Clarke Capital Management : Jupiter Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since5/2005 Jupiter -0.56 - - - -11.61 -32.71 -21.07 144.16 S&P 500 3.60 - - - 32.51 65.38 119.93 240.70 +/- S&P 500 -4.16 - - - -44.13 -98.09 -141.00 -96.54 Strategy Description SummaryJupiter 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% 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% SummaryJupiter 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 StrategyQuantitative trend followingRisk ManagementCCM 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel