Clarke Capital Management – Global Basic Program
Global Basic Program
Methodology: Systematic
Strategy: Trend / Momentum
Sub-Strategy: Medium Term
Market Focus: Diversified
Strategy Description
The Clarke Global Basic Program employs a systematic medium-term trend-following strategy. The program is a derivative of Clarke’s flagship Worldwide Program, but has been tailored to accommodate a lower account minimum. The strategy employs multiple models, incorporating both trend and counter-trend components. The program is designed to be concentrated in nature, and utilizes a number of filters which will typically result in a portfolio of 5 or fewer positions. A diverse group of markets may be traded by the program, including interest rates, currencies, metals, energy, and grains.
Risk Management
Risk is managed via volatility filters and stop loss limits. Volatility filters attempt to avoid trades with unattractive volatility profiles prior to entry, while stop loss limits are in place to exit poor performing trades post entry. Additionally, historic backtests and simulations have been employed to calibrate the system to a maximum drawdown target of 35%, although it’s important to note the strategy has exceeded this target since inception.
General Information
Management Fee: 1.00% Typical Trade Duration: 8 Days
Performance Fee: 20.00% Round Turns per Million: 1,000
Manager Assets: $16,000,000 Typical Margin‐to‐Equity: 0-15%
Strategy Assets: $1,100,000 Managed Account Minimum: $50,000
Performance Statistics
Date Range: 02/96 – 10/18 Maximum Drawdown: -73.11%
Annualized ROR: 11.97% Sharpe Ratio (0% RFR): 0.34
Standard Deviation: 35.62% Correlation to S&P 500: -0.03
Disclosures
This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.
Coquest Strategy Summary · Clarke Capital Management
Coquest Advisors · 12222 Merit Dr. Suite 1130 · Dallas, TX 75251 · coquestadvisors.com · October 2019
This material is provided as is for informational purposes only and may contain opinions which are solely those of its author. This material is not a solicitation, nor an offer to sell or a recommendation to buy a security. Past performance is not necessarily indicative of future results.
