Clarke Capital Management : Worldwide

archived programs
Year-to-Date
N / A
Oct Performance
-2.59%
Min Investment
$ 250k
Mgmt. Fee
1.80%
Perf. Fee
25.00%
Annualized Vol
22.50%
Sharpe (RFR=1%)
0.37
CAROR
7.16%
Assets
$ 2.1M
Worst DD
-56.71
S&P Correlation
-0.14

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
1/1996
Worldwide -2.59 -3.18 - -17.99 -47.51 -45.78 -34.33 384.98
S&P 500 -6.94 -3.71 - 5.30 29.10 52.82 177.05 321.99
+/- S&P 500 4.35 0.53 - -23.29 -76.61 -98.60 -211.38 62.99

Strategy Description

Summary

Worldwide is a fully systematic, multi-model trend following program that manages capital across a diversified portfolio of 25 exchange traded futures markets. Market sectors traded include interest rates, currencies, metals, energies, grains, meats and softs. The program employs 15... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
2.00
Management Fee
1.80%
Performance Fee
25.00%
Average Commission
$16.50
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
850 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
Worst Peak-to-Trough
27.16%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
20.00%
1-30 Days
70.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
41.00%
Currency FX
22.00%
Grains
19.00%
Precious Metals
7.00%
Softs
7.00%
Energy
4.00%
Composition Pie Chart

Summary

Worldwide is a fully systematic, multi-model trend following program that manages capital across a diversified portfolio of 25 exchange traded futures markets. Market sectors traded include interest rates, currencies, metals, energies, grains, meats and softs. The program employs 15 models which have a blended time frame focus of intermediate and long-term. The use of both aggressive and tactical components in the models lowers the correlation of Worldwide to other trend following systems. Each model consults a “Fuzzy-Logic Trend Filter” for permission to initiate positions and to take on market risk.

Investment Strategy

Quantitative trend following

Risk Management

CCM employs a strict and multilevel risk management system which operates systematically at the model, market, sector and portfolio levels. Once a trade is introduced into the portfolio, a model-based stop governs the individual position risk and dynamically adjusts as a function of market risk conditions, position profitability, time, and other factors. These model-based risk management procedures interact with additional risk governors at the aggregate market, sector, and portfolio level, to insure portfolio balance and prevent excessive market/sector/portfolio exposures. Risk limits and dynamics are fully systematic. The main analytical tools used are proprietary.

   

