Clarke Capital Management : Worldwide Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Since1/1996 Worldwide -2.59 - - - -17.01 -47.15 -55.51 384.98 S&P 500 -6.94 - - - 29.10 52.82 177.05 484.49 +/- S&P 500 4.35 - - - -46.10 -99.97 -232.56 -99.52 Strategy Description SummaryWorldwide 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% Composition Interest Rates 41.00% Currency FX 22.00% Grains 19.00% Precious Metals 7.00% Softs 7.00% Energy 4.00% SummaryWorldwide 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 StrategyQuantitative trend following Risk ManagementCCM 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: {{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 -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 Show More 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 Show More 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 Show More 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 10 79.20 1997 - 2000 IASG CTA Index 5 Year 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 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 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 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 Annual 6 44.55 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. x {{title}} x {{title}} Add Cancel