Clarke Capital Management : Millennium Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since1/1998 Millennium -14.19 - - - -2.92 -40.21 -33.37 347.31 S&P 500 -6.94 - - - 29.10 52.82 177.05 279.20 +/- S&P 500 -7.25 - - - -32.01 -93.03 -210.42 68.10 Strategy Description SummaryThe 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% 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% SummaryThe 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 StrategyPrimarily trend-following with some counter-trend modelsRisk ManagementUses initial and trailing stops Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 Show More 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 Show More 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 Show More 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 Annual 9 95.53 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 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 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 4 174.90 1997 - 2002 Trend Following Strategy Index Month 10 8.14 8/2002 IASG CTA Index Annual 9 42.52 2000 IASG CTA Index 3 Year 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. x {{title}} x {{title}} Add Cancel