Altegris Clearing Solutions Caddo Capital Management, LLC Caddo Tactical Diversification Program *QEP*
Monthly Performance (%)
Date Range: 12/11 - 08/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 -1.00 -1.96 -1.59 0.49 -1.47 0.33 0.86 0.83 -3.50
2016 0.48 2.32 0.11 0.55 -0.36 -0.21 0.89 -0.64 -0.96 -0.30 0.57 0.17 2.61
2015 3.39 -0.01 -0.71 0.90 -3.28 -1.77 -0.67 0.08 1.18 0.00 -1.29 -1.46 -3.73
2014 -0.68 1.75 5.24 -2.03 0.51 -1.59 3.40 1.30 1.32 -1.50 1.52 0.06 9.44
2013 3.26 -0.68 3.25 1.10 1.41 -1.58 1.43 -3.23 -3.55 0.42 0.21 0.08 1.87
2012 -1.53 3.08 1.99 1.88 2.60 -1.94 6.77 -0.93 -3.61 -2.71 -1.04 2.18 6.43
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

Caddo Tactical Diversification Program employs a systematic macro strategy in 45 markets across commodity, financial and currency futures as well as equity options. Our edge draws from blending seven rigorous risk management systems that dictate positions through multi-horizon breakout and counter-trend models in addition to an overlay using VIX options. This approach is designed to outperform traditional CTA programs by generating returns even without strong trend developments. The volatility and counter-trend systems seek to mitigate drawdown with trend reversals and non-trending markets.

Performance Statistics
Date Range: 12/11 - 08/17
  Program SP500 TR Altegris 40
Total Return 13.11% 124.21% 3.25%
Annualized Return 2.20% 15.08% 0.56%
Annualized Std. Deviation 6.81% 9.69% 8.35%
Correlation 0.03 0.35
Sharpe Ratio (rf=2.5%) -0.04 1.30 -0.23
Worst Month -3.61% -6.03% -5.20%
Date of Worst Month 09/2012 08/2015 06/2015
Worst Drawdown -9.80% -8.35% -12.77%
Date of Worst Drawdown 4/15 - 5/17 7/15 - 9/15 3/15 - 6/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 12/11 - 08/17
Year or YTD Program SP500 TR Altegris 40
2017 -3.50 11.95 -1.93
2016 2.61 11.98 -3.13
2015 -3.73 1.41 0.09
2014 9.44 13.69 15.75
2013 1.87 32.41 -2.45
2012 6.43 15.98 -4.75
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 12/11 - 08/17
Date: 8/31/2017
Perf: $1,022.67 Date: 7/31/2017
Perf: $1,005.97 Date: 6/30/2017
Perf: $1,002.06 Date: 5/31/2017
Perf: $1,032.20 Date: 4/30/2017
Perf: $1,030.24 Date: 3/31/2017
Perf: $1,036.46 Date: 2/28/2017
Perf: $1,051.82 Date: 1/31/2017
Perf: $1,029.38 Date: 12/31/2016
Perf: $1,042.83 Date: 11/30/2016
Perf: $1,034.96 Date: 10/31/2016
Perf: $1,046.48 Date: 9/30/2016
Perf: $1,074.19 Date: 8/31/2016
Perf: $1,088.23 Date: 7/31/2016
Perf: $1,118.31 Date: 6/30/2016
Perf: $1,107.02 Date: 5/31/2016
Perf: $1,061.89 Date: 4/30/2016
Perf: $1,080.80 Date: 3/31/2016
Perf: $1,108.63 Date: 2/29/2016
Perf: $1,141.39 Date: 1/31/2016
Perf: $1,113.98 Date: 12/31/2015
Perf: $1,076.52 Date: 11/30/2015
Perf: $1,101.86 Date: 10/31/2015
Perf: $1,065.53 Date: 9/30/2015
Perf: $1,084.40 Date: 8/31/2015
