Clarke Capital Management : FX Plus

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

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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	2019	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

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%

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.

Compare to:

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Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	174.00	172.00	169.00	163.00	157.00	151.00	139.00	127.00	115.00
Percent Profitable	48.85	48.84	53.85	64.42	75.16	76.82	85.61	92.13	95.65
Average Period Return	0.67	2.17	4.48	8.53	11.79	14.70	22.18	30.16	37.18
Average Gain	5.99	11.37	14.89	17.17	17.65	20.98	26.71	33.22	38.98
Average Loss	-4.47	-6.61	-7.67	-7.10	-5.92	-6.09	-4.81	-5.73	-2.44
Best Period	33.10	62.10	63.20	73.19	84.01	70.47	99.29	123.50	142.45
Worst Period	-19.15	-28.75	-24.26	-25.36	-13.59	-14.35	-9.12	-12.27	-6.47
Standard Deviation	7.15	12.43	14.96	17.16	18.25	19.56	23.18	26.74	30.66
Gain Standard Deviation	5.65	10.88	12.44	15.10	17.32	17.94	21.99	25.59	30.12
Loss Standard Deviation	4.05	5.57	5.47	5.94	3.85	4.50	2.44	3.72	2.40
Sharpe Ratio (1%)	0.08	0.15	0.27	0.44	0.56	0.65	0.83	0.98	1.05
Average Gain / Average Loss	1.34	1.72	1.94	2.42	2.98	3.45	5.56	5.80	15.95
Profit / Loss Ratio	1.29	1.64	2.27	4.38	9.02	11.43	33.06	67.89	351.00
Downside Deviation (10%)	4.50	6.86	7.82	8.07	7.32	8.75	9.53	10.10	12.28
Downside Deviation (5%)	4.32	6.31	6.66	5.98	4.16	4.45	3.14	2.92	1.90
Downside Deviation (0%)	4.28	6.17	6.39	5.50	3.51	3.62	2.03	1.89	0.68
Sortino Ratio (10%)	0.06	0.14	0.26	0.44	0.57	0.51	0.67	0.85	0.78
Sortino Ratio (5%)	0.14	0.30	0.60	1.26	2.47	2.85	6.10	8.93	16.91
Sortino Ratio (0%)	0.16	0.35	0.70	1.55	3.36	4.06	10.90	15.98	54.85

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.

^#4

Top Performer

TREND FOLLOWING STRATEGY INDEX

APRIL
2015

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Clarke Capital Management : FX Plus

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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