Altegris Clearing Solutions GHR Investment Management GMASS *QEP*
Monthly Performance (%)
Date Range: 08/13 - 06/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 -1.78 1.50 -1.80 -0.20 0.55 -0.96 -2.70
2016 3.60 6.70 -1.20 -3.70 -3.80 4.70 2.30 -1.90 -4.90 -0.72 -2.36 -0.78 -2.76
2015 7.90 -2.70 1.40 2.10 -0.30 -3.10 2.40 -2.60 2.70 1.50 -0.60 -4.90 3.20
2014 -4.30 -0.70 -3.00 0.60 1.00 -1.00 0.50 4.50 1.20 0.50 5.70 0.90 5.63
2013 -0.30 0.70 -0.20 1.20 1.40
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

GMASS (Global Multi Asset Systematic Trading Strategy) is a trading methodology utilizing a proprietary systematic approach across a multiple set of highly liquid exchange traded futures markets (Equity, Currency, Fixed Income and Commodity). GMASS trades live, globally 24 hours a day, and is diversified across multiple time frames and strategies. The principles behind our investment strategy is a blend of trend following and pattern recognition. Our objective is to deliver absolute returns uncorrelated to tradtional portfolios.

Performance Statistics
Date Range: 08/13 - 06/17
  Program SP500 TR Altegris 40
Total Return 4.58% 56.25% 9.33%
Annualized Return 1.17% 12.07% 2.30%
Annualized Std. Deviation 9.93% 9.96% 8.62%
Correlation 0.02 0.74
Sharpe Ratio (rf=2.5%) -0.13 0.96 -0.02
Worst Month -4.90% -6.03% -5.20%
Date of Worst Month 09/2016 08/2015 06/2015
Worst Drawdown -14.41% -8.35% -12.77%
Date of Worst Drawdown 2/16 - 6/17 7/15 - 9/15 3/15 - 6/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 08/13 - 06/17
Year or YTD Program SP500 TR Altegris 40
2017 -2.70 9.35 -3.91
2016 -2.76 11.98 -3.13
2015 3.20 1.41 0.09
2014 5.63 13.69 15.75
2013 1.40 13.99 3.37
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 08/13 - 06/17
Date: 6/30/2017
Perf: $1,114.75 Date: 5/31/2017
Perf: $1,148.27 Date: 4/30/2017
Perf: $1,146.10 Date: 3/31/2017
Perf: $1,153.02 Date: 2/28/2017
Perf: $1,170.10 Date: 1/31/2017
Perf: $1,145.13 Date: 12/31/2016
Perf: $1,160.10 Date: 11/30/2016
Perf: $1,151.35 Date: 10/31/2016
Perf: $1,164.16 Date: 9/30/2016
Perf: $1,194.99 Date: 8/31/2016
Perf: $1,210.60 Date: 7/31/2016
Perf: $1,244.07 Date: 6/30/2016
Perf: $1,231.51 Date: 5/31/2016
Perf: $1,181.30 Date: 4/30/2016
Perf: $1,202.34 Date: 3/31/2016
Perf: $1,233.30 Date: 2/29/2016
Perf: $1,269.74 Date: 1/31/2016
Perf: $1,239.25 Date: 12/31/2015
Perf: $1,197.58 Date: 11/30/2015
Perf: $1,225.77 Date: 10/31/2015
Perf: $1,185.35 Date: 9/30/2015
Perf: $1,206.34 Date: 8/31/2015
Perf: $1,180.72 Date: 7/31/2015
