Clarke Capital Management : Global Basic

archived programs
Year-to-Date
N / A
Oct Performance
-7.59%
Min Investment
$ 50k
Mgmt. Fee
1.80%
Perf. Fee
25.00%
Annualized Vol
35.68%
Sharpe (RFR=1%)
0.44
CAROR
11.97%
Assets
$ 1.1M
Worst DD
-73.11
S&P Correlation
-0.04

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
2/1996
Global Basic -7.59 10.22 - 13.00 -45.04 -49.47 -59.28 1,209.03
S&P 500 -6.94 -3.71 - 5.30 29.10 52.82 177.05 319.08
+/- S&P 500 -0.65 13.93 - 7.70 -74.14 -102.29 -236.33 889.94

Strategy Description

Summary

The Global Basic program trades approximately 15 domestic and international commodity interests, 8 of these are either long or short interest rate contracts reflecting interest rates in Europe, the US, Canada and Australia. The balance of the commodity interests followed are currencies,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
1.80%
Performance Fee
25.00%
Average Commission
$12.50
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
970 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
46.44%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
90.00%
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
52.00%
Currency FX
27.00%
Precious Metals
7.00%
Energy
7.00%
Grains
7.00%
Composition Pie Chart

Summary

The Global Basic program trades approximately 15 domestic and international commodity interests, 8 of these are either long or short interest rate contracts reflecting interest rates in Europe, the US, Canada and Australia. The balance of the commodity interests followed are currencies, grains, metals and energies, both foreign and domestic. It utilizes five intermediate time-frame models. These five models have been selected for their ability as a group to provide a high return for the amount of exposure or time that a position is held. It should be noted that there will be times when there is significant correlation between markets within a market sector or between market sectors, possibly in an adverse direction to positions held in the client’s account. Clients of the Global Basic 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 an investor's equity. The Global Basic program will, at times, have a significantly higher margin to equity ratio than the Worldwide Program, and at other times will trade very lightly due to the selectivity of its models. During periods of higher margin to equity ratios, CCM attempts to counterbalance the inherent increased volatility one would expect with this higher ratio by using five models with relatively short focus. These models have stringent entry techniques when evaluating initial risk and quick acting initial exit techniques. By industry standards these models would probably be classified as intermediate rather than short-term.

