Altegris Clearing Solutions Alpha Z Advisors, LLC Alpha Z Futures CTA *QEP*
Monthly Performance (%)
Date Range: 06/13 - 07/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 4.27 -1.52 13.57 5.53 3.81 2.73 5.27 38.16
2016 -5.73 2.78 19.66 6.02 7.44 -1.94 6.55 3.20 2.90 2.60 5.04 3.13 62.86
2015 -8.74 40.37 10.41 5.13 11.46 4.52 10.15 -24.12 14.18 12.82 7.19 4.33 108.57
2014 -3.98 3.46 6.68 3.94 4.64 0.85 -6.52 8.77 -0.75 4.84 8.58 -4.51 27.52
2013 -0.50 -0.45 -3.89 8.74 3.43 5.71 13.18
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

Options can be overvalued, undervalued or fairly valued. By “overvalued”, we mean that the average return per dollar invested by purchasing these is substantially less than one dollar. This may occur due to institutional and other programmatic buyers, who must buy for hedging - regardless of price. Hence we believe those options become candidates for sale. Similarly, many options (calls options especially) are oversold, due to collar and buy-write programs, and hence these options become undervalued. The strategies highlighted below illustrate the Advisor’s efforts to capture alpha based on the over/under valuations typically observed in an active marketplace. Dr. Bill Ziemba’s proprietary methodology employs five core strategies. They are as follows: Presidential election market effects and January turn of the year effect, mean reversion in stock prices {which are similar to those used in NFL betting}, US calendar anomalies {predictable money flows from the behavior of individual investors}, institutional Practices {money flows from companies themselves and institutional hedging}, capturing option biases {based on ideas that originate in horse race betting behavior}.

Performance Statistics
Date Range: 06/13 - 07/17
  Program SP500 TR Altegris 40
Total Return 577.35% 65.34% 4.68%
Annualized Return 59.76% 12.83% 1.10%
Annualized Std. Deviation 29.65% 9.94% 8.59%
Correlation 0.57 -0.02
Sharpe Ratio (rf=2.5%) 1.93 1.04 -0.16
Worst Month -24.12% -6.03% -5.20%
Date of Worst Month 08/2015 08/2015 06/2015
Worst Drawdown -24.12% -8.35% -12.77%
Date of Worst Drawdown 7/15 - 8/15 7/15 - 9/15 3/15 - 6/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 06/13 - 07/17
Year or YTD Program SP500 TR Altegris 40
2017 38.16 11.60 -3.53
2016 62.86 11.98 -3.13
2015 108.57 1.41 0.09
2014 27.52 13.69 15.75
2013 13.18 16.32 0.50
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 06/13 - 07/17
Date: 7/31/2017
Perf: $1,088.06 Date: 6/30/2017
Perf: $1,083.83 Date: 5/31/2017
Perf: $1,116.43 Date: 4/30/2017
Perf: $1,114.31 Date: 3/31/2017
Perf: $1,121.04 Date: 2/28/2017
Perf: $1,137.65 Date: 1/31/2017
Perf: $1,113.38 Date: 12/31/2016
Perf: $1,127.93 Date: 11/30/2016
Perf: $1,119.42 Date: 10/31/2016
Perf: $1,131.87 Date: 9/30/2016
Perf: $1,161.85 Date: 8/31/2016
Perf: $1,177.03 Date: 7/31/2016