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
-56.71 77 - 5/1/2012 10/1/2018
-27.15 13 4 12/1/2010 1/1/2012
-26.06 36 6 3/1/2004 3/1/2007
-18.46 11 10 3/1/2001 2/1/2002
-13.74 1 7 11/1/2009 12/1/2009
-13.65 4 1 12/1/2008 4/1/2009
-12.34 1 3 6/1/2008 7/1/2008
-9.34 1 2 9/1/2000 10/1/2000
-8.48 1 2 11/1/1996 12/1/1996
-8.05 3 3 5/1/2009 8/1/2009
-7.82 1 1 6/1/2000 7/1/2000
-7.72 2 2 3/1/1999 5/1/1999
-7.57 1 2 3/1/2008 4/1/2008
-7.42 1 2 2/1/2003 3/1/2003
-7.38 2 2 1/1/2000 3/1/2000
-7.33 1 4 4/1/1996 5/1/1996
-6.10 1 4 9/1/1998 10/1/1998
-5.24 2 2 1/1/0001 2/1/1996
-4.57 1 1 9/1/1999 10/1/1999
-4.55 3 2 5/1/2003 8/1/2003
-3.95 3 1 1/1/1998 4/1/1998
-3.94 2 1 12/1/2000 2/1/2001
-3.88 1 2 9/1/1997 10/1/1997
-3.71 2 1 5/1/1998 7/1/1998
-3.63 1 1 7/1/1997 8/1/1997
-3.53 1 1 10/1/2010 11/1/2010
-1.48 1 1 10/1/2003 11/1/2003
-1.14 1 3 2/1/1997 3/1/1997
-0.12 1 1 11/1/2007 12/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
54.29 3 9/1/1996 11/1/1996
48.28 5 8/1/2008 12/1/2008
39.88 8 3/1/2010 10/1/2010
37.26 2 4/1/2012 5/1/2012
35.48 2 8/1/1998 9/1/1998
34.77 3 9/1/2007 11/1/2007
27.05 3 12/1/2002 2/1/2003
26.51 3 3/1/2006 5/1/2006
24.60 3 1/1/2008 3/1/2008
19.75 5 5/1/2002 9/1/2002
19.16 1 5/1/2009 5/1/2009
18.82 2 4/1/2003 5/1/2003
18.32 4 6/1/2014 9/1/2014
17.97 4 12/1/2003 3/1/2004
16.00 4 4/1/2007 7/1/2007
15.65 2 11/1/2000 12/1/2000
15.52 3 4/1/2000 6/1/2000
13.61 3 11/1/1997 1/1/1998
13.03 5 11/1/2012 3/1/2013
12.80 3 5/1/2017 7/1/2017
12.70 2 1/1/1997 2/1/1997
12.55 1 4/1/2011 4/1/2011
12.16 3 9/1/2004 11/1/2004
11.17 3 11/1/1999 1/1/2000
11.08 4 6/1/1999 9/1/1999
11.05 2 3/1/1996 4/1/1996
10.25 2 8/1/2000 9/1/2000
10.02 1 1/1/2018 1/1/2018
9.86 3 7/1/2011 9/1/2011
9.57 3 11/1/2014 1/1/2015
8.95 1 7/1/2012 7/1/2012
8.81 2 5/1/2008 6/1/2008
8.60 1 11/1/2015 11/1/2015
8.43 3 1/1/1999 3/1/1999
7.78 1 2/1/2012 2/1/2012
7.54 2 5/1/2005 6/1/2005
7.05 2 6/1/1996 7/1/1996
6.90 1 11/1/2009 11/1/2009
6.56 1 11/1/2006 11/1/2006
6.40 1 5/1/1998 5/1/1998
6.34 2 9/1/2003 10/1/2003
6.20 1 9/1/2009 9/1/2009
6.11 1 9/1/1997 9/1/1997
5.90 1 1/1/2010 1/1/2010
5.85 1 7/1/2015 7/1/2015
5.68 2 6/1/1997 7/1/1997
5.25 1 3/1/2001 3/1/2001
5.02 2 9/1/2001 10/1/2001
4.99 1 12/1/2013 12/1/2013
4.27 1 2/1/2014 2/1/2014
4.00 1 3/1/2002 3/1/2002
3.96 1 12/1/2010 12/1/2010
3.91 1 5/1/2015 5/1/2015
3.84 1 12/1/2016 12/1/2016
3.83 1 5/1/2001 5/1/2001
3.79 1 8/1/2018 8/1/2018
3.02 1 6/1/2018 6/1/2018
2.84 1 4/1/2016 4/1/2016
2.07 1 11/1/2011 11/1/2011
1.84 1 4/1/2014 4/1/2014
1.62 1 3/1/2018 3/1/2018
1.49 2 11/1/2005 12/1/2005
1.49 1 2/1/2017 2/1/2017
1.33 1 11/1/1998 11/1/1998
1.31 1 5/1/2004 5/1/2004
0.81 1 2/1/2009 2/1/2009
0.74 1 8/1/2013 8/1/2013
0.65 1 6/1/2016 6/1/2016
0.64 1 2/1/2016 2/1/2016
0.55 1 4/1/1997 4/1/1997
0.20 1 7/1/2001 7/1/2001
0.12 1 7/1/2004 7/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.76 5 6/1/2006 10/1/2006
-20.46 5 7/1/2016 11/1/2016
-19.12 1 10/1/2011 10/1/2011
-17.81 3 1/1/2011 3/1/2011
-16.43 2 3/1/2017 4/1/2017
-15.64 1 6/1/2012 6/1/2012
