Altegris Clearing Solutions Turning Wheel Capital Inc. Pure Alpha Program *QEP*
Monthly Performance (%)
Date Range: 12/11 - 03/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 0.52 -2.62 1.39 -0.75
2016 -0.94 -0.25 1.33 0.25 -1.41 -1.71 -2.91 0.17 0.29 -0.95 -2.80 0.18 -8.49
2015 0.95 1.00 -0.92 0.61 -0.38 -1.26 0.71 -1.39 -2.02 -0.20 2.24 0.70 -0.04
2014 2.95 0.01 0.40 0.91 1.37 0.88 0.07 0.27 -1.29 0.64 1.04 1.21 8.74
2013 0.98 3.10 0.73 1.37 -2.30 2.59 -0.45 -0.99 -0.71 -1.31 -0.41 1.37 3.89
2012 0.89 0.45 2.76 0.87 0.93 0.39 1.15 -1.02 -2.26 2.26 4.09 0.28 11.18
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

Pure Alpha is systematic, quantitative, and short-term (24 hour max hold). The program uses proprietary statistical modeling and pattern recognition to trade the most liquid futures contracts. Pure Alpha emphasizes diversifcation across alpha-sources and is neither trend-following nor counter-trend in orientation. Rather, it pursues specifc market inefciencies opportunistically, seeking short-term proftability without bias. The program is very risk-focused, including strict loss limits for each trade as well as per day, per week, and per month.

