Clarke Capital Management : Orion

archived programs
Year-to-Date
N / A
Feb Performance
1.37%
Min Investment
$ 200k
Mgmt. Fee
1.80%
Perf. Fee
25.00%
Annualized Vol
15.60%
Sharpe (RFR=1%)
0.39
CAROR
6.10%
Assets
$ 0k
Worst DD
-28.86
S&P Correlation
-0.24

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
7/1999
Orion 1.37 - - - - - 0.45 138.38
S&P 500 4.31 - - - - - 62.38 160.71
+/- S&P 500 -2.94 - - - - - -61.93 -22.33

Strategy Description

Summary

The Orion program currently trades 27 domestic & international commodity interests, 12 of which are either long or short interest rate contracts reflecting interest rates in the US, EMU, the UK and Australia. Also followed are several US and Non-U.S. currencies, grains, softs, meats,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.80%
Performance Fee 25.00%
Average Commission $9.00
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 450 RT/YR/$M
Avg. Margin-to-Equity 35%
Targeted Worst DD
Worst Peak-to-Trough 28.87%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 20.00%
1-30 Days 75.00%
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
40.00%
Currency FX
22.00%
Grains
19.00%
Precious Metals
7.00%
Energy
4.00%
Livestock
4.00%
Softs
4.00%
Composition Pie Chart

Summary

The Orion program currently trades 27 domestic & international commodity interests, 12 of which are either long or short interest rate contracts reflecting interest rates in the US, EMU, the UK and Australia. Also followed are several US and Non-U.S. currencies, grains, softs, meats, metals and fuels. The program uses seven models. Five of the models are intermediate time-frame focus with similar characteristics to those in the Global Basic and Global Magnum programs. The other two models are long-term models and are variations of two of the more successful models used elsewhere by CCM. 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 Orion 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
-28.86 16 25 12/1/2008 4/1/2010
-20.18 17 - 5/1/2012 10/1/2013
-13.64 9 7 5/1/2001 2/1/2002
-11.17 7 3 1/1/0001 1/1/2000
-11.05 4 2 6/1/2000 10/1/2000
-9.58 11 12 5/1/2004 4/1/2005
-9.25 1 6 9/1/2002 10/1/2002
-8.17 3 4 4/1/2006 7/1/2006
-2.92 3 4 5/1/2003 8/1/2003
-2.85 1 1 6/1/2008 7/1/2008
-2.79 1 2 12/1/2000 1/1/2001
-2.56 2 1 3/1/2008 5/1/2008
-2.48 1 3 11/1/2006 12/1/2006
-2.40 1 1 3/1/2004 4/1/2004
-1.68 2 1 6/1/2007 8/1/2007
-1.64 1 1 12/1/2003 1/1/2004
-0.41 1 1 8/1/2008 9/1/2008
-0.36 1 1 3/1/2001 4/1/2001
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Consecutive Gains