Perf: $1,061.37 Date: 7/31/2015
Perf: $1,080.05 Date: 6/30/2015
Perf: $1,039.41 Date: 5/31/2015
Perf: $1,096.42 Date: 4/30/2015
Perf: $1,104.38 Date: 3/31/2015
Perf: $1,148.72 Date: 2/28/2015
Perf: $1,123.88 Date: 1/31/2015
Perf: $1,125.68 Date: 12/31/2014
Perf: $1,075.56 Date: 11/30/2014
Perf: $1,056.96 Date: 10/31/2014
Perf: $997.60 Date: 9/30/2014
Perf: $983.15 Date: 8/31/2014
Perf: $968.71 Date: 7/31/2014
Perf: $929.40 Date: 6/30/2014
Perf: $936.89 Date: 5/31/2014
Perf: $928.91 Date: 4/30/2014
Perf: $905.72 Date: 3/31/2014
Perf: $898.89 Date: 2/28/2014
Perf: $912.39 Date: 1/31/2014
Perf: $904.97 Date: 12/31/2013
Perf: $929.22 Date: 11/30/2013
Perf: $930.53 Date: 10/31/2013
Perf: $913.98 Date: 9/30/2013
Perf: $893.52 Date: 8/31/2013
Perf: $898.91 Date: 7/31/2013
Perf: $916.51 Date: 6/30/2013
Perf: $924.55 Date: 5/31/2013
Perf: $960.98 Date: 4/30/2013
Perf: $1,004.15 Date: 3/31/2013
Perf: $978.90 Date: 2/28/2013
Perf: $965.00 Date: 1/31/2013
Perf: $970.63 Date: 12/31/2012
Perf: $952.53 Date: 11/30/2012
Perf: $947.89 Date: 10/31/2012
Perf: $945.24 Date: 9/30/2012
Perf: $980.75 Date: 8/31/2012
Perf: $997.20 Date: 7/31/2012
Perf: $1,010.95 Date: 6/30/2012
Perf: $971.23 Date: 5/31/2012
Perf: $1,009.17 Date: 4/30/2012
Perf: $990.35 Date: 3/31/2012
Perf: $984.45 Date: 2/29/2012
Perf: $1,007.31 Date: 1/31/2012
Perf: $1,003.20 Date: 12/31/2011
Perf: $1,000.00 Date: 8/31/2017
Perf: $2,219.51 Date: 7/31/2017
Perf: $2,212.65 Date: 6/30/2017
Perf: $2,167.99 Date: 5/31/2017
Perf: $2,154.63 Date: 4/30/2017
Perf: $2,124.67 Date: 3/31/2017
Perf: $2,103.01 Date: 2/28/2017
Perf: $2,100.49 Date: 1/31/2017
Perf: $2,020.29 Date: 12/31/2016
Perf: $1,982.62 Date: 11/30/2016
Perf: $1,944.12 Date: 10/31/2016
Perf: $1,874.76 Date: 9/30/2016
Perf: $1,909.51 Date: 8/31/2016
Perf: $1,909.13 Date: 7/31/2016
Perf: $1,906.46 Date: 6/30/2016
Perf: $1,838.62 Date: 5/31/2016
Perf: $1,833.85 Date: 4/30/2016
Perf: $1,801.42 Date: 3/31/2016
Perf: $1,794.42 Date: 2/29/2016
Perf: $1,680.49 Date: 1/31/2016
Perf: $1,682.67 Date: 12/31/2015
Perf: $1,770.49 Date: 11/30/2015
Perf: $1,798.91 Date: 10/31/2015
Perf: $1,793.53 Date: 9/30/2015
Perf: $1,653.94 Date: 8/31/2015
Perf: $1,695.83 Date: 7/31/2015
Perf: $1,804.65 Date: 6/30/2015
Perf: $1,767.53 Date: 5/31/2015
Perf: $1,802.50 Date: 4/30/2015
Perf: $1,779.54 Date: 3/31/2015
Perf: $1,762.62 Date: 2/28/2015
Perf: $1,790.92 Date: 1/31/2015
Perf: $1,693.54 Date: 12/31/2014
Perf: $1,745.92 Date: 11/30/2014
Perf: $1,750.29 Date: 10/31/2014
Perf: $1,704.44 Date: 9/30/2014
Perf: $1,663.84 Date: 8/31/2014
Perf: $1,687.47 Date: 7/31/2014
Perf: $1,622.57 Date: 6/30/2014
Perf: $1,645.27 Date: 5/31/2014
Perf: $1,611.90 Date: 4/30/2014
Perf: $1,574.89 Date: 3/31/2014
Perf: $1,563.33 Date: 2/28/2014
Perf: $1,550.30 Date: 1/31/2014
Perf: $1,482.55 Date: 12/31/2013
