Altegris Clearing Solutions GNE Management LLC S&P Futures & Options Strategies
Monthly Performance (%)
Date Range: 11/13 - 08/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 2.84 -3.24 5.11 1.52 1.69 1.07 0.70 2.41 12.54
2016 0.31 1.04 -1.96 2.68 3.29 2.50 -2.17 3.99 2.67 0.56 4.44 0.35 18.91
2015 1.29 1.94 3.09 1.72 1.69 1.14 3.23 -8.87 8.81 -0.94 6.67 2.17 23.07
2014 5.43 4.82 2.41 6.10 -0.32 0.64 -3.56 5.85 -3.58 1.98 0.53 5.17 27.84
2013 -0.21 -0.21
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

GNE’s trading program “S&P Futures and Options Strategies” is based on the core belief that "markets can remain irrational much longer than one can remain solvent". GNE uses negatively correlated trading strategies against the same underlying to take advantage of statistically calculated opportunities while minimizing risks when markets stop conforming to overbought or oversold conditions as calculated by our indicators. The GNE Team has developed a rules-based Options strategy which uses market timing techniques to take advantage of mean reverting nature of volatility and a number of algorithmically traded Futures strategies which take advantage of directional market moves. Both directional and mean reverting strategies use the S&P 500 Index as the underlying thus ensuring perfect negative correlation. Our program design goal was to create a stable instrument with low correlation to most investment assets, including equity/fix income portfolios, hedge funds and other CTA programs, thereby providing great diversification tool for any portfolio.

Performance Statistics
Date Range: 11/13 - 08/17
  Program SP500 TR Altegris 40
Total Return 110.11% 52.71% 11.89%
Annualized Return 21.89% 11.68% 2.97%
Annualized Std. Deviation 10.69% 9.66% 8.60%
Correlation 0.02 0.11
Sharpe Ratio (rf=2.5%) 1.81 0.95 0.06
Worst Month -8.87% -6.03% -5.20%
Date of Worst Month 08/2015 08/2015 06/2015
Worst Drawdown -8.87% -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: 11/13 - 08/17
Year or YTD Program SP500 TR Altegris 40
2017 12.54 11.95 -1.93
2016 18.91 11.98 -3.13
2015 23.07 1.41 0.09
2014 27.84 13.69 15.75
2013 -0.21 2.53 -0.14
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 11/13 - 08/17
Date: 8/31/2017
Perf: $1,099.02 Date: 7/31/2017
Perf: $1,081.08 Date: 6/30/2017
Perf: $1,076.88 Date: 5/31/2017
Perf: $1,109.27 Date: 4/30/2017
Perf: $1,107.16 Date: 3/31/2017
Perf: $1,113.85 Date: 2/28/2017
Perf: $1,130.35 Date: 1/31/2017
Perf: $1,106.23 Date: 12/31/2016
Perf: $1,120.69 Date: 11/30/2016
Perf: $1,112.24 Date: 10/31/2016
Perf: $1,124.61 Date: 9/30/2016
Perf: $1,154.39 Date: 8/31/2016
Perf: $1,169.48 Date: 7/31/2016
Perf: $1,201.81 Date: 6/30/2016
Perf: $1,189.67 Date: 5/31/2016
Perf: $1,141.17 Date: 4/30/2016
Perf: $1,161.50 Date: 3/31/2016
Perf: $1,191.40 Date: 2/29/2016
Perf: $1,226.61 Date: 1/31/2016
Perf: $1,197.16 Date: 12/31/2015
Perf: $1,156.90 Date: 11/30/2015
Perf: $1,184.13 Date: 10/31/2015
Perf: $1,145.08 Date: 9/30/2015
Perf: $1,165.36 Date: 8/31/2015
Perf: $1,140.61 Date: 7/31/2015
Perf: $1,160.69 Date: 6/30/2015
Perf: $1,117.01 Date: 5/31/2015
Perf: $1,178.28 Date: 4/30/2015
Perf: $1,186.83 Date: 3/31/2015
Perf: $1,234.48 Date: 2/28/2015
Perf: $1,207.79 Date: 1/31/2015