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
-73.11 111 - 1/1/2009 4/1/2018
-29.28 13 1 10/1/2001 11/1/2002
-24.94 6 5 5/1/2003 11/1/2003
-24.77 23 2 11/1/2005 10/1/2007
-21.55 9 1 7/1/1999 4/1/2000
-17.37 3 4 1/1/1998 4/1/1998
-15.76 1 7 11/1/1996 12/1/1996
-15.71 1 4 12/1/2002 1/1/2003
-14.69 3 4 3/1/2001 6/1/2001
-13.82 4 1 4/1/1996 8/1/1996
-13.34 1 1 7/1/1997 8/1/1997
-10.77 1 2 9/1/1997 10/1/1997
-10.65 10 2 5/1/2004 3/1/2005
-9.86 4 2 9/1/1998 1/1/1999
-7.53 4 1 3/1/2008 7/1/2008
-6.98 1 2 6/1/2000 7/1/2000
-3.80 1 1 2/1/1996 3/1/1996
-3.33 1 2 12/1/2000 1/1/2001
-3.31 1 1 9/1/2000 10/1/2000
-1.16 2 1 8/1/2005 10/1/2005
-1.07 2 1 4/1/1999 6/1/1999
-0.26 1 1 9/1/2008 10/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
190.94 3 9/1/1996 11/1/1996
90.90 5 11/1/2007 3/1/2008
57.99 2 4/1/2003 5/1/2003
53.49 5 5/1/2018 9/1/2018
52.81 2 8/1/1998 9/1/1998
45.54 1 12/1/2002 12/1/2002
44.19 4 2/1/2012 5/1/2012
35.62 2 8/1/2008 9/1/2008
34.82 2 5/1/2000 6/1/2000
33.22 3 7/1/2011 9/1/2011
33.18 5 4/1/2005 8/1/2005
33.12 4 2/1/2004 5/1/2004
33.09 7 7/1/2014 1/1/2015
31.51 3 11/1/1997 1/1/1998
28.74 2 11/1/2000 12/1/2000
26.08 2 6/1/1997 7/1/1997
24.22 1 8/1/2010 8/1/2010
20.93 1 9/1/1997 9/1/1997
19.91 3 2/1/1999 4/1/1999
18.33 1 2/1/2003 2/1/2003
17.71 1 12/1/2003 12/1/2003
17.25 1 11/1/2006 11/1/2006
16.08 1 10/1/2001 10/1/2001
14.68 3 1/1/1997 3/1/1997
14.13 2 2/1/2001 3/1/2001
13.64 1 9/1/2007 9/1/2007
13.43 1 11/1/2009 11/1/2009
13.39 2 5/1/1998 6/1/1998
13.08 1 2/1/1996 2/1/1996
12.46 4 5/1/2002 8/1/2002
11.21 2 8/1/2000 9/1/2000
11.17 1 3/1/2002 3/1/2002
10.75 2 12/1/2012 1/1/2013
9.91 1 4/1/1996 4/1/1996
8.53 2 11/1/2013 12/1/2013
7.70 2 7/1/2001 8/1/2001
6.76 3 11/1/2008 1/1/2009
6.41 1 9/1/2009 9/1/2009
5.63 1 1/1/2018 1/1/2018
4.86 2 5/1/2013 6/1/2013
4.64 3 10/1/2004 12/1/2004
4.57 2 1/1/2016 2/1/2016
3.57 1 2/1/2014 2/1/2014
3.57 1 9/1/2013 9/1/2013
3.44 2 11/1/1999 12/1/1999
3.18 1 7/1/1999 7/1/1999
3.03 2 4/1/2006 5/1/2006
2.94 2 5/1/2010 6/1/2010
2.70 2 1/1/2007 2/1/2007
2.63 1 7/1/2017 7/1/2017
2.35 1 8/1/2004 8/1/2004
1.68 1 5/1/2001 5/1/2001
1.61 1 11/1/2005 11/1/2005
1.50 2 2/1/2017 3/1/2017
1.49 1 6/1/1996 6/1/1996
1.37 1 12/1/2016 12/1/2016
1.01 1 2/1/2000 2/1/2000
0.92 1 1/1/2010 1/1/2010
0.67 1 11/1/2015 11/1/2015
0.65 1 2/1/2005 2/1/2005
0.59 1 11/1/1998 11/1/1998
0.03 1 4/1/2009 4/1/2009
0.03 1 3/1/2013 3/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-37.75 9 3/1/2016 11/1/2016
-28.46 10 9/1/2010 6/1/2011
-24.94 6 6/1/2003 11/1/2003
-23.85 3 2/1/2018 4/1/2018
-23.50 4 5/1/2009 8/1/2009
-21.91 3 9/1/2002 11/1/2002
-21.83 9 2/1/2015 10/1/2015
-21.12 4 11/1/2001 2/1/2002
-18.09 4 3/1/2014 6/1/2014
