Clarke Capital Management : FX Plus

archived programs
Year-to-Date
N / A
Oct Performance
-2.48%
Min Investment
$ 1,000k
Mgmt. Fee
1.80%
Perf. Fee
25.00%
Annualized Vol
24.76%
Sharpe (RFR=1%)
0.28
CAROR
5.15%
Assets
$ 2.9M
Worst DD
-30.81
S&P Correlation
-0.14

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2004
FX Plus -2.48 -3.13 - -14.36 -2.00 1.97 25.15 107.23
S&P 500 -6.94 -3.71 - 5.30 29.10 52.82 177.05 139.49
+/- S&P 500 4.46 0.58 - -19.66 -31.10 -50.86 -151.90 -32.26

Strategy Description

Summary

The FXF-Plus program currently trades 27 domestic & international commodity interests, 13 of which are either long or short interest rate contracts reflecting interest rates in the US, EMU, the UK, Japan and Australia. Also followed are the major currency markets, and eight equity... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.80%
Performance Fee
25.00%
Average Commission
$7.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
740 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
30.81%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
20.00%
1-30 Days
75.00%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Counter-trend
10.00%
Trend-following
90.00%
Strategy Pie Chart

Composition

Interest Rates
48.00%
Currency FX
26.00%
Stock Indices
26.00%
Composition Pie Chart

