Clarke Capital Management : Worldwide

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

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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 1/1996
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

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%

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.

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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	274.00	272.00	269.00	263.00	257.00	251.00	239.00	227.00	215.00
Percent Profitable	52.19	55.15	56.51	61.60	64.59	68.92	71.97	80.18	81.86
Average Period Return	0.78	2.35	4.78	10.01	15.18	20.98	33.77	46.48	59.92
Average Gain	5.29	9.38	14.82	24.05	31.54	38.04	54.76	63.89	79.18
Average Loss	-4.14	-6.30	-8.27	-12.51	-14.65	-16.84	-20.13	-23.94	-26.98
Best Period	30.57	54.29	61.96	87.61	125.15	140.03	173.18	203.33	238.48
Worst Period	-19.12	-18.28	-22.94	-32.37	-40.26	-41.52	-50.01	-50.46	-51.60
Standard Deviation	6.49	10.64	15.41	23.61	30.75	38.16	49.80	57.15	61.38
Gain Standard Deviation	5.15	8.89	12.77	18.74	25.53	33.02	42.22	49.74	49.93
Loss Standard Deviation	3.58	4.43	5.68	7.96	10.05	13.80	15.01	16.59	16.33
Sharpe Ratio (1%)	0.11	0.20	0.28	0.38	0.44	0.50	0.62	0.74	0.89
Average Gain / Average Loss	1.28	1.49	1.79	1.92	2.15	2.26	2.72	2.67	2.93
Profit / Loss Ratio	1.39	1.83	2.33	3.08	3.93	5.01	6.98	10.79	13.24
Downside Deviation (10%)	4.00	5.84	8.01	11.93	14.57	17.10	20.82	22.08	24.79
Downside Deviation (5%)	3.82	5.29	6.88	9.70	11.31	13.00	14.59	14.45	15.30
Downside Deviation (0%)	3.78	5.15	6.61	9.17	10.55	12.11	13.26	12.92	13.39
Sortino Ratio (10%)	0.09	0.19	0.29	0.42	0.52	0.63	0.86	1.13	1.30
Sortino Ratio (5%)	0.18	0.40	0.62	0.93	1.21	1.46	2.11	2.94	3.58
Sortino Ratio (0%)	0.21	0.46	0.72	1.09	1.44	1.73	2.55	3.60	4.48

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.

^#9

Top Performer

TREND FOLLOWING STRATEGY INDEX

MAY
2015

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Clarke Capital Management : Worldwide

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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