Clarke Capital Management : Orion
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definitions page
Year-to-Date
1.38%
Jan -1.38%
|
Min. Investment |
$ 200k |
Inception |
Jul 1999 |
Assets |
$ 1.6M |
|
Mgmt Fee |
1.80% |
Sharpe (RFR=1%)
|
0.44 |
Worst DD |
-28.87 |
|
Perf Fee |
25.00% |
CAROR |
6.50% |
S&P Correlation |
-0.21 |
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2012 | -1.38 | | | | | | | | | | | | -1.38 | -1.38 |
| 2011 | -1.51 | -0.71 | -2.45 | 7.51 | -0.38 | -3.86 | 3.96 | 1.68 | 2.06 | -4.91 | -0.42 | -0.75 | -0.41 | -6.02 |
| 2010 | -2.85 | -4.32 | -4.53 | -0.84 | 14.99 | -1.61 | -1.54 | 13.27 | -4.73 | -0.41 | -2.54 | 2.44 | 5.18 | -12.00 |
| 2009 | -1.66 | -1.69 | -3.14 | -3.67 | 4.23 | -1.58 | -5.12 | 0.62 | -2.38 | -5.65 | 5.38 | -5.73 | -19.17 | -19.17 |
| 2008 | 7.01 | 8.48 | 8.27 | -0.64 | -1.93 | 3.53 | -2.85 | 3.58 | -0.41 | 2.50 | 6.08 | 5.18 | 45.32 | -2.85 |
| 2007 | 1.57 | 0.68 | 0.73 | 0.60 | 1.05 | 0.57 | -0.40 | -1.29 | 8.89 | 0.67 | 0.79 | 6.47 | 21.79 | -1.68 |
| 2006 | 0.24 | -0.87 | 1.88 | 2.24 | -1.11 | -5.74 | -1.48 | 4.19 | 3.25 | 1.20 | 1.77 | -2.48 | 2.70 | -8.17 |
| 2005 | -1.18 | 3.18 | -2.32 | -1.15 | 2.08 | 1.18 | 2.47 | 1.72 | -1.80 | 1.02 | 2.83 | -0.96 | 7.08 | -3.44 |
| 2004 | -1.64 | 3.59 | 1.65 | -2.40 | 3.46 | -2.59 | -0.38 | -0.93 | -1.44 | 0.77 | 2.25 | -5.93 | -3.95 | -8.16 |
| 2003 | -2.17 | 3.99 | -3.15 | 4.66 | 12.38 | -1.94 | -0.18 | -0.82 | 2.61 | -0.47 | -0.28 | 2.81 | 17.80 | -3.15 |
| 2002 | -3.20 | -2.66 | 1.73 | -1.41 | 0.49 | 2.64 | 5.22 | 3.23 | 7.77 | -9.25 | 0.19 | 7.38 | 11.40 | -9.25 |
| 2001 | -2.79 | 0.88 | 4.43 | -0.36 | 4.43 | -2.78 | -2.50 | -0.73 | -2.08 | 1.25 | -1.04 | -0.71 | -2.32 | -8.33 |
| 2000 | -6.82 | 10.81 | -0.20 | 1.99 | 3.75 | 0.18 | -7.26 | 6.32 | -3.04 | -6.96 | 4.09 | 14.44 | 15.74 | -11.05 |
| 1999 | | | | | | | -0.41 | -2.84 | -2.49 | -4.19 | 5.04 | 0.40 | -4.67 | -9.60 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS
IN TRADING COMMODITY FUTURES, OPTIONS, AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL.
Strategy Description
Summary
-The Orion managed futures program has been designed to trade the same commodity interests as the Worldwide program, the majority of which are either long or short interest rate contracts reflecting interest rates in the EMU, the UK and Australia. Also followed are several Non-U.S. grains, softs, metals and fuels. The program currently trades 50 different commodity interests. The program uses eight models, which are not used in any of the other programs of CCM. CCM reserves the right to use these models in any of its programs or pools that it manages or will manage in the future. Six of the models are intermediate time-frame focus with similar characteristics to those in the Global Basic and Global Magnum programs. The other two models are long-term models and are variations of two of the more successful models used elsewhere by CCM. It should be noted that under the Orion program, many of the commodity contracts followed are interest rate related. There will be times when there is significant correlation among global interest rates, possibly in an adverse direction to positions held in a client's account. The risk control limits of this program, when comparing Net Open Dollar Risk to Current Account Equity will generally be higher than in the Domestic Diversified program. Clients of the Orion program should be aware that this factor alone, although there are others, will lead to periods of extreme volatility and possibly very large drawdowns in a client's equity.
Investment Strategy
Primarily trend-following with some counter-trend models
Risk Management
Uses initial and trailing stops
