Altegris Clearing Solutions NuWave Investment Management Corp Matrix Portfolio *QEP*
Monthly Performance (%)
Date Range: 08/15 - 04/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 -1.45 1.28 -1.34 4.23 2.64
2016 5.11 5.77 -6.56 -2.55 -3.92 11.84 0.33 -3.22 1.46 -4.79 -2.84 1.47 0.59
2015 7.17 -4.27 6.80 0.55 10.17
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The Matrix Portfolio pursues a multi-model trend-based approach to investing across a diverse selection of liquid financial and commodities futures markets. The portfolio seeks to provide investors with managed futures “beta” as well as the potential for enhanced “alpha” through the systematic application of approximately 50 individual pattern-based trading models, which collectively provide exposure to short-intermediate- and long-term trading opportunities. The underlying trading models are selected based upon their individual risk/return characteristics, as well as their ability to smooth/diversify overall portfolio returns. While each of the trading models trades the same set of broadly diversified markets (with approximately 65% of market exposure being derived from financial futures (such as stock indices, fixed income and currencies) and approximately 35% of market exposure being derived from commodity futures (such as energies, metals, grains, softs and meats)), each is also differentiated by a unique trading style and time frame. The aggregate portfolio is therefore broadly diversified across markets, time horizons and trading styles.

