Clarke Capital Management : Millennium

archived programs
Year-to-Date
N / A
Oct Performance
-14.19%
Min Investment
$ 1,000k
Mgmt. Fee
1.80%
Perf. Fee
25.00%
Annualized Vol
29.26%
Sharpe (RFR=1%)
0.35
CAROR
7.46%
Assets
$ 3.5M
Worst DD
-60.98
S&P Correlation
-0.20

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
1/1998
Millennium -14.19 -4.47 - -7.66 -40.81 -30.28 -47.27 347.31
S&P 500 -6.94 -3.71 - 5.30 29.10 52.82 177.05 173.79
+/- S&P 500 -7.25 -0.76 - -12.96 -69.90 -83.10 -224.32 173.52

Strategy Description

Summary

The Millennium program currently trades approximately 42 domestic and international commodity interests. 14 of these are either long or short interest rate contracts reflecting interest rates in Europe, the US, Canada, Japan and Australia. The balance of the commodity interests followed... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
Management Fee
1.80%
Performance Fee
25.00%
Average Commission
$8.00
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
1000 RT/YR/$M
Avg. Margin-to-Equity
35%
Targeted Worst DD
Worst Peak-to-Trough
60.98%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
30.00%
1-30 Days
60.00%
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
33.00%
Softs
17.00%
Currency FX
14.00%
Energy
14.00%
Grains
12.00%
Precious Metals
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

The Millennium program currently trades approximately 42 domestic and international commodity interests. 14 of these are either long or short interest rate contracts reflecting interest rates in Europe, the US, Canada, Japan and Australia. The balance of the commodity interests followed are currencies, grains, softs, metals, meats and fuels both foreign and domestic. The number of models used in this program is 22. Unlike many of the other programs of CCM, the Millennium Program uses several very long term models among the 22 in its portfolio. These very long term models generally produce larger profits per trade, but lower profits per day than shorter models. When used in a portfolio with shorter time frame models, as is the case here, the can produce smoother overall equity curves even though these models generally give much more room to a position before exiting. 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 Millennium 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.

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
-60.98 14 27 12/1/2008 2/1/2010
-57.88 70 - 5/1/2012 3/1/2018
-26.73 13 4 3/1/2001 4/1/2002
-23.75 15 21 11/1/2004 2/1/2006
-21.31 3 4 1/1/1998 4/1/1998
-18.26 1 2 2/1/2003 3/1/2003
-17.12 2 3 5/1/2008 7/1/2008
-13.80 2 5 5/1/2003 7/1/2003
-12.63 2 1 9/1/2002 11/1/2002
-10.06 3 1 5/1/2004 8/1/2004
-7.82 1 3 9/1/1999 10/1/1999
-7.36 1 1 3/1/2004 4/1/2004
-6.90 1 2 9/1/1998 10/1/1998
-6.49 1 2 4/1/1999 5/1/1999
-4.74 1 1 12/1/2003 1/1/2004
-4.18 2 1 8/1/2000 10/1/2000
-3.26 1 1 6/1/2000 7/1/2000
-2.66 1 2 2/1/2000 3/1/2000
-1.68 1 3 12/1/1998 1/1/1999
-0.08 1 1 7/1/1999 8/1/1999
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Consecutive Gains

