Altegris Clearing Solutions CTS Asset Management LLC Flagship Program SV (Standard Volatility) *PROP* *QEP*
Monthly Performance (%)
Date Range: 12/15 - 08/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 0.86 1.33 3.10 2.20 3.00 0.74 3.45 1.41 17.22
2016 2.65 0.45 0.59 -1.16 -0.01 -0.66 -0.41 0.72 1.22 0.02 3.26 -0.99 5.72
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The Flagship Program is a diversified short-term managed futures program, with an average hold period of five days. It is 100% systematic and trades outright futures only. Twenty-six markets in the currencies, interest rates, stock indices, energies, metals, and softs sectors are traded. Multiple trading strategies and multiple time frames are used, relying primarily on short-term price patterns and breakouts. Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.

Performance Statistics
Date Range: 12/15 - 08/17
  Program SP500 TR Altegris 40
Total Return 23.93% 23.38% -7.19%
Annualized Return 13.74% 12.76% -4.17%
Annualized Std. Deviation 4.89% 8.14% 7.39%
Correlation -0.03 0.09
Sharpe Ratio (rf=2.5%) 2.30 1.26 -0.90
Worst Month -1.16% -4.96% -2.92%
Date of Worst Month 04/2016 01/2016 06/2017
Worst Drawdown -2.22% -6.58% -12.21%
Date of Worst Drawdown 3/16 - 7/16 12/15 - 2/16 2/16 - 6/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 12/15 - 08/17
Year or YTD Program SP500 TR Altegris 40
2017 17.22 11.95 -1.93
2016 5.72 11.98 -3.13
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 12/15 - 08/17
Date: 8/31/2017
Perf: $949.97 Date: 7/31/2017
Perf: $934.46 Date: 6/30/2017
Perf: $930.83 Date: 5/31/2017
Perf: $958.83 Date: 4/30/2017
Perf: $957.01 Date: 3/31/2017
Perf: $962.79 Date: 2/28/2017
Perf: $977.05 Date: 1/31/2017
Perf: $956.21 Date: 12/31/2016
Perf: $968.70 Date: 11/30/2016
Perf: $961.40 Date: 10/31/2016
Perf: $972.09 Date: 9/30/2016
Perf: $997.84 Date: 8/31/2016
Perf: $1,010.88 Date: 7/31/2016
Perf: $1,038.82 Date: 6/30/2016
Perf: $1,028.33 Date: 5/31/2016
Perf: $986.41 Date: 4/30/2016
Perf: $1,003.98 Date: 3/31/2016
Perf: $1,029.83 Date: 2/29/2016
Perf: $1,060.26 Date: 1/31/2016
Perf: $1,034.80 Date: 12/31/2015
Perf: $1,000.00 Date: 8/31/2017
Perf: $1,253.61 Date: 7/31/2017
Perf: $1,249.74 Date: 6/30/2017
Perf: $1,224.51 Date: 5/31/2017
Perf: $1,216.97 Date: 4/30/2017
Perf: $1,200.05 Date: 3/31/2017
Perf: $1,187.81 Date: 2/28/2017
Perf: $1,186.39 Date: 1/31/2017
Perf: $1,141.09 Date: 12/31/2016
Perf: $1,119.81 Date: 11/30/2016
Perf: $1,098.07 Date: 10/31/2016
Perf: $1,058.89 Date: 9/30/2016
Perf: $1,078.52 Date: 8/31/2016
Perf: $1,078.31 Date: 7/31/2016
Perf: $1,076.80 Date: 6/30/2016
Perf: $1,038.48 Date: 5/31/2016
Perf: $1,035.79 Date: 4/30/2016
Perf: $1,017.47 Date: 3/31/2016
Perf: $1,013.52 Date: 2/29/2016
Perf: $949.16 Date: 1/31/2016
Perf: $950.40 Date: 12/31/2015
Perf: $1,000.00 Date: 8/31/2017
Perf: $1,239.34 Date: 7/31/2017
Perf: $1,222.11 Date: 6/30/2017
Perf: $1,181.35 Date: 5/31/2017
Perf: $1,172.67 Date: 4/30/2017
Perf: $1,138.52 Date: 3/31/2017
Perf: $1,114.01 Date: 2/28/2017
Perf: $1,080.51 Date: 1/31/2017
Perf: $1,066.33 Date: 12/31/2016
Perf: $1,057.24 Date: 11/30/2016
Perf: $1,067.81 Date: 10/31/2016
Perf: $1,034.10 Date: 9/30/2016
Perf: $1,033.89 Date: 8/31/2016
Perf: $1,021.43 Date: 7/31/2016
Perf: $1,014.13 Date: 6/30/2016
Perf: $1,018.30 Date: 5/31/2016
Perf: $1,025.07 Date: 4/30/2016
Perf: $1,025.17 Date: 3/31/2016
Perf: $1,037.20 Date: 2/29/2016
Perf: $1,031.12 Date: 1/31/2016
Perf: $1,026.50 Date: 12/31/2015
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 12/15 - 08/17
Date: 8/31/2017
Return: 1.41 % Date: 7/31/2017
Return: 3.45 % Date: 6/30/2017
Return: 0.74 % Date: 5/31/2017
Return: 3.00 % Date: 4/30/2017
Return: 2.20 % Date: 3/31/2017
Return: 3.10 % Date: 2/28/2017
Return: 1.33 % Date: 1/31/2017
Return: 0.86 % Date: 12/31/2016
Return: -0.99 % Date: 11/30/2016
Return: 3.26 % Date: 10/31/2016
Return: 0.02 % Date: 9/30/2016
Return: 1.22 % Date: 8/31/2016
Return: 0.72 % Date: 7/31/2016
Return: -0.41 % Date: 6/30/2016
Return: -0.66 % Date: 5/31/2016
Return: -0.01 % Date: 4/30/2016
Return: -1.16 % Date: 3/31/2016
Return: 0.59 % Date: 2/29/2016
Return: 0.45 % Date: 1/31/2016
Return: 2.65 % Date: 12/31/2015
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 12/15 - 08/17
Return: 2.00 %
Count: 1 Return: -1.00 %
Count: 3 Return: 1.00 %
Count: 7 Return: 3.00 %
Count: 5 Return: 0.00 %
Count: 5
Note: All performance data is since program inception.

Underwater Curve
Date Range: 12/15 - 08/17
Date: 8/31/2017
Drawdown: 0.00 % 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: 0.00 % Date: 1/31/2017
Drawdown: -0.14 % Date: 12/31/2016
Drawdown: -0.99 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: -0.30 % Date: 9/30/2016
Drawdown: -0.32 % Date: 8/31/2016
Drawdown: -1.52 % Date: 7/31/2016
Drawdown: -2.22 % Date: 6/30/2016
Drawdown: -1.82 % Date: 5/31/2016
Drawdown: -1.17 % Date: 4/30/2016
Drawdown: -1.16 % Date: 3/31/2016
Drawdown: 0.00 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  CTS Asset Management LLC
Address: 2047 W. Hesperus Dr
City: Pueblo West
State: CO
Zip: 81007
Country: US
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.