Clarke Capital Management : Jupiter

archived programs
Year-to-Date
N / A
Jul Performance
-0.56%
Min Investment
$ 3,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
30.02%
Sharpe (RFR=1%)
0.34
CAROR
6.97%
Assets
$ 2.1M
Worst DD
-44.78
S&P Correlation
-0.12

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
5/2005
Jupiter -0.56 -10.22 - -13.28 -39.04 -12.44 26.06 144.16
S&P 500 3.60 6.35 - 13.03 32.51 65.38 119.93 133.94
+/- S&P 500 -4.16 -16.58 - -26.31 -71.55 -77.82 -93.88 10.22

Strategy Description

Summary

Jupiter is a longer term trend following strategy managing a diversified portfolio of highly liquid global futures markets including stock indexes, bonds, short rates, currencies, energies, metals, grains, softs and meats. Jupiter is a fully quantitative and systematic trading strategy,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
1040 RT/YR/$M
Avg. Margin-to-Equity
23%
Targeted Worst DD
Worst Peak-to-Trough
44.78%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
20.00%
1-3 Months
20.00%
1-30 Days
60.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
26.00%
Softs
16.00%
Stock Indices
16.00%
Currency FX
12.00%
Energy
10.00%
Grains
10.00%
Precious Metals
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

Jupiter is a longer term trend following strategy managing a diversified portfolio of highly liquid global futures markets including stock indexes, bonds, short rates, currencies, energies, metals, grains, softs and meats. Jupiter is a fully quantitative and systematic trading strategy, generating value by integrating a range of models and modeling approaches with a strict and multilevel risk management system. An experienced research team constantly improves the trading systems while maintaining the core long term trend following trading approach. Jupiter employs a range of models that identify different price based trend patterns, operate over different time horizons, and diversify across entry and exit strategies. Market trading positions can be either long or short in each market, and the models treat long and short positions differently. The entry/exit strategies include both aggressive and tactical components. Integrated risk management occurs at the model, sector and portfolio level. Additional governors are active in rapidly moving markets, maximally harvesting open trade equity.

Investment Strategy

Quantitative trend following

Risk Management

CCM employs a strict and multilevel risk management system which operates systematically at the model, market, sector and portfolio levels. Once a trade is introduced into the portfolio, a model-based stop governs the individual position risk and dynamically adjusts as a function of market risk conditions, position profitability, time, and other factors. These model-based risk management procedures interact with additional risk governors at the aggregate market, sector, and portfolio level, to insure portfolio balance and prevent excessive market/sector/portfolio exposures. Risk limits and dynamics are fully systematic. The main analytical tools used are proprietary.

   