Run-up Length (Mos.) Start End
144.30 9 9/1/2007 5/1/2008
75.84 5 6/1/2010 10/1/2010
63.23 3 12/1/2002 2/1/2003
60.38 4 2/1/2012 5/1/2012
57.15 3 7/1/1998 9/1/1998
46.36 5 11/1/2000 3/1/2001
46.34 5 5/1/2002 9/1/2002
41.30 7 7/1/2014 1/1/2015
30.40 2 4/1/2003 5/1/2003
29.76 5 8/1/2008 12/1/2008
24.48 3 9/1/2004 11/1/2004
23.62 3 3/1/2006 5/1/2006
19.18 3 12/1/2010 2/1/2011
16.89 1 5/1/1998 5/1/1998
15.80 1 11/1/2011 11/1/2011
15.58 2 7/1/2011 8/1/2011
14.66 3 8/1/2003 10/1/2003
14.10 3 7/1/2018 9/1/2018
12.22 1 8/1/2005 8/1/2005
11.67 1 5/1/2009 5/1/2009
11.12 2 5/1/2005 6/1/2005
10.64 1 4/1/2011 4/1/2011
10.45 1 6/1/2016 6/1/2016
10.07 2 6/1/1999 7/1/1999
9.78 3 4/1/2000 6/1/2000
9.76 2 3/1/2013 4/1/2013
9.15 2 11/1/1998 12/1/1998
9.06 2 2/1/2004 3/1/2004
8.92 1 9/1/2006 9/1/2006
8.15 3 11/1/2006 1/1/2007
8.11 1 12/1/2003 12/1/2003
8.08 1 11/1/2009 11/1/2009
8.06 1 5/1/2004 5/1/2004
7.93 2 4/1/2018 5/1/2018
7.54 1 10/1/2001 10/1/2001
7.39 1 11/1/1999 11/1/1999
7.05 1 2/1/2014 2/1/2014
6.80 1 7/1/2004 7/1/2004
6.09 1 1/1/2018 1/1/2018
5.96 1 8/1/2000 8/1/2000
5.76 1 11/1/2005 11/1/2005
5.42 2 6/1/2007 7/1/2007
5.18 1 7/1/2012 7/1/2012
4.59 1 9/1/2015 9/1/2015
3.88 2 1/1/2000 2/1/2000
3.43 1 4/1/1999 4/1/1999
3.32 1 7/1/2015 7/1/2015
3.25 1 3/1/2005 3/1/2005
3.12 1 11/1/2015 11/1/2015
2.88 1 5/1/2001 5/1/2001
2.67 2 7/1/2017 8/1/2017
2.57 1 4/1/2014 4/1/2014
2.26 1 7/1/2001 7/1/2001
2.05 2 3/1/2010 4/1/2010
1.75 1 12/1/2013 12/1/2013
1.43 2 1/1/2016 2/1/2016
1.12 1 2/1/1999 2/1/1999
1.10 1 9/1/2009 9/1/2009
0.95 1 5/1/2015 5/1/2015
0.92 1 9/1/1999 9/1/1999
0.63 1 11/1/2012 11/1/2012
0.35 1 4/1/2016 4/1/2016
0.29 1 1/1/1998 1/1/1998
0.29 1 10/1/2013 10/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-34.38 12 7/1/2016 6/1/2017
-33.32 4 1/1/2009 4/1/2009
-32.22 3 12/1/2009 2/1/2010
-24.00 6 11/1/2001 4/1/2002
-23.18 3 6/1/2009 8/1/2009
-21.31 3 2/1/1998 4/1/1998
-18.51 5 5/1/2013 9/1/2013
-18.26 1 3/1/2003 3/1/2003
-17.77 2 9/1/2011 10/1/2011
-17.12 2 6/1/2008 7/1/2008
-16.98 2 9/1/2005 10/1/2005
-15.76 3 6/1/2006 8/1/2006
-15.44 3 12/1/2004 2/1/2005
-15.03 2 5/1/2011 6/1/2011
-14.77 3 8/1/2012 10/1/2012
-14.77 4 2/1/2007 5/1/2007
-14.40 1 6/1/2012 6/1/2012
-14.19 1 10/1/2018 10/1/2018
-13.80 2 6/1/2003 7/1/2003
-12.73 3 12/1/2012 2/1/2013
-12.63 2 10/1/2002 11/1/2002
-12.09 4 9/1/2017 12/1/2017
