/2016
Perf: $1,114.74 Date: 6/30/2016
Perf: $1,103.49 Date: 5/31/2016
Perf: $1,058.50 Date: 4/30/2016
Perf: $1,077.36 Date: 3/31/2016
Perf: $1,105.09 Date: 2/29/2016
Perf: $1,137.75 Date: 1/31/2016
Perf: $1,110.43 Date: 12/31/2015
Perf: $1,073.09 Date: 11/30/2015
Perf: $1,098.35 Date: 10/31/2015
Perf: $1,062.13 Date: 9/30/2015
Perf: $1,080.94 Date: 8/31/2015
Perf: $1,057.98 Date: 7/31/2015
Perf: $1,076.61 Date: 6/30/2015
Perf: $1,036.09 Date: 5/31/2015
Perf: $1,092.93 Date: 4/30/2015
Perf: $1,100.85 Date: 3/31/2015
Perf: $1,145.05 Date: 2/28/2015
Perf: $1,120.29 Date: 1/31/2015
Perf: $1,122.09 Date: 12/31/2014
Perf: $1,072.13 Date: 11/30/2014
Perf: $1,053.58 Date: 10/31/2014
Perf: $994.42 Date: 9/30/2014
Perf: $980.01 Date: 8/31/2014
Perf: $965.62 Date: 7/31/2014
Perf: $926.43 Date: 6/30/2014
Perf: $933.91 Date: 5/31/2014
Perf: $925.94 Date: 4/30/2014
Perf: $902.83 Date: 3/31/2014
Perf: $896.02 Date: 2/28/2014
Perf: $909.48 Date: 1/31/2014
Perf: $902.08 Date: 12/31/2013
Perf: $926.26 Date: 11/30/2013
Perf: $927.56 Date: 10/31/2013
Perf: $911.07 Date: 9/30/2013
Perf: $890.67 Date: 8/31/2013
Perf: $896.05 Date: 7/31/2013
Perf: $913.59 Date: 6/30/2013
Perf: $921.61 Date: 5/31/2013
Perf: $957.91 Date: 4/30/2013
Perf: $1,000.95 Date: 3/31/2013
Perf: $975.78 Date: 2/28/2013
Perf: $961.92 Date: 1/31/2013
Perf: $967.54 Date: 12/31/2012
Perf: $949.50 Date: 11/30/2012
Perf: $944.87 Date: 10/31/2012
Perf: $942.23 Date: 9/30/2012
Perf: $977.62 Date: 8/31/2012
Perf: $994.02 Date: 7/31/2012
Perf: $1,007.72 Date: 6/30/2012
Perf: $968.13 Date: 5/31/2012
Perf: $1,005.95 Date: 4/30/2012
Perf: $987.19 Date: 3/31/2012
Perf: $981.31 Date: 2/29/2012
Perf: $1,004.10 Date: 1/31/2012
Perf: $1,000.00 Date: 3/31/2017
Perf: $2,012.84 Date: 2/28/2017
Perf: $2,010.43 Date: 1/31/2017
Perf: $1,933.66 Date: 12/31/2016
Perf: $1,897.60 Date: 11/30/2016
Perf: $1,860.76 Date: 10/31/2016
Perf: $1,794.37 Date: 9/30/2016
Perf: $1,827.63 Date: 8/31/2016
Perf: $1,827.27 Date: 7/31/2016
Perf: $1,824.71 Date: 6/30/2016
Perf: $1,759.78 Date: 5/31/2016
Perf: $1,755.21 Date: 4/30/2016
Perf: $1,724.18 Date: 3/31/2016
Perf: $1,717.48 Date: 2/29/2016
Perf: $1,608.43 Date: 1/31/2016
Perf: $1,610.52 Date: 12/31/2015
Perf: $1,694.57 Date: 11/30/2015
Perf: $1,721.78 Date: 10/31/2015
Perf: $1,716.63 Date: 9/30/2015
Perf: $1,583.02 Date: 8/31/2015
Perf: $1,623.11 Date: 7/31/2015
Perf: $1,727.27 Date: 6/30/2015
Perf: $1,691.74 Date: 5/31/2015
Perf: $1,725.21 Date: 4/30/2015
Perf: $1,703.24 Date: 3/31/2015
Perf: $1,687.04 Date: 2/28/2015
Perf: $1,714.12 Date: 1/31/2015
Perf: $1,620.92 Date: 12/31/2014
Perf: $1,671.05 Date: 11/30/2014
Perf: $1,675.24 Date: 10/31/2014
Perf: $1,631.36 Date: 9/30/2014
Perf: $1,592.50 Date: 8/31/2014
Perf: $1,615.11 Date: 7/31/2014
Perf: $1,552.99 Date: 6/30/2014