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
-44.78 15 7 2/1/2009 5/1/2010
-42.40 42 - 1/1/2015 7/1/2018
-39.36 22 10 5/1/2012 3/1/2014
-16.85 3 5 5/1/2006 8/1/2006
-16.51 6 7 4/1/2011 10/1/2011
-14.44 1 3 6/1/2008 7/1/2008
-8.64 3 1 5/1/2007 8/1/2007
-8.36 3 2 11/1/2005 2/1/2006
-6.11 1 1 9/1/2005 10/1/2005
-6.08 1 1 2/1/2011 3/1/2011
-4.81 1 2 10/1/2007 11/1/2007
-4.80 2 1 1/1/2007 3/1/2007
-4.03 1 1 3/1/2008 4/1/2008
-3.77 1 1 12/1/2008 1/1/2009
-3.09 1 1 6/1/2005 7/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
49.55 5 8/1/2008 12/1/2008
49.25 3 8/1/2010 10/1/2010
39.70 1 5/1/2012 5/1/2012
34.61 3 11/1/2014 1/1/2015
34.15 4 12/1/2007 3/1/2008
27.86 2 9/1/2007 10/1/2007
26.05 5 9/1/2006 1/1/2007
25.55 3 11/1/2012 1/1/2013
23.41 4 6/1/2014 9/1/2014
23.11 2 12/1/2017 1/1/2018
20.92 3 12/1/2010 2/1/2011
19.31 3 10/1/2013 12/1/2013
17.27 1 6/1/2010 6/1/2010
16.95 2 3/1/2013 4/1/2013
13.84 2 5/1/2005 6/1/2005
13.39 3 3/1/2006 5/1/2006
12.94 1 11/1/2009 11/1/2009
12.91 1 5/1/2009 5/1/2009
12.29 2 1/1/2016 2/1/2016
10.75 1 11/1/2005 11/1/2005
10.67 2 4/1/2007 5/1/2007
10.44 1 2/1/2012 2/1/2012
9.95 2 5/1/2008 6/1/2008
9.82 1 10/1/2017 10/1/2017
9.27 2 8/1/2005 9/1/2005
9.12 1 9/1/2015 9/1/2015
8.82 1 11/1/2015 11/1/2015
8.39 2 8/1/2009 9/1/2009
7.90 1 4/1/2011 4/1/2011
7.65 2 6/1/2016 7/1/2016
7.14 1 7/1/2011 7/1/2011
6.55 1 3/1/2010 3/1/2010
6.31 1 2/1/2014 2/1/2014
5.92 1 11/1/2011 11/1/2011
5.79 1 7/1/2012 7/1/2012
5.02 2 4/1/2017 5/1/2017
4.91 1 4/1/2014 4/1/2014
4.37 1 2/1/2009 2/1/2009
3.83 1 9/1/2011 9/1/2011
3.68 1 7/1/2015 7/1/2015
2.18 2 4/1/2015 5/1/2015
0.58 1 7/1/2017 7/1/2017
0.05 1 12/1/2016 12/1/2016
0.05 1 3/1/2018 3/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.96 3 12/1/2009 2/1/2010
-28.96 2 3/1/2009 4/1/2009
-28.94 5 5/1/2013 9/1/2013
-23.95 3 8/1/2012 10/1/2012
-19.14 1 2/1/2018 2/1/2018
-18.04 1 6/1/2012 6/1/2012
-16.85 3 6/1/2006 8/1/2006
-16.63 1 1/1/2014 1/1/2014
-15.08 3 1/1/2017 3/1/2017
-14.47 1 10/1/2011 10/1/2011
-14.44 1 7/1/2008 7/1/2008
-14.31 4 8/1/2016 11/1/2016
-13.42 3 3/1/2016 5/1/2016
-11.97 2 5/1/2011 6/1/2011
-11.61 4 4/1/2018 7/1/2018
-11.08 1 2/1/2013 2/1/2013
-10.71 1 8/1/2015 8/1/2015
-10.04 2 6/1/2009 7/1/2009
-10.02 1 10/1/2015 10/1/2015
-9.24 2 8/1/2017 9/1/2017
-8.64 3 6/1/2007 8/1/2007
-8.36 3 12/1/2005 2/1/2006
-7.50 1 12/1/2015 12/1/2015
-7.50 2 3/1/2012 4/1/2012
-7.27 1 10/1/2009 10/1/2009
-7.01 2 4/1/2010 5/1/2010
-6.27 1 3/1/2014 3/1/2014
-6.11 1 10/1/2005 10/1/2005
-6.08 1 3/1/2011 3/1/2011
-5.83 1 6/1/2015 6/1/2015
-5.29 2 2/1/2015 3/1/2015
-4.81 1 11/1/2007 11/1/2007
-4.80 2 2/1/2007 3/1/2007
-4.03 1 4/1/2008 4/1/2008
-3.77 1 1/1/2009 1/1/2009
-3.30 2 12/1/2011 1/1/2012
-3.09 1 7/1/2005 7/1/2005
-2.84 1 11/1/2010 11/1/2010
-1.29 1 5/1/2014 5/1/2014
-1.17 1 11/1/2017 11/1/2017
-1.04 1 6/1/2017 6/1/2017
-0.31 1 8/1/2011 8/1/2011
-0.31 1 7/1/2010 7/1/2010
-0.26 1 10/1/2014 10/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods159.00157.00154.00148.00142.00136.00124.00112.00100.00
Percent Profitable51.5757.9648.7054.0559.1566.9181.4590.1883.00
Average Period Return0.932.625.3911.0916.9223.1535.4244.6661.22
Average Gain7.3311.8621.9732.1340.4444.2147.9850.7076.66
Average Loss-5.89-10.13-10.35-13.66-17.14-19.44-19.75-10.79-14.18
Best Period39.7049.2569.53103.13121.40153.58153.27148.92190.17
Worst Period-21.44-31.96-32.58-44.27-41.52-37.21-39.04-20.43-30.57
Standard Deviation8.6714.3321.2730.5436.4140.0642.6142.9264.13
Gain Standard Deviation6.1210.7017.7926.0428.6131.6536.7040.8159.44
Loss Standard Deviation4.987.068.519.809.6010.1111.026.637.55
Sharpe Ratio (1%)0.100.170.230.330.420.530.760.950.88
Average Gain / Average Loss1.241.172.122.352.362.272.434.705.40
Profit / Loss Ratio1.331.612.022.773.424.6010.6743.1226.39
Downside Deviation (10%)5.588.6511.0014.2916.9518.0716.5112.2719.60
Downside Deviation (5%)5.408.129.8511.9313.3813.6110.865.108.54
Downside Deviation (0%)5.367.989.5711.3712.5312.579.693.926.58
Sortino Ratio (10%)0.090.160.270.430.550.711.191.881.71
Sortino Ratio (5%)0.160.290.500.851.151.552.987.966.57
Sortino Ratio (0%)0.170.330.560.981.351.843.6511.399.30

