Footnotes:
1 Altegris calculates the dollar-weighted average performance of those 40 managed futures programs for the monthly Altegris 40 Index performance.

2 Please see www.rhoam.ch for more information about Rho Asset Management.

3 Defined by the aggregate standard deviation of 38 markets. Standard deviation is a statistical measure of how a consistent set of data are over time; a lower standard deviation indicates historically less volatility.

4 Illustrative Example: Volatility Compression
• Volatility of 78 percent for February 2009 indicates an increase in volatility of 78 percent compared to the previous year.
• Volatility of 53 percent for March 2009 indicates an increase in volatility of 53 percent compared to the previous year.
• Volatility of 38 percent for April 2009 indicates an increase in volatility of 38 percent compared to the previous year.

Thus, April 2009 volatility is weakening compared to February 2009 volatility (i.e., not increasing by as much).

 Illustrative Example: Volatility Expansion
• Volatility of -29 percent for August 2010 indicates a decrease in volatility of -29 percent compared to the previous year.
• Volatility of -26 percent for September 2010 indicates a decrease in volatility of -26 percent compared to the previous year.
• Volatility of -12 percent for October 2010 indicates a decrease in volatility of -12 percent compared to the previous year.

Thus, October 2010 volatility is strengthening compared to August 2010 volatility (i.e., not decreasing by as much).

5 Managed futures (excess) returns are derived by subtracting the monthly interest income earned from the monthly return of managed futures (using the Altegris 40 Index). The “monthly interest income earned” is based on the assumption that 20 percent of cash in a managed futures portfolio would be posted as collateral and would not have earned the risk-free rate, while the remaining 80% would have earned the risk-free rate (using the 3-month US T-bill rate).

6 The historical correlation (January 1990–December 2012) of managed futures to US stocks and US bonds is -0.12 and 0.23, respectively. Managed futures represented by the Altegris 40 Index (started July 2000, data available back to 1990), US stocks represented by the S&P 500 Total Return Index, and US Bonds represented by the Barclays US Aggregate Bond Index.     

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Index Descriptions

An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an invest- ment product based on the index, which may materially affect the performance data presented.

Commodities. the S&P GSCI Total Return Index measures a fully collateralized commodity futures investment and currently includes 24 commodity nearby futures contracts.

International Stocks. The MSCI EAFE Index is a capitalization-weighted index widely accepted as a benchmark of non-us stocks compiled by morgan stanley. it represents an aggregate of 21 individual country indices that collectively represent many of the major markets of the world.

Managed Futures. The Altegris 40 Index® tracks the performance of the 40 leading managed futures programs, by ending monthly equity (assets) for the previous month, as reported to altegris. the altegris 40 index represents the dollar-weighted average perfor- mance of those 40 constituent programs. the index started in July 2000; data is available back to 1990.

REITs The FTSE NAREIT Composite Total Return Index includes both price and income returns of all publicly traded REits (equity, mortgage, and hybrid). the index began on december 31, 1971 with a base value of 100.

US Bonds. The Barclays Capital U.S. Aggregate Bond Index represents securities that are sEc-registered, taxable, and dollar de- nominated. the index covers the u.s. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. these major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. these specific indices include the government/credit index, government index, treasury index, agency index, and credit index.

US Stocks. The S&P 500 Total Return Index, is the total return version of sSP 500 index. the S&P 500 index is unmanaged and is generally representative of certain portions of the u.s. equity markets. for the S&P 500 total return index, dividends are reinvested on a daily basis and the base date for the index is January 4, 1988. all regular cash dividends are assumed reinvested in the S&P 500 index on the ex-date. special cash dividends trigger a price adjustment in the price return index.

Glossary

Drawdown
. A drawdown is any losing period during an investment time frame. it is calculated by taking the peak-to-valley loss relative to the peak for a stated time period. the figure is expressed as a percentage.

Long. Buying an asset/security that gives partial ownership to the buyer of the position. long positions profit from an increase in price.

Sharpe Ratio. Measures the return in excess of the risk-free rate, per unit of risk, as measured by standard deviation.

Short. Selling an asset/security that may have been borrowed from a third party with the intention of buying back at a later date. short positions profit from a decline in price. if a short position increases in price, covering the short position at a higher price may result in a loss.

Specialized. Trading programs that generally seek to capitalize on short-term market fluctuations, often using trend or counter-trend strategies with a shorter time horizon.

Standard deviation. A statistical measure of how consistent returns are over time; a lower standard deviation indicates historically less volatility.

Trend following. A core managed futures strategy that generally seeks to profit from the continuation of medium to long-term directional price moves in a market.

RIsks And Important Considerations
Altegris Advisors LLC is a CFTC-registered commodity pool operator, commodity trading advisor, and SEC-registered investment adviser that advises alternative strategy mutual funds that may pursue investment returns through a combination of managed futures, macro, equity long/short, fixed income and/or other investment strategies.