Summary

The FXF-Plus program currently trades 27 domestic & international commodity interests, 13 of which are either long or short interest rate contracts reflecting interest rates in the US, EMU, the UK, Japan and Australia. Also followed are the major currency markets, and eight equity index markets from Europe & Asia. The program uses 23 models. CCM reserves the right to use these models in any of its programs or pools that it manages or will manage in the future. Ten of the models are intermediate time-frame focus with similar characteristics to those in the Global Basic and Global Magnum programs. Ten are long-term and 7 are ultra-long term. It should be noted that the FXF-Plus program is less diversified than most of CCM’s other programs as only Currency, Interest Rate and Equity Index products are followed. There will be times when there is significant correlation among these products possibly in an adverse direction to positions held in a client's account. Clients of the FXF-Plus 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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-30.81 4 4 3/1/2008 7/1/2008
-28.75 3 4 1/1/0001 7/1/2004
-28.16 13 7 12/1/2008 1/1/2010
-20.34 12 13 3/1/2013 3/1/2014
-19.16 9 - 1/1/2018 10/1/2018
-17.60 13 10 2/1/2016 3/1/2017
-16.02 26 3 8/1/2010 10/1/2012
-14.70 8 2 4/1/2015 12/1/2015
-14.13 3 15 4/1/2006 7/1/2006
-13.01 2 3 10/1/2007 12/1/2007
-12.35 1 4 12/1/2004 1/1/2005
-8.76 1 2 9/1/2005 10/1/2005
-6.66 2 1 6/1/2005 8/1/2005
-4.17 2 2 12/1/2005 2/1/2006
-2.25 1 1 1/1/2013 2/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
62.10 3 10/1/2008 12/1/2008
40.57 3 10/1/2004 12/1/2004
36.49 4 5/1/2010 8/1/2010
30.28 3 1/1/2008 3/1/2008
29.30 3 4/1/2005 6/1/2005
23.46 3 11/1/2012 1/1/2013
20.95 2 1/1/2016 2/1/2016
20.92 2 9/1/2007 10/1/2007
15.98 1 9/1/2005 9/1/2005
15.33 3 4/1/2007 6/1/2007
14.47 1 5/1/2009 5/1/2009
14.09 2 11/1/2005 12/1/2005
13.72 3 11/1/2014 1/1/2015
13.37 4 4/1/2017 7/1/2017
12.50 1 5/1/2012 5/1/2012
12.20 6 4/1/2014 9/1/2014
12.02 3 7/1/2011 9/1/2011
10.75 2 3/1/2006 4/1/2006
10.63 1 10/1/2017 10/1/2017
9.56 2 10/1/2006 11/1/2006
9.49 1 8/1/2008 8/1/2008
9.00 1 6/1/2016 6/1/2016
7.48 3 7/1/2009 9/1/2009
7.27 1 11/1/2009 11/1/2009
7.01 2 3/1/2015 4/1/2015
6.93 1 1/1/2018 1/1/2018
6.71 3 10/1/2013 12/1/2013
6.50 1 2/1/2009 2/1/2009
6.00 1 4/1/2011 4/1/2011
5.96 1 1/1/2007 1/1/2007
5.13 2 2/1/2010 3/1/2010
4.87 1 3/1/2013 3/1/2013
4.24 1 8/1/2006 8/1/2006
4.23 1 12/1/2010 12/1/2010
3.94 1 8/1/2004 8/1/2004
3.72 1 6/1/2008 6/1/2008
3.63 1 2/1/2012 2/1/2012
3.41 1 9/1/2015 9/1/2015
2.57 1 2/1/2005 2/1/2005
2.41 1 7/1/2012 7/1/2012
1.52 1 2/1/2017 2/1/2017
1.52 1 2/1/2011 2/1/2011
1.40 1 2/1/2014 2/1/2014
0.88 1 12/1/2016 12/1/2016
0.44 1 10/1/2010 10/1/2010
0.39 1 12/1/2011 12/1/2011
0.17 1 9/1/2018 9/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-28.75 3 5/1/2004 7/1/2004
-26.07 2 3/1/2009 4/1/2009
-22.76 2 4/1/2008 5/1/2008
-17.24 7 2/1/2018 8/1/2018
-17.08 2 12/1/2009 1/1/2010
-15.00 6 4/1/2013 9/1/2013
-14.13 3 5/1/2006 7/1/2006
-13.64 1 7/1/2008 7/1/2008
-13.01 2 11/1/2007 12/1/2007
-12.35 1 1/1/2005 1/1/2005
-12.33 5 7/1/2016 11/1/2016
-10.33 2 7/1/2007 8/1/2007
-9.76 3 10/1/2015 12/1/2015
-9.49 2 2/1/2007 3/1/2007
-8.80 1 1/1/2014 1/1/2014
-8.76 1 10/1/2005 10/1/2005
-8.61 3 3/1/2016 5/1/2016
-8.60 4 5/1/2015 8/1/2015
-8.04 1 6/1/2012 6/1/2012
-8.03 1 1/1/2009 1/1/2009
-7.82 2 10/1/2011 11/1/2011
-7.61 1 11/1/2010 11/1/2010
-7.34 1 12/1/2006 12/1/2006
-6.97 2 5/1/2011 6/1/2011
-6.77 1 3/1/2011 3/1/2011
-6.66 2 7/1/2005 8/1/2005
-6.48 3 8/1/2012 10/1/2012
-6.23 2 3/1/2012 4/1/2012
-5.63 1 6/1/2009 6/1/2009
-5.25 2 8/1/2017 9/1/2017
-5.03 1 3/1/2014 3/1/2014
-4.55 1 3/1/2017 3/1/2017
-4.35 1 10/1/2014 10/1/2014
-4.17 2 1/1/2006 2/1/2006
-3.93 1 10/1/2009 10/1/2009
-3.59 1 9/1/2010 9/1/2010
-3.47 1 1/1/2017 1/1/2017
-2.48 1 10/1/2018 10/1/2018
-2.25 1 2/1/2013 2/1/2013
-2.10 1 3/1/2005 3/1/2005
-1.95 1 1/1/2011 1/1/2011
-1.40 1 1/1/2012 1/1/2012
-0.93 2 11/1/2017 12/1/2017
-0.81 1 2/1/2015 2/1/2015
-0.62 1 9/1/2006 9/1/2006
-0.48 1 9/1/2004 9/1/2004
-0.33 1 4/1/2010 4/1/2010
-0.02 1 9/1/2008 9/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods174.00172.00169.00163.00157.00151.00139.00127.00115.00
Percent Profitable48.8548.8453.8564.4275.1676.8285.6192.1395.65
Average Period Return0.672.174.488.5311.7914.7022.1830.1637.18
Average Gain5.9911.3714.8917.1717.6520.9826.7133.2238.98
Average Loss-4.47-6.61-7.67-7.10-5.92-6.09-4.81-5.73-2.44
Best Period33.1062.1063.2073.1984.0170.4799.29123.50142.45
Worst Period-19.15-28.75-24.26-25.36-13.59-14.35-9.12-12.27-6.47
Standard Deviation7.1512.4314.9617.1618.2519.5623.1826.7430.66
Gain Standard Deviation5.6510.8812.4415.1017.3217.9421.9925.5930.12
Loss Standard Deviation4.055.575.475.943.854.502.443.722.40
Sharpe Ratio (1%)0.080.150.270.440.560.650.830.981.05
Average Gain / Average Loss1.341.721.942.422.983.455.565.8015.95
Profit / Loss Ratio1.291.642.274.389.0211.4333.0667.89351.00
Downside Deviation (10%)4.506.867.828.077.328.759.5310.1012.28
Downside Deviation (5%)4.326.316.665.984.164.453.142.921.90
Downside Deviation (0%)4.286.176.395.503.513.622.031.890.68
Sortino Ratio (10%)0.060.140.260.440.570.510.670.850.78
Sortino Ratio (5%)0.140.300.601.262.472.856.108.9316.91
Sortino Ratio (0%)0.160.350.701.553.364.0610.9015.9854.85