Perf: $1,209.57 Date: 6/30/2016
Perf: $1,197.35 Date: 5/31/2016
Perf: $1,148.54 Date: 4/30/2016
Perf: $1,169.00 Date: 3/31/2016
Perf: $1,199.10 Date: 2/29/2016
Perf: $1,234.53 Date: 1/31/2016
Perf: $1,204.89 Date: 12/31/2015
Perf: $1,164.37 Date: 11/30/2015
Perf: $1,191.78 Date: 10/31/2015
Perf: $1,152.48 Date: 9/30/2015
Perf: $1,172.89 Date: 8/31/2015
Perf: $1,147.97 Date: 7/31/2015
Perf: $1,168.18 Date: 6/30/2015
Perf: $1,124.23 Date: 5/31/2015
Perf: $1,185.89 Date: 4/30/2015
Perf: $1,194.49 Date: 3/31/2015
Perf: $1,242.45 Date: 2/28/2015
Perf: $1,215.59 Date: 1/31/2015
Perf: $1,217.54 Date: 12/31/2014
Perf: $1,163.33 Date: 11/30/2014
Perf: $1,143.20 Date: 10/31/2014
Perf: $1,079.00 Date: 9/30/2014
Perf: $1,063.37 Date: 8/31/2014
Perf: $1,047.76 Date: 7/31/2014
Perf: $1,005.24 Date: 6/30/2014
Perf: $1,013.35 Date: 5/31/2014
Perf: $1,004.71 Date: 4/30/2014
Perf: $979.63 Date: 3/31/2014
Perf: $972.24 Date: 2/28/2014
Perf: $986.84 Date: 1/31/2014
Perf: $978.82 Date: 12/31/2013
Perf: $1,005.05 Date: 11/30/2013
Perf: $1,006.46 Date: 10/31/2013
Perf: $988.56 Date: 9/30/2013
Perf: $966.43 Date: 8/31/2013
Perf: $972.27 Date: 7/31/2013
Perf: $991.30 Date: 6/30/2013
Perf: $1,000.00 Date: 7/31/2017
Perf: $1,675.90 Date: 6/30/2017
Perf: $1,642.08 Date: 5/31/2017
Perf: $1,631.96 Date: 4/30/2017
Perf: $1,609.27 Date: 3/31/2017
Perf: $1,592.86 Date: 2/28/2017
Perf: $1,590.95 Date: 1/31/2017
Perf: $1,530.20 Date: 12/31/2016
Perf: $1,501.67 Date: 11/30/2016
Perf: $1,472.52 Date: 10/31/2016
Perf: $1,419.98 Date: 9/30/2016
Perf: $1,446.30 Date: 8/31/2016
Perf: $1,446.01 Date: 7/31/2016
Perf: $1,443.99 Date: 6/30/2016
Perf: $1,392.60 Date: 5/31/2016
Perf: $1,388.99 Date: 4/30/2016
Perf: $1,364.43 Date: 3/31/2016
Perf: $1,359.13 Date: 2/29/2016
Perf: $1,272.83 Date: 1/31/2016
Perf: $1,274.49 Date: 12/31/2015
Perf: $1,341.00 Date: 11/30/2015
Perf: $1,362.53 Date: 10/31/2015
Perf: $1,358.46 Date: 9/30/2015
Perf: $1,252.73 Date: 8/31/2015
Perf: $1,284.45 Date: 7/31/2015
Perf: $1,366.87 Date: 6/30/2015
Perf: $1,338.76 Date: 5/31/2015
Perf: $1,365.25 Date: 4/30/2015
Perf: $1,347.86 Date: 3/31/2015
Perf: $1,335.04 Date: 2/28/2015
Perf: $1,356.47 Date: 1/31/2015
Perf: $1,282.72 Date: 12/31/2014
Perf: $1,322.39 Date: 11/30/2014
Perf: $1,325.70 Date: 10/31/2014
Perf: $1,290.98 Date: 9/30/2014
Perf: $1,260.23 Date: 8/31/2014
Perf: $1,278.12 Date: 7/31/2014
Perf: $1,228.96 Date: 6/30/2014
Perf: $1,246.16 Date: 5/31/2014
Perf: $1,220.89 Date: 4/30/2014
Perf: $1,192.85 Date: 3/31/2014
Perf: $1,184.09 Date: 2/28/2014
Perf: $1,174.23 Date: 1/31/2014
Perf: $1,122.91 Date: 12/31/2013
Perf: $1,163.16 Date: 11/30/2013
Perf: $1,134.46 Date: 10/31/2013
Perf: $1,100.88 Date: 9/30/2013
Perf: $1,052.47 Date: 8/31/2013
Perf: $1,020.42 Date: 7/31/2013
Perf: $1,050.90 Date: 6/30/2013
Perf: $1,000.00 Date: 7/31/2017
Perf: $6,773.48 Date: 6/30/2017
