You need to break down the shape and look at it as not one image but 5 shapes which form the circle. How I would go about this is that I would start with a circle (L) Ellipses tool and draw out a perfect circle (holding SHIFT). Make the object have no fill but a large stroke say about 20pt. With the shape you have now go to Object then Expand (make sure fill and stroke are checked). I will use the pen tool to then divide the circle into the 5 shapes then when you have the shapes separate I would then add the gradients to the individual shapes.
Hope this helps.