Perf: $1,201.51 Date: 6/30/2015
Perf: $1,156.29 Date: 5/31/2015
Perf: $1,219.72 Date: 4/30/2015
Perf: $1,228.57 Date: 3/31/2015
Perf: $1,277.89 Date: 2/28/2015
Perf: $1,250.26 Date: 1/31/2015
Perf: $1,252.27 Date: 12/31/2014
Perf: $1,196.51 Date: 11/30/2014
Perf: $1,175.81 Date: 10/31/2014
Perf: $1,109.78 Date: 9/30/2014
Perf: $1,093.70 Date: 8/31/2014
Perf: $1,077.65 Date: 7/31/2014
Perf: $1,033.91 Date: 6/30/2014
Perf: $1,042.25 Date: 5/31/2014
Perf: $1,033.36 Date: 4/30/2014
Perf: $1,007.57 Date: 3/31/2014
Perf: $999.97 Date: 2/28/2014
Perf: $1,014.99 Date: 1/31/2014
Perf: $1,006.74 Date: 12/31/2013
Perf: $1,033.72 Date: 11/30/2013
Perf: $1,035.17 Date: 10/31/2013
Perf: $1,016.76 Date: 9/30/2013
Perf: $994.00 Date: 8/31/2013
Perf: $1,000.00 Date: 6/30/2017
Perf: $1,609.21 Date: 5/31/2017
Perf: $1,599.30 Date: 4/30/2017
Perf: $1,577.06 Date: 3/31/2017
Perf: $1,560.98 Date: 2/28/2017
Perf: $1,559.11 Date: 1/31/2017
Perf: $1,499.58 Date: 12/31/2016
Perf: $1,471.62 Date: 11/30/2016
Perf: $1,443.04 Date: 10/31/2016
Perf: $1,391.56 Date: 9/30/2016
Perf: $1,417.35 Date: 8/31/2016
Perf: $1,417.07 Date: 7/31/2016
Perf: $1,415.09 Date: 6/30/2016
Perf: $1,364.73 Date: 5/31/2016
Perf: $1,361.19 Date: 4/30/2016
Perf: $1,337.12 Date: 3/31/2016
Perf: $1,331.93 Date: 2/29/2016
Perf: $1,247.36 Date: 1/31/2016
Perf: $1,248.98 Date: 12/31/2015
Perf: $1,314.16 Date: 11/30/2015
Perf: $1,335.26 Date: 10/31/2015
Perf: $1,331.27 Date: 9/30/2015
Perf: $1,227.65 Date: 8/31/2015
Perf: $1,258.74 Date: 7/31/2015
Perf: $1,339.52 Date: 6/30/2015
Perf: $1,311.96 Date: 5/31/2015
Perf: $1,337.92 Date: 4/30/2015
Perf: $1,320.88 Date: 3/31/2015
Perf: $1,308.32 Date: 2/28/2015
Perf: $1,329.32 Date: 1/31/2015
Perf: $1,257.04 Date: 12/31/2014
Perf: $1,295.92 Date: 11/30/2014
Perf: $1,299.17 Date: 10/31/2014
Perf: $1,265.14 Date: 9/30/2014
Perf: $1,235.00 Date: 8/31/2014
Perf: $1,252.54 Date: 7/31/2014
Perf: $1,204.36 Date: 6/30/2014
Perf: $1,221.22 Date: 5/31/2014
Perf: $1,196.45 Date: 4/30/2014
Perf: $1,168.98 Date: 3/31/2014
Perf: $1,160.39 Date: 2/28/2014
Perf: $1,150.73 Date: 1/31/2014
Perf: $1,100.44 Date: 12/31/2013
Perf: $1,139.88 Date: 11/30/2013
Perf: $1,111.75 Date: 10/31/2013
Perf: $1,078.84 Date: 9/30/2013
Perf: $1,031.40 Date: 8/31/2013
Perf: $1,000.00 Date: 6/30/2017
Perf: $1,045.78 Date: 5/31/2017
Perf: $1,055.92 Date: 4/30/2017
Perf: $1,050.14 Date: 3/31/2017
Perf: $1,052.25 Date: 2/28/2017
Perf: $1,071.54 Date: 1/31/2017
Perf: $1,055.70 Date: 12/31/2016
Perf: $1,074.83 Date: 11/30/2016
Perf: $1,083.28 Date: 10/31/2016