Perf: $6,434.39 Date: 5/31/2017
Perf: $6,263.39 Date: 4/30/2017
Perf: $6,033.52 Date: 3/31/2017
Perf: $5,717.35 Date: 2/28/2017
Perf: $5,034.21 Date: 1/31/2017
Perf: $5,111.91 Date: 12/31/2016
Perf: $4,902.57 Date: 11/30/2016
Perf: $4,753.77 Date: 10/31/2016
Perf: $4,525.68 Date: 9/30/2016
Perf: $4,410.99 Date: 8/31/2016
Perf: $4,286.68 Date: 7/31/2016
Perf: $4,153.76 Date: 6/30/2016
Perf: $3,898.41 Date: 5/31/2016
Perf: $3,975.54 Date: 4/30/2016
Perf: $3,700.24 Date: 3/31/2016
Perf: $3,490.14 Date: 2/29/2016
Perf: $2,916.71 Date: 1/31/2016
Perf: $2,837.82 Date: 12/31/2015
Perf: $3,010.31 Date: 11/30/2015
Perf: $2,885.37 Date: 10/31/2015
Perf: $2,691.83 Date: 9/30/2015
Perf: $2,385.95 Date: 8/31/2015
Perf: $2,089.64 Date: 7/31/2015
Perf: $2,753.88 Date: 6/30/2015
Perf: $2,500.11 Date: 5/31/2015
Perf: $2,392.00 Date: 4/30/2015
Perf: $2,146.06 Date: 3/31/2015
Perf: $2,041.34 Date: 2/28/2015
Perf: $1,848.87 Date: 1/31/2015
Perf: $1,317.14 Date: 12/31/2014
Perf: $1,443.28 Date: 11/30/2014
Perf: $1,511.45 Date: 10/31/2014
Perf: $1,392.01 Date: 9/30/2014
Perf: $1,327.75 Date: 8/31/2014
Perf: $1,337.78 Date: 7/31/2014
Perf: $1,229.92 Date: 6/30/2014
Perf: $1,315.70 Date: 5/31/2014
Perf: $1,304.62 Date: 4/30/2014
Perf: $1,246.77 Date: 3/31/2014
Perf: $1,199.50 Date: 2/28/2014
Perf: $1,124.40 Date: 1/31/2014
Perf: $1,086.79 Date: 12/31/2013
Perf: $1,131.84 Date: 11/30/2013
Perf: $1,070.70 Date: 10/31/2013
Perf: $1,035.20 Date: 9/30/2013
Perf: $951.99 Date: 8/31/2013
Perf: $990.52 Date: 7/31/2013
Perf: $995.00 Date: 6/30/2013
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 06/13 - 07/17
Date: 7/31/2017
Return: 5.27 % Date: 6/30/2017
Return: 2.73 % Date: 5/31/2017
Return: 3.81 % Date: 4/30/2017
Return: 5.53 % Date: 3/31/2017
Return: 13.57 % Date: 2/28/2017
Return: -1.52 % Date: 1/31/2017
Return: 4.27 % Date: 12/31/2016
Return: 3.13 % Date: 11/30/2016
Return: 5.04 % Date: 10/31/2016
Return: 2.60 % Date: 9/30/2016
Return: 2.90 % Date: 8/31/2016
Return: 3.20 % Date: 7/31/2016
Return: 6.55 % Date: 6/30/2016
Return: -1.94 % Date: 5/31/2016
Return: 7.44 % Date: 4/30/2016
Return: 6.02 % Date: 3/31/2016
Return: 19.66 % Date: 2/29/2016
Return: 2.78 % Date: 1/31/2016
Return: -5.73 % Date: 12/31/2015
Return: 4.33 % Date: 11/30/2015
Return: 7.19 % Date: 10/31/2015
Return: 12.82 % Date: 9/30/2015
Return: 14.18 % Date: 8/31/2015
Return: -24.12 % Date: 7/31/2015
Return: 10.15 % Date: 6/30/2015
Return: 4.52 % Date: 5/31/2015
Return: 11.46 % Date: 4/30/2015
Return: 5.13 % Date: 3/31/2015
Return: 10.41 % Date: 2/28/2015
Return: 40.37 % Date: 1/31/2015
Return: -8.74 % Date: 12/31/2014
Return: -4.51 % Date: 11/30/2014
Return: 8.58 % Date: 10/31/2014
Return: 4.84 % Date: 9/30/2014
Return: -0.75 % Date: 8/31/2014
Return: 8.77 % Date: 7/31/2014
Return: -6.52 % Date: 6/30/2014
Return: 0.85 % Date: 5/31/2014