Performance Statistics
Date Range: 12/11 - 03/17
  Program SP500 TR Altegris 40
Total Return 14.01% 112.45% 4.64%
Annualized Return 2.53% 15.18% 0.85%
Annualized Std. Deviation 5.08% 10.04% 8.54%
Correlation -0.03 0.00
Sharpe Ratio (rf=2.5%) 0.01 1.26 -0.19
Worst Month -2.91% -6.03% -5.20%
Date of Worst Month 07/2016 08/2015 06/2015
Worst Drawdown -12.19% -8.35% -11.62%
Date of Worst Drawdown 2/15 - 2/17 7/15 - 9/15 7/12 - 9/13
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 12/11 - 03/17
Year or YTD Program SP500 TR Altegris 40
2017 -0.75 6.07 -0.61
2016 -8.49 11.98 -3.13
2015 -0.04 1.41 0.09
2014 8.74 13.69 15.75
2013 3.89 32.41 -2.45
2012 11.18 15.98 -4.75
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 12/11 - 03/17
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: 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: 3/31/2017
Perf: $1,140.10 Date: 2/28/2017
Perf: $1,124.47 Date: 1/31/2017
Perf: $1,154.72 Date: 12/31/2016
Perf: $1,148.75 Date: 11/30/2016
Perf: $1,146.69 Date: 10/31/2016
Perf: $1,179.72 Date: 9/30/2016
Perf: $1,191.03 Date: 8/31/2016
Perf: $1,187.59 Date: 7/31/2016
Perf: $1,185.57 Date: 6/30/2016
Perf: $1,221.11 Date: 5/31/2016
Perf: $1,242.35 Date: 4/30/2016
Perf: $1,260.12 Date: 3/31/2016
Perf: $1,256.98 Date: 2/29/2016
Perf: $1,240.48 Date: 1/31/2016
Perf: $1,243.59 Date: 12/31/2015
Perf: $1,255.39 Date: 11/30/2015
Perf: $1,246.66 Date: 10/31/2015
Perf: $1,219.35 Date: 9/30/2015
Perf: $1,221.79 Date: 8/31/2015
Perf: $1,246.98 Date: 7/31/2015
Perf: $1,264.56 Date: 6/30/2015
Perf: $1,255.64 Date: 5/31/2015
Perf: $1,271.67 Date: 4/30/2015
Perf: $1,276.52 Date: 3/31/2015
Perf: $1,268.78 Date: 2/28/2015
Perf: $1,280.56 Date: 1/31/2015
Perf: $1,267.88 Date: 12/31/2014
Perf: $1,255.95 Date: 11/30/2014
Perf: $1,240.93 Date: 10/31/2014
Perf: $1,228.16 Date: 9/30/2014
Perf: $1,220.35 Date: 8/31/2014
Perf: $1,236.30 Date: 7/31/2014
Perf: $1,232.97 Date: 6/30/2014
Perf: $1,232.11 Date: 5/31/2014
Perf: $1,221.36 Date: 4/30/2014
Perf: $1,204.85 Date: 3/31/2014
Perf: $1,193.99 Date: 2/28/2014
Perf: $1,189.23 Date: 1/31/2014
Perf: $1,189.11 Date: 12/31/2013
Perf: $1,155.04 Date: 11/30/2013
Perf: $1,139.43 Date: 10/31/2013
Perf: $1,144.12 Date: 9/30/2013
Perf: $1,159.30 Date: 8/31/2013
Perf: $1,167.59 Date: 7/31/2013
Perf: $1,179.27 Date: 6/30/2013
Perf: $1,184.60 Date: 5/31/2013
Perf: $1,154.69 Date: 4/30/2013
Perf: $1,181.88 Date: 3/31/2013
Perf: $1,165.90 Date: 2/28/2013
Perf: $1,157.45 Date: 1/31/2013
Perf: $1,122.65 Date: 12/31/2012
Perf: $1,111.76 Date: 11/30/2012
Perf: $1,108.65 Date: 10/31/2012
Perf: $1,065.09 Date: 9/30/2012
Perf: $1,041.55 Date: 8/31/2012
Perf: $1,065.63 Date: 7/31/2012
Perf: $1,076.62 Date: 6/30/2012
Perf: $1,064.38 Date: 5/31/2012
Perf: $1,060.24 Date: 4/30/2012
Perf: $1,050.47 Date: 3/31/2012
Perf: $1,041.41 Date: 2/29/2012
Perf: $1,013.44 Date: 1/31/2012
Perf: $1,008.90 Date: 12/31/2011
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 12/11 - 03/17
Date: 3/31/2017
Return: 1.39 % Date: 2/28/2017
Return: -2.62 % Date: 1/31/2017
Return: 0.52 % Date: 12/31/2016
Return: 0.18 % Date: 11/30/2016
Return: -2.80 % Date: 10/31/2016
Return: -0.95 % Date: 9/30/2016
Return: 0.29 % Date: 8/31/2016
Return: 0.17 % Date: 7/31/2016
Return: -2.91 % Date: 6/30/2016
Return: -1.71 % Date: 5/31/2016
Return: -1.41 % Date: 4/30/2016
Return: 0.25 % Date: 3/31/2016
Return: 1.33 % Date: 2/29/2016
Return: -0.25 % Date: 1/31/2016
Return: -0.94 % Date: 12/31/2015
Return: 0.70 % Date: 11/30/2015
Return: 2.24 % Date: 10/31/2015
Return: -0.20 % Date: 9/30/2015
Return: -2.02 % Date: 8/31/2015
Return: -1.39 % Date: 7/31/2015
Return: 0.71 % Date: 6/30/2015
Return: -1.26 % Date: 5/31/2015
Return: -0.38 % Date: 4/30/2015
Return: 0.61 % Date: 3/31/2015
Return: -0.92 % Date: 2/28/2015
Return: 1.00 % Date: 1/31/2015
Return: 0.95 % Date: 12/31/2014
Return: 1.21 % Date: 11/30/2014
Return: 1.04 % Date: 10/31/2014
Return: 0.64 % Date: 9/30/2014
Return: -1.29 % Date: 8/31/2014
Return: 0.27 % Date: 7/31/2014
Return: 0.07 % Date: 6/30/2014
Return: 0.88 % Date: 5/31/2014
Return: 1.37 % Date: 4/30/2014
Return: 0.91 % Date: 3/31/2014
Return: 0.40 % Date: 2/28/2014
Return: 0.01 % Date: 1/31/2014
Return: 2.95 % Date: 12/31/2013
Return: 1.37 % Date: 11/30/2013
Return: -0.41 % Date: 10/31/2013
Return: -1.31 % Date: 9/30/2013
Return: -0.71 % Date: 8/31/2013
Return: -0.99 % Date: 7/31/2013
Return: -0.45 % Date: 6/30/2013
Return: 2.59 % Date: 5/31/2013
Return: -2.30 % Date: 4/30/2013
Return: 1.37 % Date: 3/31/2013
Return: 0.73 % Date: 2/28/2013
Return: 3.10 % Date: 1/31/2013
Return: 0.98 % Date: 12/31/2012
Return: 0.28 % Date: 11/30/2012
Return: 4.09 % Date: 10/31/2012
Return: 2.26 % Date: 9/30/2012
Return: -2.26 % Date: 8/31/2012
Return: -1.02 % Date: 7/31/2012
Return: 1.15 % Date: 6/30/2012
Return: 0.39 % Date: 5/31/2012
Return: 0.93 % Date: 4/30/2012
Return: 0.87 % Date: 3/31/2012
Return: 2.76 % Date: 2/29/2012
Return: 0.45 % Date: 1/31/2012
Return: 0.89 % Date: 12/31/2011
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 12/11 - 03/17
Return: -3.00 %
Count: 3 Return: 4.00 %
Count: 1 Return: 2.00 %
Count: 2 Return: -2.00 %
Count: 4 Return: -1.00 %
Count: 11 Return: 3.00 %
Count: 4 Return: 1.00 %
Count: 22 Return: 0.00 %
Count: 17
Note: All performance data is since program inception.

