Altegris Managed Futures Strategy Fund

Risk

Volatility Measurements

Updated 02.28.2014

Standard Deviation 7.62
Mean -0.51
Sharpe Ratio -0.82
Bear Market Decile Rank 39

Modern Portfolio Theory Statistics

Updated 02.28.2014

Standard Index
Credit Suisse Mgd Futures Liquid TR USD
Best Fit Index
Barclays US Treasury Long TR USD
R-Squared 57.23 15.42
Beta 0.76 0.24
Alpha -3.57 -8.25