Perf: $1,109.46 Date: 9/30/2016
Perf: $1,117.51 Date: 8/31/2016
Perf: $1,175.09 Date: 7/31/2016
Perf: $1,197.85 Date: 6/30/2016
Perf: $1,170.92 Date: 5/31/2016
Perf: $1,118.36 Date: 4/30/2016
Perf: $1,162.53 Date: 3/31/2016
Perf: $1,207.20 Date: 2/29/2016
Perf: $1,221.86 Date: 1/31/2016
Perf: $1,145.14 Date: 12/31/2015
Perf: $1,105.34 Date: 11/30/2015
Perf: $1,162.30 Date: 10/31/2015
Perf: $1,169.31 Date: 9/30/2015
Perf: $1,152.03 Date: 8/31/2015
Perf: $1,121.74 Date: 7/31/2015
Perf: $1,151.69 Date: 6/30/2015
Perf: $1,124.70 Date: 5/31/2015
Perf: $1,160.68 Date: 4/30/2015
Perf: $1,164.17 Date: 3/31/2015
Perf: $1,140.22 Date: 2/28/2015
Perf: $1,124.48 Date: 1/31/2015
Perf: $1,155.69 Date: 12/31/2014
Perf: $1,071.07 Date: 11/30/2014
Perf: $1,061.52 Date: 10/31/2014
Perf: $1,004.27 Date: 9/30/2014
Perf: $999.28 Date: 8/31/2014
Perf: $987.43 Date: 7/31/2014
Perf: $944.91 Date: 6/30/2014
Perf: $940.21 Date: 5/31/2014
Perf: $949.70 Date: 4/30/2014
Perf: $940.30 Date: 3/31/2014
Perf: $934.69 Date: 2/28/2014
Perf: $963.60 Date: 1/31/2014
Perf: $970.39 Date: 12/31/2013
Perf: $1,013.99 Date: 11/30/2013
Perf: $1,001.97 Date: 10/31/2013
Perf: $1,003.98 Date: 9/30/2013
Perf: $997.00 Date: 8/31/2013
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 08/13 - 06/17
Date: 6/30/2017
Return: -0.96 % Date: 5/31/2017
Return: 0.55 % Date: 4/30/2017
Return: -0.20 % Date: 3/31/2017
Return: -1.80 % Date: 2/28/2017
Return: 1.50 % Date: 1/31/2017
Return: -1.78 % Date: 12/31/2016
Return: -0.78 % Date: 11/30/2016
Return: -2.36 % Date: 10/31/2016
Return: -0.72 % Date: 9/30/2016
Return: -4.90 % Date: 8/31/2016
Return: -1.90 % Date: 7/31/2016
Return: 2.30 % Date: 6/30/2016
Return: 4.70 % Date: 5/31/2016
Return: -3.80 % Date: 4/30/2016
Return: -3.70 % Date: 3/31/2016
Return: -1.20 % Date: 2/29/2016
Return: 6.70 % Date: 1/31/2016
Return: 3.60 % Date: 12/31/2015
Return: -4.90 % Date: 11/30/2015
Return: -0.60 % Date: 10/31/2015
Return: 1.50 % Date: 9/30/2015
Return: 2.70 % Date: 8/31/2015
Return: -2.60 % Date: 7/31/2015
Return: 2.40 % Date: 6/30/2015
Return: -3.10 % Date: 5/31/2015
Return: -0.30 % Date: 4/30/2015
Return: 2.10 % Date: 3/31/2015
Return: 1.40 % Date: 2/28/2015
Return: -2.70 % Date: 1/31/2015
Return: 7.90 % Date: 12/31/2014
Return: 0.90 % Date: 11/30/2014
Return: 5.70 % Date: 10/31/2014
Return: 0.50 % Date: 9/30/2014
Return: 1.20 % Date: 8/31/2014
Return: 4.50 % Date: 7/31/2014
Return: 0.50 % Date: 6/30/2014
Return: -1.00 % Date: 5/31/2014
Return: 1.00 % Date: 4/30/2014
Return: 0.60 % Date: 3/31/2014
Return: -3.00 % Date: 2/28/2014
