Altegris Clearing Solutions Cayler Capital LLC The Cayler Energy Program
Monthly Performance (%)
Date Range: 12/16 - 03/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 -0.08 -1.59 4.38 2.64
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The Cayler Energy Program utilizes a combination of technical and fundamental analysis, combined with the Advisor’s eight years of experience in managing risk and identifying trading opportunities. Trading decisions are supported by six proprietary energy trading models developed by the Advisor. Three of these models are based on fundamental analysis and three are based on technical analysis. The program trades energy futures and options. Markets generally traded include West Texas Intermediate crude oil, Brent crude oil, gasoline (RBOB), and heating oil, though the Advisor may trade any energy markets that meet its selection criteria in its sole discretion. Futures trade types typically include outrights, spreads, cracks and basis markets. Options trade types usually include calendar option spreads, arbitrage options, basis options, and American, European and average price options. Typical trade time frames are approximately four weeks. P&L targets are used to evaluate trades, with risk considered on a per-trade basis and as to its effect on the current portfolio of open trades. Margin to equity ratios generally are in the range of 15 to 25 percent. Cayler Capital will focus on trading the WTI, Brent, Gasoline, and Heating Oil futures, swaps, and options markets. The firm’s trading strategy will utilize the various options markets to catch longer term trends identified by the proprietary models. Cayler Capital will be running 3 fundamental and 3 technical trading models to identify the breadth and depth of various oil moves. The risk profile of the firm will aim for a 3:1 profit to loss ratio on trades with a strict drawdown on each position. We utilize a top down investment process: –> Global Macro Outlook –> Global Oil Fundamentals –> Geographic Oil Fundamentals –> Oil Product Fundamentals –> Technical Analysis for trade entry and exit. Our investment process follows these steps: 1. Analyze oil fundamental data. 2. Run algorithmic trading strategies. 3. Identify Long Term supply and demand imbalances. 4. Identify potential trades. 5. Distill asymmetric ways to express trades. Our trading edge is defined by: 1. Gap in risk appetite from banks and oil hedge funds, will allow Cayler Capital to generate alpha from pricing discrepancies. The market is currently undergoing a re-pricing of longer term energy contracts due to the recent volatility. 2. Proprietary models will drive short term (2 to 4 weeks) trading decisions while long term Supply and Demand models will drive longer term (12 months) portfolio positioning 3. Deep fundamental and technical knowledge of energy oil market. Ability to be nimble and trade the entire barrel allows Cayler Capital to capture pricing discrepancies and arbitrage opportunities. 4. Diversification across tenors, models, and strategies seeks to mitigate drawdowns while capturing long term profitability.

Performance Statistics
Date Range: 12/16 - 03/17
  Program SP500 TR Altegris 40
Total Return 2.64% 8.17% 0.14%
Annualized Return 2.64% 8.17% 0.14%
Annualized Std. Deviation 8.78% 4.72% 5.23%
Correlation -0.93 -0.73
Sharpe Ratio (rf=2.5%) 0.97 5.10 -0.39
Worst Month -1.59% 0.12% -1.46%
Date of Worst Month 02/2017 03/2017 03/2017
Worst Drawdown -1.67% 0.00% -1.46%
Date of Worst Drawdown 12/16 - 2/17 3/17 - 3/17 2/17 - 3/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 12/16 - 03/17
Year or YTD Program SP500 TR Altegris 40
2017 2.64 6.07 -0.61
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 12/16 - 03/17
Date: 3/31/2017
Perf: $993.89 Date: 2/28/2017
Perf: $1,008.62 Date: 1/31/2017
Perf: $987.10 Date: 12/31/2016
Perf: $1,000.00 Date: 3/31/2017
Perf: $1,060.73 Date: 2/28/2017
Perf: $1,059.45 Date: 1/31/2017
Perf: $1,019.00 Date: 12/31/2016
Perf: $1,000.00 Date: 3/31/2017
Perf: $1,026.38 Date: 2/28/2017
Perf: $983.31 Date: 1/31/2017
Perf: $999.20 Date: 12/31/2016
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 12/16 - 03/17
Date: 3/31/2017
Return: 4.38 % Date: 2/28/2017
Return: -1.59 % Date: 1/31/2017
Return: -0.08 % Date: 12/31/2016
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 12/16 - 03/17
Return: 4.00 %
Count: 1 Return: -2.00 %
Count: 1 Return: 0.00 %
Count: 2
Note: All performance data is since program inception.

Underwater Curve
Date Range: 12/16 - 03/17
Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: -1.67 % Date: 1/31/2017
Drawdown: -0.08 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Cayler Capital LLC
Address: 895 Dove Street Suite 356
City: Newport Beach
State: CA
Zip: 92660
Country: USA
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.