Perf: $1,574.72 Date: 5/31/2014
Perf: $1,542.79 Date: 4/30/2014
Perf: $1,507.36 Date: 3/31/2014
Perf: $1,496.29 Date: 2/28/2014
Perf: $1,483.83 Date: 1/31/2014
Perf: $1,418.98 Date: 12/31/2013
Perf: $1,469.84 Date: 11/30/2013
Perf: $1,433.57 Date: 10/31/2013
Perf: $1,391.14 Date: 9/30/2013
Perf: $1,329.96 Date: 8/31/2013
Perf: $1,289.47 Date: 7/31/2013
Perf: $1,327.98 Date: 6/30/2013
Perf: $1,263.66 Date: 5/31/2013
Perf: $1,280.82 Date: 4/30/2013
Perf: $1,251.54 Date: 3/31/2013
Perf: $1,227.84 Date: 2/28/2013
Perf: $1,183.46 Date: 1/31/2013
Perf: $1,167.58 Date: 12/31/2012
Perf: $1,110.08 Date: 11/30/2012
Perf: $1,100.07 Date: 10/31/2012
Perf: $1,093.73 Date: 9/30/2012
Perf: $1,114.34 Date: 8/31/2012
Perf: $1,086.31 Date: 7/31/2012
Perf: $1,062.41 Date: 6/30/2012
Perf: $1,047.84 Date: 5/31/2012
Perf: $1,006.38 Date: 4/30/2012
Perf: $1,070.73 Date: 3/31/2012
Perf: $1,077.52 Date: 2/29/2012
Perf: $1,043.20 Date: 1/31/2012
Perf: $1,000.00 Date: 3/31/2017
Perf: $1,460.44 Date: 2/28/2017
Perf: $1,431.52 Date: 1/31/2017
Perf: $1,494.43 Date: 12/31/2016
Perf: $1,545.11 Date: 11/30/2016
Perf: $1,530.73 Date: 10/31/2016
Perf: $1,458.67 Date: 9/30/2016
Perf: $1,421.01 Date: 8/31/2016
Perf: $1,485.01 Date: 7/31/2016
Perf: $1,604.38 Date: 6/30/2016
Perf: $1,645.35 Date: 5/31/2016
Perf: $1,677.73 Date: 4/30/2016
Perf: $1,692.45 Date: 3/31/2016
Perf: $1,517.90 Date: 2/29/2016
Perf: $1,583.78 Date: 1/31/2016
Perf: $1,580.62 Date: 12/31/2015
Perf: $1,484.85 Date: 11/30/2015
Perf: $1,551.89 Date: 10/31/2015
Perf: $1,475.74 Date: 9/30/2015
Perf: $1,482.71 Date: 8/31/2015
Perf: $1,587.14 Date: 7/31/2015
Perf: $1,566.16 Date: 6/30/2015
Perf: $1,552.96 Date: 5/31/2015
Perf: $1,593.76 Date: 4/30/2015
Perf: $1,630.78 Date: 3/31/2015
Perf: $1,638.81 Date: 2/28/2015
Perf: $1,661.23 Date: 1/31/2015
Perf: $1,712.08 Date: 12/31/2014
Perf: $1,631.80 Date: 11/30/2014
Perf: $1,655.13 Date: 10/31/2014
Perf: $1,627.47 Date: 9/30/2014
Perf: $1,608.81 Date: 8/31/2014
Perf: $1,401.03 Date: 7/31/2014
Perf: $1,388.26 Date: 6/30/2014
Perf: $1,313.27 Date: 5/31/2014
Perf: $1,317.09 Date: 4/30/2014
Perf: $1,331.88 Date: 3/31/2014
Perf: $1,398.00 Date: 2/28/2014
Perf: $1,430.33 Date: 1/31/2014
Perf: $1,456.99 Date: 12/31/2013
Perf: $1,427.02 Date: 11/30/2013
Perf: $1,480.62 Date: 10/31/2013
Perf: $1,442.96 Date: 9/30/2013
Perf: $1,452.84 Date: 8/31/2013
Perf: $1,464.56 Date: 7/31/2013
Perf: $1,447.62 Date: 6/30/2013
Perf: $1,442.57 Date: 5/31/2013
Perf: $1,379.79 Date: 4/30/2013
Perf: $1,292.42 Date: 3/31/2013
Perf: $1,252.71 Date: 2/28/2013
Perf: $1,281.94 Date: 1/31/2013
Perf: $1,194.17 Date: 12/31/2012
Perf: $1,185.39 Date: 11/30/2012
Perf: $1,118.30 Date: 10/31/2012
Perf: $1,141.94 Date: 9/30/2012
Perf: $1,138.41 Date: 8/31/2012
Perf: $1,030.98 Date: 7/31/2012
