Clarke Capital Management : Jupiter

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

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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	Jul	Qtr	2019	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

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%

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.

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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:
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Reward
Compound RoR:
Average RoR:
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Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
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Sharpe Ratio: (RF=1%)
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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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	159.00	157.00	154.00	148.00	142.00	136.00	124.00	112.00	100.00
Percent Profitable	51.57	57.96	48.70	54.05	59.15	66.91	81.45	90.18	83.00
Average Period Return	0.93	2.62	5.39	11.09	16.92	23.15	35.42	44.66	61.22
Average Gain	7.33	11.86	21.97	32.13	40.44	44.21	47.98	50.70	76.66
Average Loss	-5.89	-10.13	-10.35	-13.66	-17.14	-19.44	-19.75	-10.79	-14.18
Best Period	39.70	49.25	69.53	103.13	121.40	153.58	153.27	148.92	190.17
Worst Period	-21.44	-31.96	-32.58	-44.27	-41.52	-37.21	-39.04	-20.43	-30.57
Standard Deviation	8.67	14.33	21.27	30.54	36.41	40.06	42.61	42.92	64.13
Gain Standard Deviation	6.12	10.70	17.79	26.04	28.61	31.65	36.70	40.81	59.44
Loss Standard Deviation	4.98	7.06	8.51	9.80	9.60	10.11	11.02	6.63	7.55
Sharpe Ratio (1%)	0.10	0.17	0.23	0.33	0.42	0.53	0.76	0.95	0.88
Average Gain / Average Loss	1.24	1.17	2.12	2.35	2.36	2.27	2.43	4.70	5.40
Profit / Loss Ratio	1.33	1.61	2.02	2.77	3.42	4.60	10.67	43.12	26.39
Downside Deviation (10%)	5.58	8.65	11.00	14.29	16.95	18.07	16.51	12.27	19.60
Downside Deviation (5%)	5.40	8.12	9.85	11.93	13.38	13.61	10.86	5.10	8.54
Downside Deviation (0%)	5.36	7.98	9.57	11.37	12.53	12.57	9.69	3.92	6.58
Sortino Ratio (10%)	0.09	0.16	0.27	0.43	0.55	0.71	1.19	1.88	1.71
Sortino Ratio (5%)	0.16	0.29	0.50	0.85	1.15	1.55	2.98	7.96	6.57
Sortino Ratio (0%)	0.17	0.33	0.56	0.98	1.35	1.84	3.65	11.39	9.30

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.

^#2

Top Performer

SYSTEMATIC TRADER INDEX

SEPTEMBER
2015

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Clarke Capital Management : Jupiter

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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