Underwater Curve
Date Range: 12/11 - 03/17
Date: 3/31/2017
Drawdown: -10.97 % Date: 2/28/2017
Drawdown: -12.19 % Date: 1/31/2017
Drawdown: -9.83 % Date: 12/31/2016
Drawdown: -10.29 % Date: 11/30/2016
Drawdown: -10.45 % Date: 10/31/2016
Drawdown: -7.87 % Date: 9/30/2016
Drawdown: -6.99 % Date: 8/31/2016
Drawdown: -7.26 % Date: 7/31/2016
Drawdown: -7.42 % Date: 6/30/2016
Drawdown: -4.64 % Date: 5/31/2016
Drawdown: -2.98 % Date: 4/30/2016
Drawdown: -1.60 % Date: 3/31/2016
Drawdown: -1.84 % Date: 2/29/2016
Drawdown: -3.13 % Date: 1/31/2016
Drawdown: -2.89 % Date: 12/31/2015
Drawdown: -1.97 % Date: 11/30/2015
Drawdown: -2.65 % Date: 10/31/2015
Drawdown: -4.78 % Date: 9/30/2015
Drawdown: -4.59 % Date: 8/31/2015
Drawdown: -2.62 % Date: 7/31/2015
Drawdown: -1.25 % Date: 6/30/2015
Drawdown: -1.95 % Date: 5/31/2015
Drawdown: -0.69 % Date: 4/30/2015
Drawdown: -0.32 % Date: 3/31/2015
Drawdown: -0.92 % Date: 2/28/2015
Drawdown: 0.00 % 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: -0.66 % Date: 9/30/2014
Drawdown: -1.29 % Date: 8/31/2014
Drawdown: 0.00 % Date: 7/31/2014
Drawdown: 0.00 % Date: 6/30/2014
Drawdown: 0.00 % Date: 5/31/2014
Drawdown: 0.00 % Date: 4/30/2014
Drawdown: 0.00 % Date: 3/31/2014
Drawdown: 0.00 % Date: 2/28/2014
Drawdown: 0.00 % Date: 1/31/2014
Drawdown: 0.00 % Date: 12/31/2013
Drawdown: -2.50 % Date: 11/30/2013
Drawdown: -3.81 % Date: 10/31/2013
Drawdown: -3.42 % Date: 9/30/2013
Drawdown: -2.14 % Date: 8/31/2013
Drawdown: -1.44 % Date: 7/31/2013
Drawdown: -0.45 % Date: 6/30/2013
Drawdown: 0.00 % Date: 5/31/2013
Drawdown: -2.30 % Date: 4/30/2013
Drawdown: 0.00 % Date: 3/31/2013
Drawdown: 0.00 % 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: 0.00 % Date: 10/31/2012
Drawdown: -1.07 % Date: 9/30/2012
Drawdown: -3.26 % Date: 8/31/2012
Drawdown: -1.02 % Date: 7/31/2012
Drawdown: 0.00 % Date: 6/30/2012
Drawdown: 0.00 % 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: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Turning Wheel Capital Inc.
Address: 980 N. Federal Hwy, Suite 309
City: Boca Raton
State: FL
Zip: 33432
Country: US
Key People
Name:  Ari Siegel
Position:  Principal
Biography: 

Prior to forming the Advisor, from August - December 2007 Mr. Siegel traded client accounts and a proprietary account as a sole proprietor, pursuant to the exemptive provisions of CFTC Rule 4.14(a)(10). From May 2004 to August 2007, he was a proprietary trader and quantitative analyst at Manchester Trading LLC (“Manchester”), a hedge fund run by the prominent investor Victor Niederhoffer. Mr. Siegel traded profitably at Manchester for three years, specializing in short-term, intraday trading of S&P 500 futures. While employed by Manchester, Mr. Siegel used statistical modeling to find short-term pockets of profitability. Mr. Siegel received an MBA from the Yale University School of Management in 2004, having attended Yale from 2002-2004. He also received a B.A. in Individualized Studies, with a focus on Music Technology, from New York University.


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.