Perf: $1,209.72 Date: 12/31/2014
Perf: $1,155.86 Date: 11/30/2014
Perf: $1,135.87 Date: 10/31/2014
Perf: $1,072.08 Date: 9/30/2014
Perf: $1,056.55 Date: 8/31/2014
Perf: $1,041.04 Date: 7/31/2014
Perf: $998.79 Date: 6/30/2014
Perf: $1,006.84 Date: 5/31/2014
Perf: $998.26 Date: 4/30/2014
Perf: $973.34 Date: 3/31/2014
Perf: $966.00 Date: 2/28/2014
Perf: $980.51 Date: 1/31/2014
Perf: $972.54 Date: 12/31/2013
Perf: $998.60 Date: 11/30/2013
Perf: $1,000.00 Date: 8/31/2017
Perf: $1,481.86 Date: 7/31/2017
Perf: $1,477.28 Date: 6/30/2017
Perf: $1,447.46 Date: 5/31/2017
Perf: $1,438.54 Date: 4/30/2017
Perf: $1,418.54 Date: 3/31/2017
Perf: $1,404.08 Date: 2/28/2017
Perf: $1,402.39 Date: 1/31/2017
Perf: $1,348.84 Date: 12/31/2016
Perf: $1,323.69 Date: 11/30/2016
Perf: $1,297.99 Date: 10/31/2016
Perf: $1,251.68 Date: 9/30/2016
Perf: $1,274.88 Date: 8/31/2016
Perf: $1,274.63 Date: 7/31/2016
Perf: $1,272.85 Date: 6/30/2016
Perf: $1,227.55 Date: 5/31/2016
Perf: $1,224.37 Date: 4/30/2016
Perf: $1,202.72 Date: 3/31/2016
Perf: $1,198.05 Date: 2/29/2016
Perf: $1,121.98 Date: 1/31/2016
Perf: $1,123.44 Date: 12/31/2015
Perf: $1,182.07 Date: 11/30/2015
Perf: $1,201.04 Date: 10/31/2015
Perf: $1,197.45 Date: 9/30/2015
Perf: $1,104.25 Date: 8/31/2015
Perf: $1,132.22 Date: 7/31/2015
Perf: $1,204.87 Date: 6/30/2015
Perf: $1,180.09 Date: 5/31/2015
Perf: $1,203.44 Date: 4/30/2015
Perf: $1,188.11 Date: 3/31/2015
Perf: $1,176.81 Date: 2/28/2015
Perf: $1,195.71 Date: 1/31/2015
Perf: $1,130.69 Date: 12/31/2014
Perf: $1,165.66 Date: 11/30/2014
Perf: $1,168.58 Date: 10/31/2014
Perf: $1,137.97 Date: 9/30/2014
Perf: $1,110.87 Date: 8/31/2014
Perf: $1,126.64 Date: 7/31/2014
Perf: $1,083.31 Date: 6/30/2014
Perf: $1,098.46 Date: 5/31/2014
Perf: $1,076.19 Date: 4/30/2014
Perf: $1,051.48 Date: 3/31/2014
Perf: $1,043.75 Date: 2/28/2014
Perf: $1,035.06 Date: 1/31/2014
Perf: $989.82 Date: 12/31/2013
Perf: $1,025.30 Date: 11/30/2013
Perf: $1,000.00 Date: 8/31/2017
Perf: $2,101.05 Date: 7/31/2017
Perf: $2,051.61 Date: 6/30/2017
Perf: $2,037.35 Date: 5/31/2017
Perf: $2,015.78 Date: 4/30/2017
Perf: $1,982.28 Date: 3/31/2017
Perf: $1,952.60 Date: 2/28/2017
Perf: $1,857.67 Date: 1/31/2017
Perf: $1,919.87 Date: 12/31/2016
Perf: $1,866.85 Date: 11/30/2016
Perf: $1,860.34 Date: 10/31/2016
Perf: $1,781.26 Date: 9/30/2016
Perf: $1,771.34 Date: 8/31/2016
Perf: $1,725.27 Date: 7/31/2016
Perf: $1,659.07 Date: 6/30/2016
Perf: $1,695.88 Date: 5/31/2016
Perf: $1,654.51 Date: 4/30/2016
Perf: $1,601.81 Date: 3/31/2016
Perf: $1,560.00 Date: 2/29/2016
Perf: $1,591.19 Date: 1/31/2016
Perf: $1,574.81 Date: 12/31/2015
Perf: $1,569.95 Date: 11/30/2015
Perf: $1,536.60 Date: 10/31/2015
Perf: $1,440.52 Date: 9/30/2015
Perf: $1,454.19 Date: 8/31/2015
Perf: $1,336.45 Date: 7/31/2015
Perf: $1,466.53 Date: 6/30/2015
Perf: $1,420.64 Date: 5/31/2015
Perf: $1,404.63 Date: 4/30/2015
Perf: $1,381.29 Date: 3/31/2015
Perf: $1,357.93 Date: 2/28/2015
Perf: $1,317.23 Date: 1/31/2015
Perf: $1,292.16 Date: 12/31/2014
Perf: $1,275.70 Date: 11/30/2014
Perf: $1,212.99 Date: 10/31/2014
Perf: $1,206.60 Date: 9/30/2014
Perf: $1,183.17 Date: 8/31/2014
Perf: $1,227.10 Date: 7/31/2014
Perf: $1,159.28 Date: 6/30/2014
Perf: $1,202.08 Date: 5/31/2014
Perf: $1,194.43 Date: 4/30/2014