Perf: $1,535.69 Date: 11/30/2013
Perf: $1,497.79 Date: 10/31/2013
Perf: $1,453.46 Date: 9/30/2013
Perf: $1,389.54 Date: 8/31/2013
Perf: $1,347.24 Date: 7/31/2013
Perf: $1,387.48 Date: 6/30/2013
Perf: $1,320.27 Date: 5/31/2013
Perf: $1,338.21 Date: 4/30/2013
Perf: $1,307.61 Date: 3/31/2013
Perf: $1,282.85 Date: 2/28/2013
Perf: $1,236.48 Date: 1/31/2013
Perf: $1,219.89 Date: 12/31/2012
Perf: $1,159.81 Date: 11/30/2012
Perf: $1,149.35 Date: 10/31/2012
Perf: $1,142.72 Date: 9/30/2012
Perf: $1,164.26 Date: 8/31/2012
Perf: $1,134.98 Date: 7/31/2012
Perf: $1,110.01 Date: 6/30/2012
Perf: $1,094.79 Date: 5/31/2012
Perf: $1,051.47 Date: 4/30/2012
Perf: $1,118.70 Date: 3/31/2012
Perf: $1,125.79 Date: 2/29/2012
Perf: $1,089.94 Date: 1/31/2012
Perf: $1,044.80 Date: 12/31/2011
Perf: $1,000.00 Date: 8/31/2017
Perf: $1,131.10 Date: 7/31/2017
Perf: $1,121.79 Date: 6/30/2017
Perf: $1,112.22 Date: 5/31/2017
Perf: $1,108.56 Date: 4/30/2017
Perf: $1,125.10 Date: 3/31/2017
Perf: $1,119.61 Date: 2/28/2017
Perf: $1,137.70 Date: 1/31/2017
Perf: $1,160.45 Date: 12/31/2016
Perf: $1,172.17 Date: 11/30/2016
Perf: $1,170.18 Date: 10/31/2016
Perf: $1,163.55 Date: 9/30/2016
Perf: $1,167.05 Date: 8/31/2016
Perf: $1,178.36 Date: 7/31/2016
Perf: $1,185.95 Date: 6/30/2016
Perf: $1,175.49 Date: 5/31/2016
Perf: $1,177.96 Date: 4/30/2016
Perf: $1,182.22 Date: 3/31/2016
Perf: $1,175.75 Date: 2/29/2016
Perf: $1,174.46 Date: 1/31/2016
Perf: $1,147.83 Date: 12/31/2015
Perf: $1,142.35 Date: 11/30/2015
Perf: $1,159.27 Date: 10/31/2015
Perf: $1,174.42 Date: 9/30/2015
Perf: $1,174.42 Date: 8/31/2015
Perf: $1,160.73 Date: 7/31/2015
Perf: $1,159.80 Date: 6/30/2015
Perf: $1,167.62 Date: 5/31/2015
Perf: $1,188.66 Date: 4/30/2015
Perf: $1,228.97 Date: 3/31/2015
Perf: $1,218.01 Date: 2/28/2015
Perf: $1,226.72 Date: 1/31/2015
Perf: $1,226.84 Date: 12/31/2014
Perf: $1,186.62 Date: 11/30/2014
Perf: $1,185.91 Date: 10/31/2014
Perf: $1,168.15 Date: 9/30/2014
Perf: $1,185.94 Date: 8/31/2014
Perf: $1,170.49 Date: 7/31/2014
Perf: $1,155.47 Date: 6/30/2014
Perf: $1,117.47 Date: 5/31/2014
Perf: $1,135.53 Date: 4/30/2014
Perf: $1,129.77 Date: 3/31/2014
Perf: $1,153.18 Date: 2/28/2014
Perf: $1,095.76 Date: 1/31/2014
Perf: $1,076.91 Date: 12/31/2013
Perf: $1,084.29 Date: 11/30/2013
Perf: $1,083.42 Date: 10/31/2013
Perf: $1,081.15 Date: 9/30/2013
Perf: $1,076.63 Date: 8/31/2013
Perf: $1,116.25 Date: 7/31/2013
Perf: $1,153.51 Date: 6/30/2013
Perf: $1,137.25 Date: 5/31/2013
Perf: $1,155.51 Date: 4/30/2013
Perf: $1,139.44 Date: 3/31/2013
Perf: $1,127.04 Date: 2/28/2013
Perf: $1,091.57 Date: 1/31/2013
Perf: $1,099.04 Date: 12/31/2012
Perf: $1,064.34 Date: 11/30/2012
Perf: $1,041.63 Date: 10/31/2012
Perf: $1,052.58 Date: 9/30/2012
Perf: $1,081.90 Date: 8/31/2012
Perf: $1,122.42 Date: 7/31/2012
Perf: $1,132.96 Date: 6/30/2012
