1 worldwide - clarke capital management –clarkecap.com/docs/worldwide.pdf191 north wacker, suite...
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191 North Wacker, Suite 1025
Chicago, IL 60606
E-Mail: [email protected] Phone: (224) 592-1010
www.clarkecapital.com
Program Description
Performance (Percentage Rate of Return)
Return Statistics Investment Information
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.
Worldwide
Established in 1993 by Michael Clarke, Clarke Capital Management is a registered
Commodities Trading Advisor offering systematic trading programs to investors
Past performance is not necessarily indicative of future results. No representation is being made that an account will achieve future profits and losses similar to those shown above. Futures trading involves substantial risk and is not suitable for everyone. Investing in the program should be considered only after a careful study of our most recent disclosure document, which is available on our website. This document is not in-tended to be an offer or a solicitation to invest.
Data updated through: April, 2018
Total Cumulative Return 555%
Annualized Return 7.97%
Annualized Standard Deviation 22.58%
Annualized Downside Deviation 12.52%
Sharpe Ratio 0.35
Annualized Sortino Ratio 0.44
Average Winning Month 5.32%
Average Losing Month -4.12%
% Winning Months 52.61%
Worst Peak-to-Valley Drawdown May, 2012 to April, 2018 (50.5)%
Inception of Program January 12, 1996
Firm Nominal AUM (M) $17.9
Program Nominal AUM (M) $4.0
RT/Mil$/Year 720
Avg. Margin/Equity 11%
Min. Account Size $250,000
Management Fee 1.80%
Incentive Fee 25%
Liquidity 1 to 5 days
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2018 10.02 -13.41 1.62 -1.96 -5.09
2017 -1.94 1.49 -16.25 -0.21 2.71 9.44 0.35 -0.34 -9.10 -1.60 -0.76 -0.42 -17.35
2016 -4.15 0.64 -4.48 2.84 -2.19 0.65 -6.06 -1.29 -3.66 -0.92 -10.14 3.84 -22.94
2015 6.07 -4.50 -2.48 -5.67 3.91 -3.32 5.85 -0.05 -1.50 -6.34 8.60 -8.54 -9.25
2014 -4.41 4.27 -3.45 1.84 -6.30 6.01 2.47 4.54 4.19 -1.48 2.96 0.33 10.57
2013 3.72 0.85 1.60 -0.47 -2.60 -0.20 -10.34 0.74 -2.36 -2.36 -2.62 4.99 -9.49
2012 -1.79 7.78 -4.62 6.88 28.42 -15.64 8.95 -2.10 -0.27 -5.52 1.37 4.92 24.96
2011 -8.43 -1.22 -9.13 12.55 -8.49 -2.40 5.97 1.00 2.64 -19.12 2.07 -1.01 -25.83
2010 5.90 -4.63 1.41 5.45 3.95 3.16 2.86 9.15 4.23 4.24 -3.53 3.96 41.68
2009 -4.22 0.81 -6.02 -4.84 19.16 -4.46 -1.76 -2.03 6.20 -4.04 6.92 -13.74 -11.07
2008 4.88 12.24 5.85 -7.57 5.46 3.21 -12.34 3.95 9.15 11.53 9.46 7.04 62.92
2007 -0.46 -1.77 -2.33 3.69 1.40 3.61 6.48 -3.57 30.57 0.59 2.61 -0.12 43.77
2006 -3.72 -1.99 3.64 18.95 2.62 -5.39 -6.76 -3.03 -3.76 -3.75 6.56 -8.05 -7.31
2005 -1.83 -0.18 -4.26 -1.06 7.40 0.13 -5.47 -1.80 -3.32 -1.48 1.40 0.09 -10.43
2004 0.03 6.82 4.88 -9.11 1.31 -3.48 0.12 -2.37 4.73 0.89 6.15 -4.29 4.53
2003 2.62 6.21 -7.42 3.69 14.59 -3.99 -0.55 -0.03 2.75 3.49 -1.48 5.27 26.20
2002 -1.31 -3.63 4.00 -2.94 2.52 6.11 3.96 2.01 3.80 -7.87 -2.40 16.57 20.50
2001 -1.32 -2.65 5.25 -9.00 3.83 -5.68 0.20 -2.16 0.51 4.49 -5.98 -0.62 -13.31
2000 2.85 -4.57 -2.94 2.96 9.52 2.45 -7.82 9.73 0.47 -9.34 4.68 10.48 17.26
1999 0.87 6.84 0.61 -1.84 -5.99 5.08 4.61 1.04 0.01 -4.57 6.29 1.69 14.63
1998 5.91 -0.35 -0.41 -3.22 6.40 -3.17 -0.56 21.67 11.35 -6.10 1.33 -0.77 33.30
1997 3.81 8.56 -1.14 0.55 -0.13 0.76 4.88 -3.63 6.11 -3.88 1.61 5.57 24.65
1996 -4.38 -0.90 1.79 9.10 -7.33 6.87 0.17 -1.94 22.29 9.10 15.64 -8.48 44.53
VAMI of Program vs. Benchmark Since Inception
Monthly Returns Distribution
Correlations Annualized Returns
Worldwide
Past performance is not necessarily indicative of future results. No representation is being made that an account will achieve future profits and losses similar to those shown above. Futures trading involves substantial risk and is not suitable for everyone. Investing in the program should be considered only after a careful study of out most recent disclosure document, which is available on our website. This document is not in-tended to be an offer or a solicitation to invest.
191 North Wacker, Suite 1025
Chicago, IL 60606
Contact: John O’Brien Jr.
E-Mail: [email protected] Phone: (224) 592-1010
www.clarkecapital.com Data updated through: April, 2018
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Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18
Worldwide S&P500 Index Barclay CTA Index HFRI Index
Worldwide S&P 500 Barclays HFRI
Worldwide X -0.14 0.67 -0.03
S&P 500 -0.14 X -0.06 0.76
Barclays CTA Index 0.67 -0.06 X 0.10
HFRI -0.03 0.76 0.10 X
1 Year 3 Year 5 Year 10 Year
Worldwide -5.69% -16.19% -12.29% -1.50%
S&P 500 12.48% 8.74% 10.92% 6.71%
Barclays CTA Index 0.04% -1.73% 0.16% 0.99%
HFRI 5.97% 3.34% 4.19% 3.29%
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The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently over 500 programs included in the calculation of the Barclay
CTA Index. The Index is equally weighted and rebalanced at the beginning of each year. HFRI Indices are designed to capture the breadth of hedge fund industry performance trends across all strate-
gies and regions. All single-manager HFRI Index constituents are included in the HFRI Fund Weighted Composite Index. Neither the Barclay Index nor the HFRI Index is tradeable.