-13.74 1 12/1/2009 12/1/2009
-13.41 1 2/1/2018 2/1/2018
-13.26 4 4/1/2013 7/1/2013
-12.34 1 7/1/2008 7/1/2008
-12.34 2 12/1/2015 1/1/2016
-12.19 4 12/1/2006 3/1/2007
-12.15 3 2/1/2015 4/1/2015
-11.91 5 8/1/2017 12/1/2017
-11.58 4 7/1/2005 10/1/2005
-11.16 5 12/1/2004 4/1/2005
-11.13 4 11/1/2001 2/1/2002
-10.96 2 4/1/2018 5/1/2018
-10.69 2 5/1/2011 6/1/2011
-10.57 2 3/1/2009 4/1/2009
-10.08 2 10/1/2002 11/1/2002
-9.34 1 10/1/2000 10/1/2000
-9.11 1 4/1/2004 4/1/2004
-9.00 1 4/1/2001 4/1/2001
-8.48 1 12/1/1996 12/1/1996
-8.05 3 6/1/2009 8/1/2009
-7.82 1 7/1/2000 7/1/2000
-7.79 3 8/1/2015 10/1/2015
-7.75 3 8/1/2012 10/1/2012
-7.72 2 4/1/1999 5/1/1999
-7.57 1 4/1/2008 4/1/2008
-7.42 1 3/1/2003 3/1/2003
-7.38 2 2/1/2000 3/1/2000
-7.33 1 5/1/1996 5/1/1996
-7.16 3 9/1/2013 11/1/2013
-6.72 2 9/1/2018 10/1/2018
-6.30 1 5/1/2014 5/1/2014
-6.10 1 10/1/1998 10/1/1998
-5.68 1 6/1/2001 6/1/2001
-5.64 2 1/1/2006 2/1/2006
-5.24 2 1/1/1996 2/1/1996
-4.63 1 2/1/2010 2/1/2010
-4.62 1 3/1/2012 3/1/2012
-4.57 1 10/1/1999 10/1/1999
-4.55 3 6/1/2003 8/1/2003
-4.48 1 3/1/2016 3/1/2016
-4.41 1 1/1/2014 1/1/2014
-4.22 1 1/1/2009 1/1/2009
-4.04 1 10/1/2009 10/1/2009
-3.95 3 2/1/1998 4/1/1998
-3.94 2 1/1/2001 2/1/2001
-3.88 1 10/1/1997 10/1/1997
-3.71 2 6/1/1998 7/1/1998
-3.63 1 8/1/1997 8/1/1997
-3.57 1 8/1/2007 8/1/2007
-3.53 1 11/1/2010 11/1/2010
-3.48 1 6/1/2004 6/1/2004
-3.47 1 7/1/2018 7/1/2018
-3.45 1 3/1/2014 3/1/2014
-3.32 1 6/1/2015 6/1/2015
-2.94 1 4/1/2002 4/1/2002
-2.78 2 12/1/2011 1/1/2012
-2.37 1 8/1/2004 8/1/2004
-2.19 1 5/1/2016 5/1/2016
-2.16 1 8/1/2001 8/1/2001
-1.94 1 1/1/2017 1/1/2017
-1.94 1 8/1/1996 8/1/1996
-1.48 1 10/1/2014 10/1/2014
-1.48 1 11/1/2003 11/1/2003
-1.14 1 3/1/1997 3/1/1997
-0.77 1 12/1/1998 12/1/1998
-0.13 1 5/1/1997 5/1/1997
-0.12 1 12/1/2007 12/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods274.00272.00269.00263.00257.00251.00239.00227.00215.00
Percent Profitable52.1955.1556.5161.6064.5968.9271.9780.1881.86
Average Period Return0.782.354.7810.0115.1820.9833.7746.4859.92
Average Gain5.299.3814.8224.0531.5438.0454.7663.8979.18
Average Loss-4.14-6.30-8.27-12.51-14.65-16.84-20.13-23.94-26.98
Best Period30.5754.2961.9687.61125.15140.03173.18203.33238.48
Worst Period-19.12-18.28-22.94-32.37-40.26-41.52-50.01-50.46-51.60
Standard Deviation6.4910.6415.4123.6130.7538.1649.8057.1561.38
Gain Standard Deviation5.158.8912.7718.7425.5333.0242.2249.7449.93
Loss Standard Deviation3.584.435.687.9610.0513.8015.0116.5916.33
Sharpe Ratio (1%)0.110.200.280.380.440.500.620.740.89
Average Gain / Average Loss1.281.491.791.922.152.262.722.672.93
Profit / Loss Ratio1.391.832.333.083.935.016.9810.7913.24
Downside Deviation (10%)4.005.848.0111.9314.5717.1020.8222.0824.79
Downside Deviation (5%)3.825.296.889.7011.3113.0014.5914.4515.30
Downside Deviation (0%)3.785.156.619.1710.5512.1113.2612.9213.39
Sortino Ratio (10%)0.090.190.290.420.520.630.861.131.30
Sortino Ratio (5%)0.180.400.620.931.211.462.112.943.58
Sortino Ratio (0%)0.210.460.721.091.441.732.553.604.48