Perf: $1,061.12 Date: 5/31/2012
Perf: $1,082.11 Date: 4/30/2012
Perf: $1,054.69 Date: 3/31/2012
Perf: $1,035.23 Date: 2/29/2012
Perf: $1,015.03 Date: 1/31/2012
Perf: $984.70 Date: 12/31/2011
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 12/11 - 08/17
Date: 8/31/2017
Return: 0.83 % Date: 7/31/2017
Return: 0.86 % Date: 6/30/2017
Return: 0.33 % Date: 5/31/2017
Return: -1.47 % Date: 4/30/2017
Return: 0.49 % Date: 3/31/2017
Return: -1.59 % Date: 2/28/2017
Return: -1.96 % Date: 1/31/2017
Return: -1.00 % Date: 12/31/2016
Return: 0.17 % Date: 11/30/2016
Return: 0.57 % Date: 10/31/2016
Return: -0.30 % Date: 9/30/2016
Return: -0.96 % Date: 8/31/2016
Return: -0.64 % Date: 7/31/2016
Return: 0.89 % Date: 6/30/2016
Return: -0.21 % Date: 5/31/2016
Return: -0.36 % Date: 4/30/2016
Return: 0.55 % Date: 3/31/2016
Return: 0.11 % Date: 2/29/2016
Return: 2.32 % Date: 1/31/2016
Return: 0.48 % Date: 12/31/2015
Return: -1.46 % Date: 11/30/2015
Return: -1.29 % Date: 10/31/2015
Return: 0.00 % Date: 9/30/2015
Return: 1.18 % Date: 8/31/2015
Return: 0.08 % Date: 7/31/2015
Return: -0.67 % Date: 6/30/2015
Return: -1.77 % Date: 5/31/2015
Return: -3.28 % Date: 4/30/2015
Return: 0.90 % Date: 3/31/2015
Return: -0.71 % Date: 2/28/2015
Return: -0.01 % Date: 1/31/2015
Return: 3.39 % Date: 12/31/2014
Return: 0.06 % Date: 11/30/2014
Return: 1.52 % Date: 10/31/2014
Return: -1.50 % Date: 9/30/2014
Return: 1.32 % Date: 8/31/2014
Return: 1.30 % Date: 7/31/2014
Return: 3.40 % Date: 6/30/2014
Return: -1.59 % Date: 5/31/2014
Return: 0.51 % Date: 4/30/2014
Return: -2.03 % Date: 3/31/2014
Return: 5.24 % Date: 2/28/2014
Return: 1.75 % Date: 1/31/2014
Return: -0.68 % Date: 12/31/2013
Return: 0.08 % Date: 11/30/2013
Return: 0.21 % Date: 10/31/2013
Return: 0.42 % Date: 9/30/2013
Return: -3.55 % Date: 8/31/2013
Return: -3.23 % Date: 7/31/2013
Return: 1.43 % Date: 6/30/2013
Return: -1.58 % Date: 5/31/2013
Return: 1.41 % Date: 4/30/2013
Return: 1.10 % Date: 3/31/2013
Return: 3.25 % Date: 2/28/2013
Return: -0.68 % Date: 1/31/2013
Return: 3.26 % Date: 12/31/2012
Return: 2.18 % Date: 11/30/2012
Return: -1.04 % Date: 10/31/2012
Return: -2.71 % Date: 9/30/2012
Return: -3.61 % Date: 8/31/2012
Return: -0.93 % Date: 7/31/2012
Return: 6.77 % Date: 6/30/2012
Return: -1.94 % Date: 5/31/2012
Return: 2.60 % Date: 4/30/2012
Return: 1.88 % Date: 3/31/2012
Return: 1.99 % Date: 2/29/2012
Return: 3.08 % Date: 1/31/2012
Return: -1.53 % Date: 12/31/2011
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 12/11 - 08/17
Return: 5.00 %
Count: 1 Return: 1.00 %
Count: 13 Return: -3.00 %
Count: 3 Return: -4.00 %
Count: 2 Return: -1.00 %
Count: 12 Return: 7.00 %
Count: 1 Return: 2.00 %
Count: 6 Return: 3.00 %
Count: 6 Return: -2.00 %
Count: 9 Return: 0.00 %
Count: 16
Note: All performance data is since program inception.