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 2 9.12 9/2015
Trend Following Strategy Index Month 3 9.12 9/2015
IASG CTA Index Month 4 9.12 9/2015
Diversified Trader Index Month 3 9.12 9/2015
Trend Following Strategy Index Month 8 4.91 4/2014
Systematic Trader Index Month 10 4.91 4/2014
Diversified Trader Index Month 9 4.91 4/2014
Trend Following Strategy Index Month 7 6.04 12/2013
Trend Following Strategy Index Month 8 6.31 10/2013
Diversified Trader Index Month 2 10.34 3/2013
Systematic Trader Index Month 2 10.34 3/2013
Trend Following Strategy Index Month 2 10.34 3/2013
IASG CTA Index Month 1 10.34 3/2013
Trend Following Strategy Index Month 2 15.71 1/2013
Systematic Trader Index Month 2 15.71 1/2013
Diversified Trader Index Month 2 15.71 1/2013
IASG CTA Index Month 2 15.71 1/2013
Diversified Trader Index Month 9 5.92 12/2012
Trend Following Strategy Index Month 10 5.92 12/2012
Systematic Trader Index Month 3 39.70 5/2012
Trend Following Strategy Index Month 3 39.70 5/2012
IASG CTA Index Month 3 39.70 5/2012
Diversified Trader Index Month 3 39.70 5/2012
Trend Following Strategy Index Month 5 10.44 2/2012
Systematic Trader Index Month 5 10.44 2/2012
IASG CTA Index Month 6 10.44 2/2012
Diversified Trader Index Month 6 10.44 2/2012
Trend Following Strategy Index Month 8 5.92 11/2011
IASG CTA Index Month 4 21.26 8/2010
Diversified Trader Index Month 2 21.26 8/2010
Systematic Trader Index Month 3 21.26 8/2010
Trend Following Strategy Index Month 2 21.26 8/2010
IASG CTA Index Month 1 17.27 6/2010
Trend Following Strategy Index Month 1 17.27 6/2010
Systematic Trader Index Month 1 17.27 6/2010
Diversified Trader Index Month 1 17.27 6/2010
Trend Following Strategy Index Month 9 7.39 9/2009
Systematic Trader Index Month 10 7.39 9/2009
Trend Following Strategy Index Month 3 4.37 2/2009
Systematic Trader Index Month 6 4.37 2/2009
Diversified Trader Index Month 7 4.37 2/2009
Trend Following Strategy Index Month 7 7.67 5/2008
Systematic Trader Index Month 10 7.67 5/2008
Diversified Trader Index Month 10 5.90 3/2008
Trend Following Strategy Index Month 7 5.90 3/2008
IASG CTA Index Month 7 8.98 1/2007
Trend Following Strategy Index Month 4 8.98 1/2007
Diversified Trader Index Month 4 8.98 1/2007
Systematic Trader Index Month 5 8.98 1/2007
Trend Following Strategy Index Month 10 4.74 9/2006

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