Perf: $919.61 Date: 6/30/2012
Perf: $913.31 Date: 5/31/2012
Perf: $956.05 Date: 4/30/2012
Perf: $883.92 Date: 3/31/2012
Perf: $955.38 Date: 2/29/2012
Perf: $1,006.30 Date: 1/31/2012
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 01/12 - 03/17
Date: 3/31/2017
Return: 2.02 % Date: 2/28/2017
Return: -4.21 % Date: 1/31/2017
Return: -3.28 % Date: 12/31/2016
Return: 0.94 % Date: 11/30/2016
Return: 4.94 % Date: 10/31/2016
Return: 2.65 % Date: 9/30/2016
Return: -4.31 % Date: 8/31/2016
Return: -7.44 % Date: 7/31/2016
Return: -2.49 % Date: 6/30/2016
Return: -1.93 % Date: 5/31/2016
Return: -0.87 % Date: 4/30/2016
Return: 11.50 % Date: 3/31/2016
Return: -4.16 % Date: 2/29/2016
Return: 0.20 % Date: 1/31/2016
Return: 6.45 % Date: 12/31/2015
Return: -4.32 % Date: 11/30/2015
Return: 5.16 % Date: 10/31/2015
Return: -0.47 % Date: 9/30/2015
Return: -6.58 % Date: 8/31/2015
Return: 1.34 % Date: 7/31/2015
Return: 0.85 % Date: 6/30/2015
Return: -2.56 % Date: 5/31/2015
Return: -2.27 % Date: 4/30/2015
Return: -0.49 % Date: 3/31/2015
Return: -1.35 % Date: 2/28/2015
Return: -2.97 % Date: 1/31/2015
Return: 4.92 % Date: 12/31/2014
Return: -1.41 % Date: 11/30/2014
Return: 1.70 % Date: 10/31/2014
Return: 1.16 % Date: 9/30/2014
Return: 14.83 % Date: 8/31/2014
Return: 0.92 % Date: 7/31/2014
Return: 5.71 % Date: 6/30/2014
Return: -0.29 % Date: 5/31/2014
Return: -1.11 % Date: 4/30/2014
Return: -4.73 % Date: 3/31/2014
Return: -2.26 % Date: 2/28/2014
Return: -1.83 % Date: 1/31/2014
Return: 2.10 % Date: 12/31/2013
Return: -3.62 % Date: 11/30/2013
Return: 2.61 % Date: 10/31/2013
Return: -0.68 % Date: 9/30/2013
Return: -0.80 % Date: 8/31/2013
Return: 1.17 % Date: 7/31/2013
Return: 0.35 % Date: 6/30/2013
Return: 4.55 % Date: 5/31/2013
Return: 6.76 % Date: 4/30/2013
Return: 3.17 % Date: 3/31/2013
Return: -2.28 % Date: 2/28/2013
Return: 7.35 % Date: 1/31/2013
Return: 0.74 % Date: 12/31/2012
Return: 6.00 % Date: 11/30/2012
Return: -2.07 % Date: 10/31/2012
Return: 0.31 % Date: 9/30/2012
Return: 10.42 % Date: 8/31/2012
Return: 12.11 % Date: 7/31/2012
Return: 0.69 % Date: 6/30/2012
Return: -4.47 % Date: 5/31/2012
Return: 8.16 % Date: 4/30/2012
Return: -7.48 % Date: 3/31/2012
Return: -5.06 % Date: 2/29/2012
Return: 0.63 % Date: 1/31/2012
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 01/12 - 03/17
Return: -3.00 %
Count: 3 Return: 15.00 %
Count: 1 Return: 2.00 %
Count: 3 Return: -1.00 %
Count: 6 Return: 5.00 %
Count: 4 Return: 3.00 %
Count: 3 Return: 7.00 %
Count: 2 Return: 6.00 %
Count: 3 Return: -2.00 %
Count: 7 Return: 10.00 %
Count: 1 Return: 12.00 %
Count: 2 Return: -4.00 %
Count: 6 Return: 8.00 %
Count: 1 Return: -7.00 %
Count: 3 Return: -5.00 %
Count: 2 Return: 1.00 %
Count: 9 Return: 0.00 %
Count: 7
Note: All performance data is since program inception.