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 4 5.08 4/2015
Diversified Trader Index Month 5 5.08 4/2015
Systematic Trader Index Month 8 5.08 4/2015
IASG CTA Index Month 4 12.69 1/2013
Systematic Trader Index Month 4 12.69 1/2013
Diversified Trader Index Month 4 12.69 1/2013
Trend Following Strategy Index Month 3 12.69 1/2013
IASG CTA Index Month 5 8.32 12/2012
Diversified Trader Index Month 4 8.32 12/2012
Trend Following Strategy Index Month 5 8.32 12/2012
Systematic Trader Index Month 5 8.32 12/2012
Trend Following Strategy Index Month 8 14.73 8/2010
Diversified Trader Index Month 8 14.73 8/2010
Systematic Trader Index Month 10 14.73 8/2010
Diversified Trader Index Month 4 12.15 6/2010
Systematic Trader Index Month 4 12.15 6/2010
IASG CTA Index Month 4 12.15 6/2010
Trend Following Strategy Index Month 3 12.15 6/2010
Systematic Trader Index Month 2 6.50 2/2009
Trend Following Strategy Index Month 1 6.50 2/2009
IASG CTA Index Month 7 6.50 2/2009
Diversified Trader Index Month 4 6.50 2/2009
IASG CTA Index Month 5 13.34 12/2008
Trend Following Strategy Index Month 1 13.34 12/2008
Diversified Trader Index Month 3 13.34 12/2008
Systematic Trader Index Month 3 13.34 12/2008
Trend Following Strategy Index Month 10 13.24 11/2008
Trend Following Strategy Index Month 1 13.38 3/2008
Systematic Trader Index Month 1 13.38 3/2008
Diversified Trader Index Month 1 13.38 3/2008
IASG CTA Index Month 2 13.38 3/2008
Diversified Trader Index Month 9 5.96 1/2007
Trend Following Strategy Index Month 6 5.96 1/2007
IASG CTA Index Month 2 15.98 9/2005
Diversified Trader Index Month 2 15.98 9/2005
Systematic Trader Index Month 1 15.98 9/2005
Trend Following Strategy Index Month 1 15.98 9/2005
Trend Following Strategy Index Month 3 12.80 6/2005
Systematic Trader Index Month 3 12.80 6/2005
Diversified Trader Index Month 3 12.80 6/2005
IASG CTA Index Month 5 12.80 6/2005
Trend Following Strategy Index Month 9 10.18 5/2005
Systematic Trader Index Month 9 10.18 5/2005
IASG CTA Index Month 9 10.18 5/2005
Diversified Trader Index Month 8 10.18 5/2005
IASG CTA Index Month 5 4.04 4/2005
Diversified Trader Index Month 4 4.04 4/2005
Systematic Trader Index Month 4 4.04 4/2005
Trend Following Strategy Index Month 2 4.04 4/2005
IASG CTA Index Month 1 33.10 11/2004
Trend Following Strategy Index Month 1 33.10 11/2004
Systematic Trader Index Month 1 33.10 11/2004
Diversified Trader Index Month 1 33.10 11/2004
Trend Following Strategy Index Month 9 3.94 8/2004

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.