Return: 4.64 % Date: 4/30/2014
Return: 3.94 % Date: 3/31/2014
Return: 6.68 % Date: 2/28/2014
Return: 3.46 % Date: 1/31/2014
Return: -3.98 % Date: 12/31/2013
Return: 5.71 % Date: 11/30/2013
Return: 3.43 % Date: 10/31/2013
Return: 8.74 % Date: 9/30/2013
Return: -3.89 % Date: 8/31/2013
Return: -0.45 % Date: 7/31/2013
Return: -0.50 % Date: 6/30/2013
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 06/13 - 07/17
Return: -2.00 %
Count: 2 Return: 20.00 %
Count: 1 Return: -6.00 %
Count: 1 Return: 13.00 %
Count: 1 Return: 14.00 %
Count: 2 Return: -24.00 %
Count: 1 Return: 11.00 %
Count: 1 Return: 10.00 %
Count: 2 Return: 40.00 %
Count: 1 Return: -9.00 %
Count: 1 Return: -5.00 %
Count: 1 Return: -7.00 %
Count: 1 Return: 1.00 %
Count: 1 Return: 5.00 %
Count: 6 Return: 4.00 %
Count: 4 Return: 7.00 %
Count: 4 Return: 6.00 %
Count: 3 Return: 3.00 %
Count: 8 Return: 9.00 %
Count: 3 Return: -4.00 %
Count: 2 Return: -1.00 %
Count: 2 Return: 0.00 %
Count: 2
Note: All performance data is since program inception.

Underwater Curve
Date Range: 06/13 - 07/17
Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: 0.00 % Date: 5/31/2017
Drawdown: 0.00 % Date: 4/30/2017
Drawdown: 0.00 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: -1.52 % Date: 1/31/2017
Drawdown: 0.00 % Date: 12/31/2016
Drawdown: 0.00 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: 0.00 % Date: 9/30/2016
Drawdown: 0.00 % Date: 8/31/2016
Drawdown: 0.00 % Date: 7/31/2016
Drawdown: 0.00 % Date: 6/30/2016
Drawdown: -1.94 % Date: 5/31/2016
Drawdown: 0.00 % Date: 4/30/2016
Drawdown: 0.00 % Date: 3/31/2016
Drawdown: 0.00 % Date: 2/29/2016
Drawdown: -3.11 % Date: 1/31/2016
Drawdown: -5.73 % Date: 12/31/2015
Drawdown: 0.00 % Date: 11/30/2015
Drawdown: 0.00 % Date: 10/31/2015
Drawdown: -2.25 % Date: 9/30/2015
Drawdown: -13.36 % Date: 8/31/2015
Drawdown: -24.12 % Date: 7/31/2015
Drawdown: 0.00 % Date: 6/30/2015
Drawdown: 0.00 % Date: 5/31/2015
Drawdown: 0.00 % Date: 4/30/2015
Drawdown: 0.00 % Date: 3/31/2015
Drawdown: 0.00 % Date: 2/28/2015
Drawdown: 0.00 % Date: 1/31/2015
Drawdown: -12.86 % Date: 12/31/2014
Drawdown: -4.51 % Date: 11/30/2014
Drawdown: 0.00 % Date: 10/31/2014
Drawdown: 0.00 % Date: 9/30/2014
Drawdown: -0.75 % Date: 8/31/2014
Drawdown: 0.00 % Date: 7/31/2014
Drawdown: -6.52 % 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: -0.66 % Date: 1/31/2014
Drawdown: -3.98 % Date: 12/31/2013
Drawdown: 0.00 % Date: 11/30/2013
Drawdown: 0.00 % Date: 10/31/2013
Drawdown: 0.00 % Date: 9/30/2013
Drawdown: -4.80 % Date: 8/31/2013
Drawdown: -0.95 % Date: 7/31/2013
Drawdown: -0.50 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Alpha Z Advisors, LLC
Address: 29 S. La Salle Suite 850
City: Chicago
State: IL
Zip: 60603
Country: United States
Key People

Employee information is not available.
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.