Return: -0.70 % Date: 1/31/2014
Return: -4.30 % Date: 12/31/2013
Return: 1.20 % Date: 11/30/2013
Return: -0.20 % Date: 10/31/2013
Return: 0.70 % Date: 9/30/2013
Return: -0.30 % Date: 8/31/2013
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 08/13 - 06/17
Return: -2.00 %
Count: 4 Return: 7.00 %
Count: 1 Return: 4.00 %
Count: 1 Return: -5.00 %
Count: 2 Return: 3.00 %
Count: 1 Return: 2.00 %
Count: 4 Return: 8.00 %
Count: 1 Return: 6.00 %
Count: 1 Return: 5.00 %
Count: 2 Return: -3.00 %
Count: 4 Return: -1.00 %
Count: 7 Return: -4.00 %
Count: 3 Return: 1.00 %
Count: 10 Return: 0.00 %
Count: 6
Note: All performance data is since program inception.

Underwater Curve
Date Range: 08/13 - 06/17
Date: 6/30/2017
Drawdown: -14.41 % Date: 5/31/2017
Drawdown: -13.58 % Date: 4/30/2017
Drawdown: -14.05 % Date: 3/31/2017
Drawdown: -13.88 % Date: 2/28/2017
Drawdown: -12.30 % Date: 1/31/2017
Drawdown: -13.60 % Date: 12/31/2016
Drawdown: -12.03 % Date: 11/30/2016
Drawdown: -11.34 % Date: 10/31/2016
Drawdown: -9.20 % Date: 9/30/2016
Drawdown: -8.54 % Date: 8/31/2016
Drawdown: -3.83 % Date: 7/31/2016
Drawdown: -1.97 % Date: 6/30/2016
Drawdown: -4.17 % Date: 5/31/2016
Drawdown: -8.47 % Date: 4/30/2016
Drawdown: -4.86 % Date: 3/31/2016
Drawdown: -1.20 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: -2.07 % Date: 12/31/2015
Drawdown: -5.47 % Date: 11/30/2015
Drawdown: -0.60 % Date: 10/31/2015
Drawdown: 0.00 % Date: 9/30/2015
Drawdown: -1.04 % Date: 8/31/2015
Drawdown: -3.64 % Date: 7/31/2015
Drawdown: -1.07 % Date: 6/30/2015
Drawdown: -3.39 % Date: 5/31/2015
Drawdown: -0.30 % Date: 4/30/2015
Drawdown: 0.00 % Date: 3/31/2015
Drawdown: -1.34 % Date: 2/28/2015
Drawdown: -2.70 % 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: -0.96 % Date: 9/30/2014
Drawdown: -1.45 % Date: 8/31/2014
Drawdown: -2.62 % Date: 7/31/2014
Drawdown: -6.81 % Date: 6/30/2014
Drawdown: -7.28 % Date: 5/31/2014
Drawdown: -6.34 % Date: 4/30/2014
Drawdown: -7.27 % Date: 3/31/2014
Drawdown: -7.82 % Date: 2/28/2014
Drawdown: -4.97 % Date: 1/31/2014
Drawdown: -4.30 % Date: 12/31/2013
Drawdown: 0.00 % Date: 11/30/2013
Drawdown: -0.20 % Date: 10/31/2013
Drawdown: 0.00 % Date: 9/30/2013
Drawdown: -0.30 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  GHR Investment Management
Address: Hakdong-ro 30gil 34, 2nd floor
City: Seoul
State: Not
Zip: 143-758
Country: Korea
Key People
Name:  Paulo GH Rhee
Position:  Principal
Biography: 


Name:  Alex Koo
Position:  Director
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.