Cavemen and Turks?

As I have mentioned on several previous occasions, the Americans love parades, but this 'ere one has me a little befuddled. The fezzes make me think this is some sort of Shriners type brotherhood...but cavemen?

Perhaps someone out there can educate me on this, or on where in the USA this was taken.

Bonus - The interesting facts of why penguins can swim so fast.