Performance Statistics
Date Range: 08/15 - 04/17
  Program SP500 TR Altegris 40
Total Return 13.75% 17.73% -4.61%
Annualized Return 8.04% 9.78% -2.66%
Annualized Std. Deviation 16.22% 11.48% 7.85%
Correlation -0.42 0.87
Sharpe Ratio (rf=2.5%) 0.34 0.63 -0.66
Worst Month -6.56% -6.03% -2.87%
Date of Worst Month 03/2016 08/2015 03/2016
Worst Drawdown -12.51% -8.35% -9.81%
Date of Worst Drawdown 2/16 - 5/16 11/15 - 2/16 2/16 - 1/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 08/15 - 04/17
Year or YTD Program SP500 TR Altegris 40
2017 2.64 7.17 -1.21
2016 0.59 11.98 -3.13
2015 10.17 4.40 1.43
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 08/15 - 04/17
Date: 4/30/2017
Perf: $970.68 Date: 3/31/2017
Perf: $976.54 Date: 2/28/2017
Perf: $991.00 Date: 1/31/2017
Perf: $969.86 Date: 12/31/2016
Perf: $982.54 Date: 11/30/2016
Perf: $975.13 Date: 10/31/2016
Perf: $985.97 Date: 9/30/2016
Perf: $1,012.08 Date: 8/31/2016
Perf: $1,025.31 Date: 7/31/2016
Perf: $1,053.65 Date: 6/30/2016
Perf: $1,043.01 Date: 5/31/2016
Perf: $1,000.49 Date: 4/30/2016
Perf: $1,018.31 Date: 3/31/2016
Perf: $1,044.53 Date: 2/29/2016
Perf: $1,075.40 Date: 1/31/2016
Perf: $1,049.58 Date: 12/31/2015
Perf: $1,014.28 Date: 11/30/2015
Perf: $1,038.16 Date: 10/31/2015
Perf: $1,003.92 Date: 9/30/2015
Perf: $1,021.70 Date: 8/31/2015
Perf: $1,000.00 Date: 4/30/2017
Perf: $1,252.88 Date: 3/31/2017
Perf: $1,240.11 Date: 2/28/2017
Perf: $1,238.62 Date: 1/31/2017
Perf: $1,191.33 Date: 12/31/2016
Perf: $1,169.12 Date: 11/30/2016
Perf: $1,146.42 Date: 10/31/2016
Perf: $1,105.51 Date: 9/30/2016
Perf: $1,126.01 Date: 8/31/2016
Perf: $1,125.78 Date: 7/31/2016
Perf: $1,124.21 Date: 6/30/2016
Perf: $1,084.20 Date: 5/31/2016
Perf: $1,081.39 Date: 4/30/2016
Perf: $1,062.27 Date: 3/31/2016
Perf: $1,058.14 Date: 2/29/2016
Perf: $990.95 Date: 1/31/2016
Perf: $992.24 Date: 12/31/2015
Perf: $1,044.03 Date: 11/30/2015
Perf: $1,060.79 Date: 10/31/2015
Perf: $1,057.62 Date: 9/30/2015
Perf: $975.30 Date: 8/31/2015
Perf: $1,000.00 Date: 4/30/2017
Perf: $1,137.52 Date: 3/31/2017
Perf: $1,091.36 Date: 2/28/2017
Perf: $1,106.18 Date: 1/31/2017
Perf: $1,092.20 Date: 12/31/2016
Perf: $1,108.27 Date: 11/30/2016
Perf: $1,092.21 Date: 10/31/2016
Perf: $1,124.14 Date: 9/30/2016
Perf: $1,180.69 Date: 8/31/2016
Perf: $1,163.70 Date: 7/31/2016
Perf: $1,202.42 Date: 6/30/2016
Perf: $1,198.47 Date: 5/31/2016
Perf: $1,071.59 Date: 4/30/2016
Perf: $1,115.31 Date: 3/31/2016
Perf: $1,144.50 Date: 2/29/2016
Perf: $1,224.85 Date: 1/31/2016
Perf: $1,158.03 Date: 12/31/2015
Perf: $1,101.73 Date: 11/30/2015
Perf: $1,095.70 Date: 10/31/2015
Perf: $1,025.94 Date: 9/30/2015
Perf: $1,071.70 Date: 8/31/2015
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 08/15 - 04/17
Date: 4/30/2017
Return: 4.23 % Date: 3/31/2017
Return: -1.34 % Date: 2/28/2017
Return: 1.28 % Date: 1/31/2017
Return: -1.45 % Date: 12/31/2016
Return: 1.47 % Date: 11/30/2016
Return: -2.84 % Date: 10/31/2016
Return: -4.79 % Date: 9/30/2016
Return: 1.46 % Date: 8/31/2016
Return: -3.22 % Date: 7/31/2016
Return: 0.33 % Date: 6/30/2016
Return: 11.84 % Date: 5/31/2016
Return: -3.92 % Date: 4/30/2016
Return: -2.55 % Date: 3/31/2016
Return: -6.56 % Date: 2/29/2016
Return: 5.77 % Date: 1/31/2016
Return: 5.11 % Date: 12/31/2015
Return: 0.55 % Date: 11/30/2015
Return: 6.80 % Date: 10/31/2015
Return: -4.27 % Date: 9/30/2015
Return: 7.17 % Date: 8/31/2015
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 08/15 - 04/17
Return: 4.00 %
Count: 1 Return: -1.00 %
Count: 2 Return: -5.00 %
Count: 1 Return: 12.00 %
Count: 1 Return: -3.00 %
Count: 3 Return: -7.00 %
Count: 1 Return: 6.00 %
Count: 1 Return: 5.00 %
Count: 1 Return: 1.00 %
Count: 4 Return: -4.00 %
Count: 2 Return: 7.00 %
Count: 2 Return: 0.00 %
Count: 2
Note: All performance data is since program inception.

Underwater Curve
Date Range: 08/15 - 04/17
Date: 4/30/2017
Drawdown: -7.13 % Date: 3/31/2017
Drawdown: -10.90 % Date: 2/28/2017
Drawdown: -9.69 % Date: 1/31/2017
Drawdown: -10.83 % Date: 12/31/2016
Drawdown: -9.52 % Date: 11/30/2016
Drawdown: -10.83 % Date: 10/31/2016
Drawdown: -8.22 % Date: 9/30/2016
Drawdown: -3.60 % Date: 8/31/2016
Drawdown: -4.99 % Date: 7/31/2016
Drawdown: -1.83 % Date: 6/30/2016
Drawdown: -2.15 % Date: 5/31/2016
Drawdown: -12.51 % Date: 4/30/2016
Drawdown: -8.94 % Date: 3/31/2016
Drawdown: -6.56 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: 0.00 % Date: 12/31/2015
Drawdown: 0.00 % Date: 11/30/2015
Drawdown: 0.00 % Date: 10/31/2015
Drawdown: -4.27 % Date: 9/30/2015
Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  NuWave Investment Management Corp
Address: 35 Waterview Blvd
City: Parsippany
State: NJ
Zip: 07054
Country: USA
Key People
Name:  Troy Buckner
Position:  Principal
Biography: 