-10.71 1 7/1/2005 7/1/2005
-9.77 2 5/1/2014 6/1/2014
-9.51 1 4/1/2001 4/1/2001
-8.99 3 12/1/2005 2/1/2006
-8.91 1 8/1/2004 8/1/2004
-8.86 3 2/1/2015 4/1/2015
-8.54 2 2/1/2018 3/1/2018
-7.90 1 10/1/2009 10/1/2009
-7.90 2 12/1/2011 1/1/2012
-7.82 1 10/1/1999 10/1/1999
-7.55 1 6/1/2004 6/1/2004
-7.36 1 4/1/2004 4/1/2004
-7.16 1 8/1/2007 8/1/2007
-7.02 1 6/1/1998 6/1/1998
-6.90 1 10/1/1998 10/1/1998
-6.49 1 5/1/1999 5/1/1999
-6.00 1 3/1/2016 3/1/2016
-5.37 1 6/1/2001 6/1/2001
-5.32 1 6/1/2018 6/1/2018
-5.32 1 3/1/2011 3/1/2011
-5.11 1 10/1/2015 10/1/2015
-4.74 1 1/1/2004 1/1/2004
-4.68 1 11/1/2013 11/1/2013
-4.18 2 9/1/2000 10/1/2000
-4.00 1 12/1/2015 12/1/2015
-3.43 1 11/1/2003 11/1/2003
-3.26 1 7/1/2000 7/1/2000
-2.81 1 8/1/2015 8/1/2015
-2.66 1 3/1/2000 3/1/2000
-2.64 1 3/1/2014 3/1/2014
-1.89 1 5/1/2010 5/1/2010
-1.84 1 4/1/2005 4/1/2005
-1.68 1 1/1/1999 1/1/1999
-1.60 1 5/1/2016 5/1/2016
-1.58 1 11/1/2010 11/1/2010
-1.47 1 6/1/2015 6/1/2015
-1.37 1 1/1/2014 1/1/2014
-1.37 1 10/1/2006 10/1/2006
-0.49 2 8/1/2001 9/1/2001
-0.42 1 3/1/1999 3/1/1999
-0.08 1 8/1/1999 8/1/1999
-0.03 1 12/1/1999 12/1/1999
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods250.00248.00245.00239.00233.00227.00215.00203.00191.00
Percent Profitable51.2050.4053.0659.4164.3866.9669.7779.3175.92
Average Period Return0.942.996.4113.2619.0825.0838.0751.3473.34
Average Gain6.8813.7622.0734.3441.3048.6761.7369.52103.69
Average Loss-5.30-7.96-11.30-17.60-21.07-22.72-16.51-18.36-22.32
Best Period46.4763.2384.13139.09151.53198.43163.62185.70306.21
Worst Period-21.15-32.22-38.44-58.01-60.06-57.98-43.98-34.67-51.22
Standard Deviation8.4515.2023.2336.0741.9246.0252.0756.4679.22
Gain Standard Deviation7.0513.6220.5631.2234.6536.9644.2548.9665.99
Loss Standard Deviation4.256.308.9913.1816.0214.8912.978.9315.37
Sharpe Ratio (1%)0.100.180.250.340.420.500.670.840.86
Average Gain / Average Loss1.301.731.951.951.962.143.743.794.65
Profit / Loss Ratio1.361.762.212.863.544.348.6314.5214.64
Downside Deviation (10%)4.967.8311.2616.6619.6220.8419.4319.2926.31
Downside Deviation (5%)4.787.2710.1514.5016.4916.5612.8710.9615.40
Downside Deviation (0%)4.747.139.8813.9815.7615.5811.519.2613.25
Sortino Ratio (10%)0.110.220.350.500.590.711.151.541.74
Sortino Ratio (5%)0.180.380.580.851.071.392.724.314.43
Sortino Ratio (0%)0.200.420.650.951.211.613.315.545.53