Perf: $1,198.27 Date: 3/31/2014
Perf: $1,129.37 Date: 2/28/2014
Perf: $1,102.80 Date: 1/31/2014
Perf: $1,052.09 Date: 12/31/2013
Perf: $997.90 Date: 11/30/2013
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 11/13 - 08/17
Date: 8/31/2017
Return: 2.41 % Date: 7/31/2017
Return: 0.70 % Date: 6/30/2017
Return: 1.07 % Date: 5/31/2017
Return: 1.69 % Date: 4/30/2017
Return: 1.52 % Date: 3/31/2017
Return: 5.11 % Date: 2/28/2017
Return: -3.24 % Date: 1/31/2017
Return: 2.84 % Date: 12/31/2016
Return: 0.35 % Date: 11/30/2016
Return: 4.44 % Date: 10/31/2016
Return: 0.56 % Date: 9/30/2016
Return: 2.67 % Date: 8/31/2016
Return: 3.99 % Date: 7/31/2016
Return: -2.17 % Date: 6/30/2016
Return: 2.50 % Date: 5/31/2016
Return: 3.29 % Date: 4/30/2016
Return: 2.68 % Date: 3/31/2016
Return: -1.96 % Date: 2/29/2016
Return: 1.04 % Date: 1/31/2016
Return: 0.31 % Date: 12/31/2015
Return: 2.17 % Date: 11/30/2015
Return: 6.67 % Date: 10/31/2015
Return: -0.94 % Date: 9/30/2015
Return: 8.81 % Date: 8/31/2015
Return: -8.87 % Date: 7/31/2015
Return: 3.23 % Date: 6/30/2015
Return: 1.14 % Date: 5/31/2015
Return: 1.69 % Date: 4/30/2015
Return: 1.72 % Date: 3/31/2015
Return: 3.09 % Date: 2/28/2015
Return: 1.94 % Date: 1/31/2015
Return: 1.29 % Date: 12/31/2014
Return: 5.17 % Date: 11/30/2014
Return: 0.53 % Date: 10/31/2014
Return: 1.98 % Date: 9/30/2014
Return: -3.58 % Date: 8/31/2014
Return: 5.85 % Date: 7/31/2014
Return: -3.56 % Date: 6/30/2014
Return: 0.64 % Date: 5/31/2014
Return: -0.32 % Date: 4/30/2014
Return: 6.10 % Date: 3/31/2014
Return: 2.41 % Date: 2/28/2014
Return: 4.82 % Date: 1/31/2014
Return: 5.43 % Date: 12/31/2013
Return: -0.21 % Date: 11/30/2013
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 11/13 - 08/17
Return: -3.00 %
Count: 1 Return: 4.00 %
Count: 2 Return: -2.00 %
Count: 2 Return: 7.00 %
Count: 1 Return: -1.00 %
Count: 1 Return: 9.00 %
Count: 1 Return: -9.00 %
Count: 1 Return: 3.00 %
Count: 6 Return: -4.00 %
Count: 2 Return: 1.00 %
Count: 8 Return: 6.00 %
Count: 2 Return: 2.00 %
Count: 10 Return: 5.00 %
Count: 4 Return: 0.00 %
Count: 5
Note: All performance data is since program inception.

Underwater Curve
Date Range: 11/13 - 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: -3.24 % 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: -2.17 % Date: 6/30/2016
Drawdown: 0.00 % Date: 5/31/2016
Drawdown: 0.00 % Date: 4/30/2016
Drawdown: 0.00 % Date: 3/31/2016
Drawdown: -1.96 % 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: -1.77 % Date: 9/30/2015
Drawdown: -0.84 % Date: 8/31/2015
Drawdown: -8.87 % 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: 0.00 % Date: 12/31/2014
Drawdown: 0.00 % Date: 11/30/2014
Drawdown: -1.15 % Date: 10/31/2014
Drawdown: -1.67 % Date: 9/30/2014
Drawdown: -3.58 % Date: 8/31/2014
Drawdown: 0.00 % Date: 7/31/2014
Drawdown: -3.56 % Date: 6/30/2014
Drawdown: 0.00 % Date: 5/31/2014
Drawdown: -0.32 % Date: 4/30/2014
Drawdown: 0.00 % Date: 3/31/2014
Drawdown: 0.00 % Date: 2/28/2014
Drawdown: 0.00 % Date: 1/31/2014
Drawdown: 0.00 % Date: 12/31/2013
Drawdown: -0.21 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  GNE Management LLC
Address: 9 Bennett CT
City: Marlboro
State: NJ
Zip: 07746
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.