Troy W. Buckner is the Founder and Managing Principal of NuWave Investment Management, LLC (“NuWave”). Mr. Buckner founded NuWave in 2000 and has for more than a decade directly overseen the firm’s investment activities. Mr. Buckner’s primary responsibilities include the strategic management of the firm, as well as serving as Co-Head of Research and Chairman of NuWave’s Management and Risk Committees. As the primary architect of NuWave’s investment style, Mr. Buckner remains intimately involved in the firm’s ongoing research efforts, as well as playing an active role in the design and implementation of NuWave’s proprietary modeling platform and trade execution infrastructure. Mr. Buckner’s extensive market experience is complemented years of experience developing innovative investment methods. Prior to founding NuWave, Mr. Buckner had significant experience in the investment industry, having begun his career as an equities derivatives and portfolio sales specialist at Salomon Brothers, Inc. (1986 – 1989) before developing futures and equity based trading strategies at such firms as George E. Warren Corporation (1989-1991), Classic Capital (1994 – 1995) and Hyman Beck & Company (1995 - 2000). Mr. Buckner graduated Magna Cum Laude from the University of Delaware with a double major (finance/accounting) and a minor (economics) before earning his M.B.A from the University of Chicago.


Name:  Yury V. Orlov
Position:  Principal
Biography: 

Yury V. Orlov is the Co-Head of Research and a principal of NuWave Investment Management, LLC (“NuWave”). Dr. Orlov joined NuWave in October of 2003 and, along with Mr. Buckner, is directly responsible for the firm’s research and development efforts, including the design and implementation of NuWave’s proprietary modeling platform and trade execution infrastructure, as well as the managerial oversight of the firm’s team of research professionals. Dr. Orlov first became acquainted with Mr. Buckner in 1997, while serving as a Research Scientist at the Nuclear Physics Institute, Moscow State University (1986-2003), and ultimately assumed a role as a consultant to NuWave in 2000, before moving to the United States and joining the firm as a principal in 2003. Dr. Orlov is an expert in the fields of data analysis, pattern recognition, time series analysis and computer programming, having performed advanced modeling techniques relating to both public sector and private sector initiatives, while also authoring and/or co-authoring more than 50 research papers, many of which have been published in scientific journals and discussed during international conferences. Dr. Orlov received a Master’s Degree in Physics and PhD in Pattern Recognition for Data Analysis and Time Series Segmentation from Moscow State University.


Name:  Craig A. Weynand
Position:  Principal
Biography: 

Craig A. Weynand is the Chief Operating Officer of NuWave Investment Management, LLC (“NuWave”). Mr. Weynand joined NuWave in March of 2009 and is directly responsible for the management and oversight of all aspects of the firm’s general business operations. In this capacity, Mr. Weynand serves as Chairman of NuWave’s Trading, Technology and Compliance Committees, as well as being a senior member of the firm’s Management and Risk Committees. Mr. Weynand began his career at Morgan Stanley and predecessors (1990-2003), where he held positions of increasing responsibility at various Morgan Stanley entities, culminating in the managerial oversight of CTA selection, manager due diligence, product development and performance reporting for the Managed Futures Department. Thereafter, Mr. Weynand served as General Counsel and a member of the Executive Management team at Campbell & Company, Inc. (2003-2005), where he was responsible for all aspects of legal affairs and regulatory compliance, as well as general oversight of the firm’s trade support and internal audit functions, before joining Graham Capital Management as Director of Investor Services (2006-2009), broadly overseeing the firm’s investor relations, marketing and product development efforts. Mr. Weynand received a J.D. from the Fordham University School of Law after earning a B.S. (double major in Marketing and International Business) and an M.B.A. from New York University’s Leonard N. Stern School of Business.


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.