-17.59 5 8/1/2017 12/1/2017
-17.37 3 2/1/1998 4/1/1998
-16.26 5 6/1/2006 10/1/2006
-15.97 6 6/1/2012 11/1/2012
-15.76 1 12/1/1996 12/1/1996
-15.71 1 1/1/2003 1/1/2003
-14.07 3 8/1/1999 10/1/1999
-13.34 1 8/1/1997 8/1/1997
-13.01 1 12/1/2006 12/1/2006
-12.49 3 2/1/2010 4/1/2010
-12.43 1 10/1/2009 10/1/2009
-12.26 1 10/1/2007 10/1/2007
-12.23 2 3/1/2000 4/1/2000
-12.20 4 10/1/2011 1/1/2012
-11.50 1 3/1/2003 3/1/2003
-11.40 4 12/1/2005 3/1/2006
-11.27 1 5/1/1996 5/1/1996
-11.02 1 12/1/2009 12/1/2009
-10.77 1 10/1/1997 10/1/1997
-10.23 1 4/1/2001 4/1/2001
-9.25 1 1/1/2004 1/1/2004
-8.49 2 6/1/2004 7/1/2004
-8.39 3 4/1/2017 6/1/2017
-8.17 1 4/1/2002 4/1/2002
-7.73 2 4/1/1997 5/1/1997
-7.59 1 10/1/2018 10/1/2018
-7.53 4 4/1/2008 7/1/2008
-6.98 1 7/1/2000 7/1/2000
-6.90 1 2/1/2013 2/1/2013
-6.54 1 6/1/2001 6/1/2001
-6.41 1 10/1/2013 10/1/2013
-6.38 2 12/1/1998 1/1/1999
-5.77 6 3/1/2007 8/1/2007
-5.64 1 9/1/2001 9/1/2001
-5.14 1 1/1/2005 1/1/2005
-5.12 1 1/1/2017 1/1/2017
-4.61 1 7/1/2010 7/1/2010
-4.30 2 7/1/1996 8/1/1996
-4.28 1 10/1/1998 10/1/1998
-4.28 2 7/1/2013 8/1/2013
-4.01 1 1/1/2014 1/1/2014
-3.80 1 3/1/1996 3/1/1996
-3.45 2 2/1/2009 3/1/2009
-3.33 1 1/1/2001 1/1/2001
-3.31 1 10/1/2000 10/1/2000
-3.01 1 9/1/2004 9/1/2004
-2.82 1 12/1/2015 12/1/2015
-1.55 1 3/1/2005 3/1/2005
-1.27 1 7/1/1998 7/1/1998
-1.16 2 9/1/2005 10/1/2005
-1.07 2 5/1/1999 6/1/1999
-0.89 1 4/1/2013 4/1/2013
-0.45 1 1/1/2000 1/1/2000
-0.26 1 10/1/2008 10/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods273.00271.00268.00262.00256.00250.00238.00226.00214.00
Percent Profitable45.0547.9750.3756.8763.2867.2071.8579.2081.78
Average Period Return1.414.288.5616.6024.8432.5650.2667.6094.13
Average Gain8.6417.0927.4941.9252.2961.4481.6794.90124.06
Average Loss-4.53-7.53-10.65-16.78-22.47-26.60-29.91-36.37-40.17
Best Period74.44190.94182.58224.03298.49391.44521.48561.07792.63
Worst Period-15.76-23.85-29.67-40.08-46.90-57.70-67.78-64.14-65.47
Standard Deviation10.3019.9129.0643.1557.2066.3794.33103.82146.93
Gain Standard Deviation11.0021.8530.1041.1554.6962.1093.4199.63146.34
Loss Standard Deviation4.005.637.1111.1714.7817.7719.8919.1617.63
Sharpe Ratio (1%)0.130.200.280.360.410.460.500.610.61
Average Gain / Average Loss1.912.272.582.502.332.312.732.613.09
Profit / Loss Ratio1.562.092.623.294.014.736.979.9413.86
Downside Deviation (10%)4.707.5010.5116.0720.3223.4626.5128.1530.53
Downside Deviation (5%)4.526.929.3013.7717.0419.2620.3820.3720.71
Downside Deviation (0%)4.476.779.0113.2216.2718.2919.0118.7118.69
Sortino Ratio (10%)0.210.410.580.720.850.951.301.642.18
Sortino Ratio (5%)0.290.580.871.131.371.592.323.124.30
Sortino Ratio (0%)0.310.630.951.261.531.782.643.615.04