Run-up Length (Mos.) Start End
47.85 7 9/1/2007 3/1/2008
34.25 2 4/1/2012 5/1/2012
20.74 5 5/1/2002 9/1/2002
19.12 2 11/1/2000 12/1/2000
17.62 2 4/1/2003 5/1/2003
14.99 1 5/1/2010 5/1/2010
14.36 3 10/1/2008 12/1/2008
13.27 1 8/1/2010 8/1/2010
10.81 1 2/1/2000 2/1/2000
10.79 4 8/1/2006 11/1/2006
7.88 3 7/1/2011 9/1/2011
7.66 4 5/1/2005 8/1/2005
7.58 2 11/1/2002 12/1/2002
7.51 1 4/1/2011 4/1/2011
7.19 1 6/1/2013 6/1/2013
6.32 1 8/1/2000 8/1/2000
6.01 3 4/1/2000 6/1/2000
5.46 2 11/1/1999 12/1/1999
5.38 1 11/1/2009 11/1/2009
5.35 2 2/1/2001 3/1/2001
5.31 6 1/1/2007 6/1/2007
5.30 2 2/1/2004 3/1/2004
4.43 1 5/1/2001 5/1/2001
4.23 1 5/1/2009 5/1/2009
4.16 2 3/1/2006 4/1/2006
3.99 1 2/1/2003 2/1/2003
3.88 2 10/1/2005 11/1/2005
3.58 1 8/1/2008 8/1/2008
3.53 1 6/1/2008 6/1/2008
3.46 1 5/1/2004 5/1/2004
3.18 1 2/1/2005 2/1/2005
3.04 2 10/1/2004 11/1/2004
2.81 1 12/1/2003 12/1/2003
2.61 1 9/1/2003 9/1/2003
2.58 2 11/1/2013 12/1/2013
2.44 1 12/1/2010 12/1/2010
1.73 1 3/1/2002 3/1/2002
1.46 2 7/1/2012 8/1/2012
1.37 1 2/1/2014 2/1/2014
1.25 1 10/1/2001 10/1/2001
0.62 1 8/1/2009 8/1/2009
0.24 1 1/1/2006 1/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.05 5 12/1/2009 4/1/2010
-10.07 9 9/1/2012 5/1/2013
-10.04 1 6/1/2012 6/1/2012
-9.79 4 1/1/2009 4/1/2009
-9.79 2 9/1/2000 10/1/2000
-9.60 4 7/1/1999 10/1/1999
-9.28 4 7/1/2013 10/1/2013
-9.25 1 10/1/2002 10/1/2002
-9.05 6 10/1/2011 3/1/2012
-8.17 3 5/1/2006 7/1/2006
-7.90 2 9/1/2009 10/1/2009
-7.87 4 6/1/2001 9/1/2001
-7.53 3 9/1/2010 11/1/2010
-7.42 4 11/1/2001 2/1/2002
-7.26 1 7/1/2000 7/1/2000
-7.04 2 12/1/2004 1/1/2005
-6.82 1 1/1/2000 1/1/2000
-6.61 2 6/1/2009 7/1/2009
-5.25 4 6/1/2004 9/1/2004
-4.61 3 1/1/2011 3/1/2011
-4.23 2 5/1/2011 6/1/2011
-3.44 2 3/1/2005 4/1/2005
-3.15 1 3/1/2003 3/1/2003
-3.13 2 6/1/2010 7/1/2010
-2.92 3 6/1/2003 8/1/2003
-2.85 1 7/1/2008 7/1/2008
-2.79 1 1/1/2001 1/1/2001
-2.56 2 4/1/2008 5/1/2008
-2.48 1 12/1/2006 12/1/2006
-2.40 1 4/1/2004 4/1/2004
-2.17 1 1/1/2003 1/1/2003
-1.80 1 9/1/2005 9/1/2005
-1.68 2 7/1/2007 8/1/2007
-1.64 1 1/1/2004 1/1/2004
-1.41 1 4/1/2002 4/1/2002
-1.25 1 1/1/2014 1/1/2014
-0.96 1 12/1/2005 12/1/2005
-0.87 1 2/1/2006 2/1/2006
-0.75 2 10/1/2003 11/1/2003
-0.41 1 9/1/2008 9/1/2008
-0.36 1 4/1/2001 4/1/2001
-0.20 1 3/1/2000 3/1/2000
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods176.00174.00171.00165.00159.00153.00141.00129.00117.00
Percent Profitable46.0255.7561.4072.1276.1084.3193.6295.3595.73
Average Period Return0.591.753.687.7712.4016.6825.9235.7446.77
Average Gain3.986.219.5713.6718.5321.0928.3437.6949.17
Average Loss-2.30-3.87-5.70-7.50-7.14-7.00-9.63-4.17-6.91
Best Period27.6132.5436.5550.0968.0676.9981.7794.6493.31
Worst Period-10.04-12.37-16.82-23.39-20.63-17.22-15.32-5.34-9.93
Standard Deviation4.507.0010.1614.5318.4420.0621.6121.9121.31
Gain Standard Deviation4.266.098.3512.3216.6518.6320.1220.5318.40
Loss Standard Deviation1.992.713.656.396.125.754.821.433.18
Sharpe Ratio (1%)0.110.210.310.470.590.731.061.451.96
Average Gain / Average Loss1.731.611.681.822.603.012.949.047.12
Profit / Loss Ratio1.482.022.674.728.2716.1843.18185.31159.45
Downside Deviation (10%)2.463.845.577.498.017.848.207.918.95
Downside Deviation (5%)2.283.274.465.595.154.223.411.862.58
Downside Deviation (0%)2.233.134.195.184.573.562.690.941.54
Sortino Ratio (10%)0.070.140.220.370.600.821.241.802.14
Sortino Ratio (5%)0.220.460.711.212.113.486.7117.0716.16
Sortino Ratio (0%)0.260.560.881.502.714.699.6437.9430.29

Top Performer Badges

Index Award Type Rank Performance Period

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