Altegris Clearing Solutions Kronos Management LLC Simplicity Program
Monthly Performance (%)
Date Range: 10/16 - 05/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 -4.71 -3.06 -0.83 -2.90 6.30 -5.45
2016 7.61 -6.67 0.43
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The Simplicity Program is a discretionary long/short managed futures program. It relies on the understanding of fundamental drivers of commodity cycles and their asymmetrical risk profile to generate absolute return. Macro fundamental research and trend following are the bedrock of the strategy. Technical inputs complement the program by momentum and entry/exit point analysis. Based on the belief that simplicity is the antidote to complexity, the program evaluates trade opportunities using a few robust variables including supply/demand fundamentals, macroeconomic conditions, prevailing bias, technical analysis, and special events. Trade horizons are typically short to medium term, directional in nature, with outsized reward-to- risk ratio providing the basis of the trade. Where appropriate, position and portfolio risk management is accomplished by a combination of correlation shift monitoring, cross hedging, loss/profit objective management, and sentiment monitoring in order to mitigate against counter-trend movements and tail risk events. Careful consideration is given to portfolio construction to avoid risk concentration and to ensure effective hedging. Target margin/equity ratio is in the range of 5% to 20% including hedging positions.

Performance Statistics
Date Range: 10/16 - 05/17
  Program SP500 TR Altegris 40
Total Return -5.04% 12.84% -3.91%
Annualized Return -5.04% 12.84% -3.91%
Annualized Std. Deviation 17.57% 6.06% 4.82%
Correlation 0.09 -0.23
Sharpe Ratio (rf=2.5%) -0.62 2.87 -1.72
Worst Month -6.67% -1.82% -2.58%
Date of Worst Month 12/2016 10/2016 10/2016
Worst Drawdown -16.98% -1.82% -4.17%
Date of Worst Drawdown 11/16 - 4/17 5/17 - 5/17 2/17 - 4/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 10/16 - 05/17
Year or YTD Program SP500 TR Altegris 40
2017 -5.45 8.68 -1.02
2016 0.43 5.75 -0.35
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 10/16 - 05/17
Date: 5/31/2017
Perf: $986.36 Date: 4/30/2017
Perf: $984.49 Date: 3/31/2017
Perf: $990.43 Date: 2/28/2017
Perf: $1,005.11 Date: 1/31/2017
Perf: $983.66 Date: 12/31/2016
Perf: $996.52 Date: 11/30/2016
Perf: $989.00 Date: 10/31/2016
Perf: $1,000.00 Date: 5/31/2017
Perf: $1,149.29 Date: 4/30/2017
Perf: $1,133.31 Date: 3/31/2017
Perf: $1,121.75 Date: 2/28/2017
Perf: $1,120.41 Date: 1/31/2017
Perf: $1,077.63 Date: 12/31/2016
Perf: $1,057.53 Date: 11/30/2016
Perf: $1,037.00 Date: 10/31/2016
Perf: $1,000.00 Date: 5/31/2017
Perf: $949.64 Date: 4/30/2017
Perf: $893.35 Date: 3/31/2017
Perf: $920.04 Date: 2/28/2017
Perf: $927.74 Date: 1/31/2017
Perf: $957.02 Date: 12/31/2016
Perf: $1,004.32 Date: 11/30/2016
Perf: $1,076.10 Date: 10/31/2016
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 10/16 - 05/17
Date: 5/31/2017
Return: 6.30 % Date: 4/30/2017
Return: -2.90 % Date: 3/31/2017
Return: -0.83 % Date: 2/28/2017
Return: -3.06 % Date: 1/31/2017
Return: -4.71 % Date: 12/31/2016
Return: -6.67 % Date: 11/30/2016
Return: 7.61 % Date: 10/31/2016
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 10/16 - 05/17
Return: 6.00 %
Count: 1 Return: -1.00 %
Count: 1 Return: -3.00 %
Count: 2 Return: -5.00 %
Count: 1 Return: -7.00 %
Count: 1 Return: 8.00 %
Count: 1 Return: 0.00 %
Count: 1
Note: All performance data is since program inception.

Underwater Curve
Date Range: 10/16 - 05/17
Date: 5/31/2017
Drawdown: -11.75 % Date: 4/30/2017
Drawdown: -16.98 % Date: 3/31/2017
Drawdown: -14.50 % Date: 2/28/2017
Drawdown: -13.79 % Date: 1/31/2017
Drawdown: -11.07 % Date: 12/31/2016
Drawdown: -6.67 % Date: 11/30/2016
Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Kronos Management LLC
Address: 13827 Shavano Glenn
City: San Antonio
State: TX
Zip: 78230
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.