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 3.92 5/2015
Trend Following Strategy Index Month 8 6.19 6/2014
Diversified Trader Index Month 8 6.19 6/2014
Diversified Trader Index Month 6 28.42 5/2012
IASG CTA Index Month 7 28.42 5/2012
Trend Following Strategy Index Month 7 28.42 5/2012
Systematic Trader Index Month 7 28.42 5/2012
Diversified Trader Index Month 6 6.88 4/2012
Systematic Trader Index Month 8 6.88 4/2012
Trend Following Strategy Index Month 3 6.88 4/2012
Trend Following Strategy Index Month 9 7.78 2/2012
IASG CTA Index Month 10 5.90 1/2010
Trend Following Strategy Index Month 2 5.90 1/2010
Systematic Trader Index Month 5 5.90 1/2010
Diversified Trader Index Month 6 5.90 1/2010
Diversified Trader Index Month 7 19.16 5/2009
IASG CTA Index Month 8 19.16 5/2009
Systematic Trader Index Month 5 19.16 5/2009
Trend Following Strategy Index Month 5 19.16 5/2009
Trend Following Strategy Index Month 8 5.85 3/2008
Systematic Trader Index Month 2 30.57 9/2007
Diversified Trader Index Month 2 30.57 9/2007
Trend Following Strategy Index Month 1 30.57 9/2007
IASG CTA Index Month 2 30.57 9/2007
Diversified Trader Index Month 8 6.48 7/2007
Systematic Trader Index Month 10 6.48 7/2007
Trend Following Strategy Index Month 9 6.48 7/2007
Diversified Trader Index Month 7 18.95 4/2006
IASG CTA Index Month 7 18.95 4/2006
Trend Following Strategy Index Month 6 18.95 4/2006
Systematic Trader Index Month 6 18.95 4/2006
Trend Following Strategy Index Month 8 3.83 5/2001
Diversified Trader Index Month 9 3.83 5/2001
IASG CTA Index 3 Year Rolling 10 79.20 1997 - 2000
IASG CTA Index 5 Year Rolling 3 222.91 1995 - 2000
Trend Following Strategy Index Month 8 0.47 9/2000
Systematic Trader Index Month 10 9.73 8/2000
Trend Following Strategy Index Month 9 9.73 8/2000
Systematic Trader Index Month 10 2.45 6/2000
Trend Following Strategy Index Month 7 2.45 6/2000
IASG CTA Index Month 8 9.52 5/2000
Systematic Trader Index Month 7 9.52 5/2000
Diversified Trader Index Month 7 9.52 5/2000
Trend Following Strategy Index Month 5 9.52 5/2000
Trend Following Strategy Index Month 4 2.96 4/2000
Systematic Trader Index Month 10 2.96 4/2000
Diversified Trader Index Month 9 2.96 4/2000
IASG CTA Index Month 10 2.96 4/2000
IASG CTA Index 3 Year Rolling 9 90.50 1996 - 1999
Systematic Trader Index Month 9 4.61 7/1999
Trend Following Strategy Index Month 6 4.61 7/1999
IASG CTA Index Month 9 4.61 7/1999
Diversified Trader Index Month 8 4.61 7/1999
Systematic Trader Index Month 7 5.08 6/1999
Trend Following Strategy Index Month 5 5.08 6/1999
Diversified Trader Index Month 9 5.08 6/1999
Trend Following Strategy Index Month 10 6.84 2/1999
Trend Following Strategy Index Month 6 0.87 1/1999
Systematic Trader Index Month 8 0.87 1/1999
Diversified Trader Index Month 8 0.87 1/1999
IASG CTA Index 3 Year Rolling 4 140.20 1995 - 1998
Trend Following Strategy Index Month 8 1.33 11/1998
Trend Following Strategy Index Month 8 11.35 9/1998
Diversified Trader Index Month 10 11.35 9/1998
Systematic Trader Index Month 9 11.35 9/1998
Systematic Trader Index Month 9 6.40 5/1998
Diversified Trader Index Month 9 6.40 5/1998
IASG CTA Index Month 9 6.40 5/1998
Trend Following Strategy Index Month 8 6.40 5/1998
Trend Following Strategy Index Month 5 -3.22 4/1998
Diversified Trader Index Month 10 -3.22 4/1998
Trend Following Strategy Index Month 9 5.91 1/1998
Systematic Trader Index Month 9 5.91 1/1998
Diversified Trader Index Month 9 5.91 1/1998
IASG CTA Index Month 9 5.91 1/1998
IASG CTA Index Sharpe 10 1.29 1996 - 1997
Trend Following Strategy Index Month 10 -3.63 8/1997
IASG CTA Index Month 9 0.55 4/1997
Trend Following Strategy Index Month 4 0.55 4/1997
Systematic Trader Index Month 5 0.55 4/1997
Diversified Trader Index Month 5 0.55 4/1997
Trend Following Strategy Index Month 8 8.56 2/1997
IASG CTA Index Month 10 8.56 2/1997
Diversified Trader Index Month 10 8.56 2/1997
Systematic Trader Index Month 9 8.56 2/1997
IASG CTA Index Year Rolling 6 44.55 1995 - 1996
IASG CTA Index Month 6 15.64 11/1996
Trend Following Strategy Index Month 6 15.64 11/1996
Systematic Trader Index Month 6 15.64 11/1996
Diversified Trader Index Month 6 15.64 11/1996
IASG CTA Index Month 4 22.29 9/1996
Trend Following Strategy Index Month 4 22.29 9/1996
Systematic Trader Index Month 4 22.29 9/1996
Diversified Trader Index Month 4 22.29 9/1996
Trend Following Strategy Index Month 8 0.17 7/1996
Diversified Trader Index Month 10 0.17 7/1996
Systematic Trader Index Month 10 0.17 7/1996
Trend Following Strategy Index Month 3 6.87 6/1996
Systematic Trader Index Month 3 6.87 6/1996
IASG CTA Index Month 6 6.87 6/1996

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