Clarke Capital Management : Jupiter

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.