Underwater Curve
Date Range: 12/11 - 08/17
Date: 8/31/2017
Drawdown: -7.96 % Date: 7/31/2017
Drawdown: -8.72 % Date: 6/30/2017
Drawdown: -9.50 % Date: 5/31/2017
Drawdown: -9.80 % Date: 4/30/2017
Drawdown: -8.45 % Date: 3/31/2017
Drawdown: -8.90 % Date: 2/28/2017
Drawdown: -7.43 % Date: 1/31/2017
Drawdown: -5.58 % Date: 12/31/2016
Drawdown: -4.62 % Date: 11/30/2016
Drawdown: -4.78 % Date: 10/31/2016
Drawdown: -5.32 % Date: 9/30/2016
Drawdown: -5.04 % Date: 8/31/2016
Drawdown: -4.12 % Date: 7/31/2016
Drawdown: -3.50 % Date: 6/30/2016
Drawdown: -4.35 % Date: 5/31/2016
Drawdown: -4.15 % Date: 4/30/2016
Drawdown: -3.80 % Date: 3/31/2016
Drawdown: -4.33 % Date: 2/29/2016
Drawdown: -4.44 % Date: 1/31/2016
Drawdown: -6.60 % Date: 12/31/2015
Drawdown: -7.05 % Date: 11/30/2015
Drawdown: -5.67 % Date: 10/31/2015
Drawdown: -4.44 % Date: 9/30/2015
Drawdown: -4.44 % Date: 8/31/2015
Drawdown: -5.55 % Date: 7/31/2015
Drawdown: -5.63 % Date: 6/30/2015
Drawdown: -4.99 % Date: 5/31/2015
Drawdown: -3.28 % Date: 4/30/2015
Drawdown: 0.00 % Date: 3/31/2015
Drawdown: -0.72 % Date: 2/28/2015
Drawdown: -0.01 % 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: -1.50 % Date: 9/30/2014
Drawdown: 0.00 % Date: 8/31/2014
Drawdown: 0.00 % Date: 7/31/2014
Drawdown: 0.00 % Date: 6/30/2014
Drawdown: -3.29 % Date: 5/31/2014
Drawdown: -1.73 % Date: 4/30/2014
Drawdown: -2.23 % Date: 3/31/2014
Drawdown: -0.20 % Date: 2/28/2014
Drawdown: -5.17 % Date: 1/31/2014
Drawdown: -6.80 % Date: 12/31/2013
Drawdown: -6.16 % Date: 11/30/2013
Drawdown: -6.24 % Date: 10/31/2013
Drawdown: -6.44 % Date: 9/30/2013
Drawdown: -6.83 % Date: 8/31/2013
Drawdown: -3.40 % Date: 7/31/2013
Drawdown: -0.17 % Date: 6/30/2013
Drawdown: -1.58 % Date: 5/31/2013
Drawdown: 0.00 % Date: 4/30/2013
Drawdown: 0.00 % Date: 3/31/2013
Drawdown: -0.52 % Date: 2/28/2013
Drawdown: -3.65 % Date: 1/31/2013
Drawdown: -2.99 % Date: 12/31/2012
Drawdown: -6.06 % Date: 11/30/2012
Drawdown: -8.06 % Date: 10/31/2012
Drawdown: -7.09 % Date: 9/30/2012
Drawdown: -4.51 % Date: 8/31/2012
Drawdown: -0.93 % Date: 7/31/2012
Drawdown: 0.00 % Date: 6/30/2012
Drawdown: -1.94 % Date: 5/31/2012
Drawdown: 0.00 % Date: 4/30/2012
Drawdown: 0.00 % Date: 3/31/2012
Drawdown: 0.00 % Date: 2/29/2012
Drawdown: 0.00 % Date: 1/31/2012
Drawdown: -1.53 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Caddo Capital Management, LLC
Address: 1 Sansome Street, Suite 3500
City: San Francisco
State: CA
Zip: 94104
Country: United States
Key People
Name:  Darren J Kottle, CFA
Position:  Chief Investment Officer
Biography: 

Mr. Kottle is responsible for the design and implementation of our systematic strategies. He was most recently co-head of Financial Institution Group Solutions for the Americas at Merrill Lynch. His career began on the legacy Salomon Brothers’ proprietary trading desk as a derivatives trader. Mr. Kottle graduated Phi Beta Kappa from Stanford University with Honors (B.A. in Economics). At Stanford, he conducted research for Nobel-prize winning economist Kenneth Arrow.


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.