Clarke Capital Management : Millennium

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

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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	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

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%

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

Compare to:

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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

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	250.00	248.00	245.00	239.00	233.00	227.00	215.00	203.00	191.00
Percent Profitable	51.20	50.40	53.06	59.41	64.38	66.96	69.77	79.31	75.92
Average Period Return	0.94	2.99	6.41	13.26	19.08	25.08	38.07	51.34	73.34
Average Gain	6.88	13.76	22.07	34.34	41.30	48.67	61.73	69.52	103.69
Average Loss	-5.30	-7.96	-11.30	-17.60	-21.07	-22.72	-16.51	-18.36	-22.32
Best Period	46.47	63.23	84.13	139.09	151.53	198.43	163.62	185.70	306.21
Worst Period	-21.15	-32.22	-38.44	-58.01	-60.06	-57.98	-43.98	-34.67	-51.22
Standard Deviation	8.45	15.20	23.23	36.07	41.92	46.02	52.07	56.46	79.22
Gain Standard Deviation	7.05	13.62	20.56	31.22	34.65	36.96	44.25	48.96	65.99
Loss Standard Deviation	4.25	6.30	8.99	13.18	16.02	14.89	12.97	8.93	15.37
Sharpe Ratio (1%)	0.10	0.18	0.25	0.34	0.42	0.50	0.67	0.84	0.86
Average Gain / Average Loss	1.30	1.73	1.95	1.95	1.96	2.14	3.74	3.79	4.65
Profit / Loss Ratio	1.36	1.76	2.21	2.86	3.54	4.34	8.63	14.52	14.64
Downside Deviation (10%)	4.96	7.83	11.26	16.66	19.62	20.84	19.43	19.29	26.31
Downside Deviation (5%)	4.78	7.27	10.15	14.50	16.49	16.56	12.87	10.96	15.40
Downside Deviation (0%)	4.74	7.13	9.88	13.98	15.76	15.58	11.51	9.26	13.25
Sortino Ratio (10%)	0.11	0.22	0.35	0.50	0.59	0.71	1.15	1.54	1.74
Sortino Ratio (5%)	0.18	0.38	0.58	0.85	1.07	1.39	2.72	4.31	4.43
Sortino Ratio (0%)	0.20	0.42	0.65	0.95	1.21	1.61	3.31	5.54	5.53

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.

^#7

Top Performer

SYSTEMATIC TRADER INDEX

OCTOBER
2014

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Clarke Capital Management : Millennium

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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