It is important to note that all investments are subject to risk that affect their performance in different market cycles. Equity securities are subject to the risk of decline due to adverse company or industry news or general economic decline. International stocks are often more risky than domestic stocks due to adverse economic, social, and political factors as well as differing legal and auditing stan- dards. Commodities are affected by adverse weather, geologic and environmental factors and heightened regulatory oversight. Bonds are subject to risk of default, credit risk, and interest rate risk; when interest rates rise, bond prices fall.

There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent upon the ability of a commodity trading advisor (CTA) to identify profit- able investment opportunities and successfully trade, which is difficult, requires skill, and involves a significant degree of uncertainty. CTAs may trade highly illiquid markets, or on foreign markets, and the high degree of leverage often obtainable in commodity trading can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate for the busi- ness and financial risks assumed. Managed Futures and commodities accounts may be subject to substantial charges for management and advisory fees. Past results are not necessarily indicative of future results. Mutual funds involve risk including possible loss of principal. An investment in an alternatives strategy mutual fund should only be made after careful study of the prospectus, including the description of the objectives, principal risks, charges, and expenses of the fund.

The analysis herein is based on numerous assumptions and past market conditions. Different benchmarks, market conditions and other assumptions could result in materially different outcomes. The reference to the statements or opinions of persons or firms not affili- ated with Altegris is intended for informational purposes only and does not constitute investment research, and should not be viewed as investment advice. The inclusion of such does not constitute endorsement, sponsorship by, or affiliation with Altegris with respect to any persons or firms named.


ABOUT ALTEGRIS
Altegris searches the world to find what we believe are the best alternative investments. Our suite of alternative investment solutions are designed for financial professionals and individuals seeking to improve portfolio diversification.

With one of the leading research and investment groups focused solely on alternatives, Altegris follows a disciplined process for identifying, evaluating, selecting and monitoring investment talent across a spectrum of alternative strategies including managed futures, global macro, long/short equity, event-driven and others.

Veteran experts in the art and science of alternatives, Altegris guides investors through the complex
and often opaque universe of alternative investing. Alternatives are in our DNA. Our very name, Altegris, highlights our singular focus on alternatives, the highest standards of integrity, and a process that constantly seeks to minimize investor risk while maximizing potential returns.

The Altegris Companies,* wholly owned subsidiaries of Genworth Financial, Inc., include Altegris Investments, Altegris Advisors, Altegris Funds, and Altegris Clearing Solutions. Altegris currently has approximately $3.24 billion in client assets, and provides clearing services to $843 million in institutional client assets.

*Altegris and its affiliates are subsidiaries of Genworth Financial, Inc. and are affiliated with Genworth Financial Wealth Management, Inc., and include: (1) Altegris Advisors, L.L.C., an SEC-registered investment adviser, CFTC-registered commodity pool operator, commodity trading advisor, and NFA member; (2) Altegris Investments, Inc., an SEC-registered broker-dealer and FINRA member; (3) Altegris Portfolio Management, Inc. (dba Altegris Funds), a CFTC-registered commodity pool operator, NFA member and SEC-registered investment adviser; and (4) Altegris Clearing Solutions, LLC, a CFTC registered futures introducing broker and commodity trading advisor and NFA member. The Altegris Companies and their affiliates have a financial interest in the products they sponsor, advise and/or recommend, as applicable. Depending on the investment, the Altegris Companies and their affiliates and employees may receive sales commissions, a portion of management or incentive fees, investment advisory fees, 12b-1 fees or similar payment for distribution, a portion of commodity futures trading commissions, margin interest and other futures-related charges, fee revenue, and/or advisory consulting fees.

Genworth Financial, Inc. (NYSE: GNW) is a leading Fortune 500 insurance holding company dedicated to helping people secure their financial lives, families and futures. Genworth has leadership positions in offerings that assist consumers in protecting themselves, investing for the future and planning for retirement—including life insurance, long-term care insurance, financial protection coverages, and independent advisor-based wealth management—and mortgage insurance that helps consumers achieve home ownership while assisting lenders in managing their risk and capital.

Genworth has approximately 5,850 employees and operates through three divisions: U.S. Life Insurance, which includes life insurance, long-term care insurance and fixed annuities; Global Mortgage Insurance, containing U.S. Mortgage Insurance and International Mortgage Insurance segments; and the Corporate and Other division, which includes the International Protection and Runoff segments and the wealth management business presented as discontinued operations. Products and services are offered through financial intermediaries, advisors, independent distributors and sales specialists. Genworth Financial, Inc., headquartered in Richmond, Virginia, traces its roots back to 1871 and became a public company in 2004. For more information, visit genworth.com. From time to time, Genworth Financial, Inc. releases important information via postings on its corporate website. Accordingly, investors and other interested parties are encouraged to enroll to receive automatic email alerts and Really Simple Syndication (RSS) feeds regarding new postings. Enrollment information is found under the “Investors” section of genworth.com

 

 

 

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