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 7 7.23 10/2014
Diversified Trader Index Month 7 7.23 10/2014
Trend Following Strategy Index Month 9 7.23 10/2014
IASG CTA Index Month 10 7.23 10/2014
Trend Following Strategy Index Month 1 46.47 5/2012
Systematic Trader Index Month 1 46.47 5/2012
Diversified Trader Index Month 1 46.47 5/2012
IASG CTA Index Month 1 46.47 5/2012
Trend Following Strategy Index Month 3 15.80 11/2011
Diversified Trader Index Month 3 15.80 11/2011
Systematic Trader Index Month 4 15.80 11/2011
IASG CTA Index Month 6 15.80 11/2011
Trend Following Strategy Index Month 10 13.97 7/2011
Systematic Trader Index Month 10 13.97 7/2011
Systematic Trader Index Month 9 13.38 9/2010
Diversified Trader Index Month 10 13.38 9/2010
Trend Following Strategy Index Month 9 13.38 9/2010
IASG CTA Index Month 5 17.27 8/2010
Systematic Trader Index Month 4 17.27 8/2010
Diversified Trader Index Month 3 17.27 8/2010
Trend Following Strategy Index Month 3 17.27 8/2010
Systematic Trader Index Month 2 16.08 6/2010
Diversified Trader Index Month 2 16.08 6/2010
Trend Following Strategy Index Month 2 16.08 6/2010
IASG CTA Index Month 2 16.08 6/2010
IASG CTA Index Year Rolling 9 95.53 2007 - 2008
Diversified Trader Index Month 7 11.93 5/2008
Trend Following Strategy Index Month 4 11.93 5/2008
Systematic Trader Index Month 6 11.93 5/2008
IASG CTA Index Month 7 11.93 5/2008
Systematic Trader Index Month 5 6.76 4/2008
Trend Following Strategy Index Month 1 6.76 4/2008
Diversified Trader Index Month 3 6.76 4/2008
IASG CTA Index Month 8 6.76 4/2008
IASG CTA Index Month 3 12.76 3/2008
Diversified Trader Index Month 2 12.76 3/2008
Systematic Trader Index Month 2 12.76 3/2008
Trend Following Strategy Index Month 2 12.76 3/2008
Trend Following Strategy Index Month 9 27.36 2/2008
Diversified Trader Index Month 10 27.36 2/2008
Systematic Trader Index Month 9 27.36 2/2008
Systematic Trader Index Month 10 19.36 9/2007
Trend Following Strategy Index Month 10 19.36 9/2007
Trend Following Strategy Index Month 5 8.92 9/2006
Systematic Trader Index Month 5 8.92 9/2006
Diversified Trader Index Month 4 8.92 9/2006
IASG CTA Index Month 5 8.92 9/2006
IASG CTA Index Month 5 20.25 4/2006
Diversified Trader Index Month 5 20.25 4/2006
Trend Following Strategy Index Month 4 20.25 4/2006
Systematic Trader Index Month 4 20.25 4/2006
Trend Following Strategy Index Month 3 12.22 8/2005
Diversified Trader Index Month 3 12.22 8/2005
IASG CTA Index Month 5 12.22 8/2005
Systematic Trader Index Month 5 12.22 8/2005
Diversified Trader Index Month 7 10.77 5/2005
IASG CTA Index Month 8 10.77 5/2005
Trend Following Strategy Index Month 8 10.77 5/2005
Systematic Trader Index Month 8 10.77 5/2005
IASG CTA Index 5 Year Rolling 7 196.53 1999 - 2004
Diversified Trader Index Month 5 11.60 9/2004
Trend Following Strategy Index Month 4 11.60 9/2004
Systematic Trader Index Month 4 11.60 9/2004
IASG CTA Index Month 6 11.60 9/2004
Diversified Trader Index Month 4 6.80 7/2004
Trend Following Strategy Index Month 4 6.80 7/2004
IASG CTA Index Month 6 6.80 7/2004
Systematic Trader Index Month 5 6.80 7/2004
Trend Following Strategy Index Month 3 8.06 5/2004
IASG CTA Index Month 4 8.06 5/2004
Systematic Trader Index Month 4 8.06 5/2004
Diversified Trader Index Month 3 8.06 5/2004
IASG CTA Index 5 Year Rolling 6 182.29 1998 - 2003
Trend Following Strategy Index Month 5 25.01 5/2003
Systematic Trader Index Month 5 25.01 5/2003
Diversified Trader Index Month 4 25.01 5/2003
IASG CTA Index Month 5 25.01 5/2003
Trend Following Strategy Index Month 6 16.15 2/2003
IASG CTA Index Month 7 16.15 2/2003
Systematic Trader Index Month 6 16.15 2/2003
Diversified Trader Index Month 7 16.15 2/2003
Diversified Trader Index Month 5 27.63 12/2002
IASG CTA Index Month 5 27.63 12/2002
Systematic Trader Index Month 5 27.63 12/2002
Trend Following Strategy Index Month 5 27.63 12/2002
IASG CTA Index 5 Year Rolling 4 174.90 1997 - 2002
Trend Following Strategy Index Month 10 8.14 8/2002
IASG CTA Index Year Rolling 9 42.52 1999 - 2000
IASG CTA Index 3 Year Rolling 6 105.33 1997 - 2000
Diversified Trader Index Month 9 12.57 11/2000
IASG CTA Index Month 9 12.57 11/2000
Systematic Trader Index Month 9 12.57 11/2000
Trend Following Strategy Index Month 9 12.57 11/2000
Diversified Trader Index Month 8 3.01 6/2000
Systematic Trader Index Month 6 3.01 6/2000
Trend Following Strategy Index Month 3 3.01 6/2000
Trend Following Strategy Index Month 9 1.16 4/2000
Systematic Trader Index Month 8 7.39 11/1999
Diversified Trader Index Month 10 7.39 11/1999
Trend Following Strategy Index Month 7 7.39 11/1999

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