Underwater Curve
Date Range: 01/12 - 03/17
Date: 3/31/2017
Drawdown: -14.70 % Date: 2/28/2017
Drawdown: -16.39 % Date: 1/31/2017
Drawdown: -12.71 % Date: 12/31/2016
Drawdown: -9.75 % Date: 11/30/2016
Drawdown: -10.59 % Date: 10/31/2016
Drawdown: -14.80 % Date: 9/30/2016
Drawdown: -17.00 % Date: 8/31/2016
Drawdown: -13.26 % Date: 7/31/2016
Drawdown: -6.29 % Date: 6/30/2016
Drawdown: -3.90 % Date: 5/31/2016
Drawdown: -2.01 % Date: 4/30/2016
Drawdown: -1.15 % Date: 3/31/2016
Drawdown: -11.34 % Date: 2/29/2016
Drawdown: -7.49 % Date: 1/31/2016
Drawdown: -7.68 % Date: 12/31/2015
Drawdown: -13.27 % Date: 11/30/2015
Drawdown: -9.36 % Date: 10/31/2015
Drawdown: -13.80 % Date: 9/30/2015
Drawdown: -13.40 % Date: 8/31/2015
Drawdown: -7.30 % Date: 7/31/2015
Drawdown: -8.52 % Date: 6/30/2015
Drawdown: -9.29 % Date: 5/31/2015
Drawdown: -6.91 % Date: 4/30/2015
Drawdown: -4.75 % Date: 3/31/2015
Drawdown: -4.28 % Date: 2/28/2015
Drawdown: -2.97 % Date: 1/31/2015
Drawdown: 0.00 % Date: 12/31/2014
Drawdown: -1.41 % Date: 11/30/2014
Drawdown: 0.00 % Date: 10/31/2014
Drawdown: 0.00 % Date: 9/30/2014
Drawdown: 0.00 % Date: 8/31/2014
Drawdown: -5.38 % Date: 7/31/2014
Drawdown: -6.24 % Date: 6/30/2014
Drawdown: -11.30 % Date: 5/31/2014
Drawdown: -11.04 % Date: 4/30/2014
Drawdown: -10.05 % Date: 3/31/2014
Drawdown: -5.58 % Date: 2/28/2014
Drawdown: -3.40 % Date: 1/31/2014
Drawdown: -1.60 % Date: 12/31/2013
Drawdown: -3.62 % Date: 11/30/2013
Drawdown: 0.00 % Date: 10/31/2013
Drawdown: -1.47 % Date: 9/30/2013
Drawdown: -0.80 % Date: 8/31/2013
Drawdown: 0.00 % Date: 7/31/2013
Drawdown: 0.00 % Date: 6/30/2013
Drawdown: 0.00 % Date: 5/31/2013
Drawdown: 0.00 % Date: 4/30/2013
Drawdown: 0.00 % Date: 3/31/2013
Drawdown: -2.28 % Date: 2/28/2013
Drawdown: 0.00 % Date: 1/31/2013
Drawdown: 0.00 % Date: 12/31/2012
Drawdown: 0.00 % Date: 11/30/2012
Drawdown: -2.07 % Date: 10/31/2012
Drawdown: 0.00 % Date: 9/30/2012
Drawdown: 0.00 % Date: 8/31/2012
Drawdown: 0.00 % Date: 7/31/2012
Drawdown: -8.61 % Date: 6/30/2012
Drawdown: -9.24 % Date: 5/31/2012
Drawdown: -4.99 % Date: 4/30/2012
Drawdown: -12.16 % Date: 3/31/2012
Drawdown: -5.06 % Date: 2/29/2012
Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Mehnert Capital Management, LLC
Address: 78 Trestletree Pl
City: The Woodlands
State: TX
Zip: 77380
Country: United States
Key People
Name:  Robert Jay Mehnert, Jr
Position:  Principal
Biography: 


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.