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 2 14.03 7/2014
Systematic Trader Index Month 2 14.03 7/2014
IASG CTA Index Month 6 14.03 7/2014
Diversified Trader Index Month 4 14.03 7/2014
Trend Following Strategy Index Month 6 6.45 12/2013
Trend Following Strategy Index Month 9 3.57 9/2013
Trend Following Strategy Index Month 8 4.46 6/2013
Trend Following Strategy Index Month 2 9.15 12/2012
IASG CTA Index Month 2 9.15 12/2012
Systematic Trader Index Month 2 9.15 12/2012
Diversified Trader Index Month 2 9.15 12/2012
Diversified Trader Index Month 2 12.54 3/2012
Systematic Trader Index Month 2 12.54 3/2012
IASG CTA Index Month 2 12.54 3/2012
Trend Following Strategy Index Month 2 12.54 3/2012
Trend Following Strategy Index Month 2 16.58 2/2012
IASG CTA Index Month 2 16.58 2/2012
Systematic Trader Index Month 2 16.58 2/2012
Diversified Trader Index Month 2 16.58 2/2012
Trend Following Strategy Index Month 5 16.20 8/2011
Systematic Trader Index Month 7 16.20 8/2011
Diversified Trader Index Month 4 16.20 8/2011
IASG CTA Index Month 7 16.20 8/2011
IASG CTA Index Month 3 24.30 8/2010
Systematic Trader Index Month 2 24.30 8/2010
Trend Following Strategy Index Month 1 24.30 8/2010
Diversified Trader Index Month 1 24.30 8/2010
Trend Following Strategy Index Month 10 6.42 9/2009
Diversified Trader Index Month 1 30.08 8/2008
Systematic Trader Index Month 1 30.08 8/2008
Trend Following Strategy Index Month 1 30.08 8/2008
IASG CTA Index Month 2 30.08 8/2008
Trend Following Strategy Index Month 3 12.05 3/2008
Systematic Trader Index Month 3 12.05 3/2008
Diversified Trader Index Month 3 12.05 3/2008
IASG CTA Index Month 4 12.05 3/2008
IASG CTA Index Month 4 18.96 12/2007
Diversified Trader Index Month 2 18.96 12/2007
Systematic Trader Index Month 2 18.96 12/2007
Trend Following Strategy Index Month 1 18.96 12/2007
Trend Following Strategy Index Month 2 17.81 11/2007
IASG CTA Index Month 3 17.81 11/2007
Diversified Trader Index Month 3 17.81 11/2007
Systematic Trader Index Month 3 17.81 11/2007
Trend Following Strategy Index Month 9 1.17 2/2007
Diversified Trader Index Month 3 17.25 11/2006
IASG CTA Index Month 3 17.25 11/2006
Systematic Trader Index Month 2 17.25 11/2006
Trend Following Strategy Index Month 2 17.25 11/2006
Trend Following Strategy Index Month 1 20.95 5/2005
IASG CTA Index Month 1 20.95 5/2005
Systematic Trader Index Month 1 20.95 5/2005
Diversified Trader Index Month 1 20.95 5/2005
Trend Following Strategy Index Month 1 4.15 4/2005
Diversified Trader Index Month 2 4.15 4/2005
Systematic Trader Index Month 2 4.15 4/2005
IASG CTA Index Month 3 4.15 4/2005
Diversified Trader Index Month 6 6.74 5/2004
Trend Following Strategy Index Month 5 6.74 5/2004
IASG CTA Index Month 7 6.74 5/2004
Systematic Trader Index Month 6 6.74 5/2004
Diversified Trader Index Month 6 1.13 4/2004
Trend Following Strategy Index Month 3 1.13 4/2004
IASG CTA Index Month 3 20.42 2/2004
Systematic Trader Index Month 2 20.42 2/2004
Diversified Trader Index Month 2 20.42 2/2004
Trend Following Strategy Index Month 2 20.42 2/2004
Trend Following Strategy Index Month 5 17.71 12/2003
Systematic Trader Index Month 5 17.71 12/2003
Diversified Trader Index Month 5 17.71 12/2003
IASG CTA Index Month 5 17.71 12/2003
Diversified Trader Index Month 1 46.41 5/2003
IASG CTA Index Month 1 46.41 5/2003
Systematic Trader Index Month 1 46.41 5/2003
Trend Following Strategy Index Month 1 46.41 5/2003
IASG CTA Index Month 6 7.91 4/2003
Trend Following Strategy Index Month 4 7.91 4/2003
Systematic Trader Index Month 4 7.91 4/2003
Diversified Trader Index Month 6 7.91 4/2003
Diversified Trader Index Month 3 18.33 2/2003
IASG CTA Index Month 3 18.33 2/2003
Trend Following Strategy Index Month 2 18.33 2/2003
Systematic Trader Index Month 2 18.33 2/2003
Systematic Trader Index Month 1 45.54 12/2002
Diversified Trader Index Month 1 45.54 12/2002
IASG CTA Index Month 1 45.54 12/2002
Trend Following Strategy Index Month 1 45.54 12/2002
IASG CTA Index 5 Year Rolling 7 161.61 1997 - 2002
Systematic Trader Index Month 7 11.17 3/2002
Trend Following Strategy Index Month 6 11.17 3/2002
Diversified Trader Index Month 8 11.17 3/2002
IASG CTA Index Month 8 11.17 3/2002
IASG CTA Index 5 Year Rolling 2 244.25 1996 - 2001
IASG CTA Index Month 8 16.08 10/2001
Diversified Trader Index Month 7 16.08 10/2001
Trend Following Strategy Index Month 6 16.08 10/2001
Systematic Trader Index Month 7 16.08 10/2001
Trend Following Strategy Index Month 9 7.39 8/2001
Systematic Trader Index Month 9 7.39 8/2001
IASG CTA Index Month 10 7.39 8/2001

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