Clarke Capital Management : Millennium

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