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Claughton Capital, LLC 

Claughton Capital ARP Institutional Program

Manager: Eric Schreiber

Address: 14 NE 1st Ave, Ste 907, Miami, FL, 33132, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Oct 3, 2005
AUM:$15,500,000
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$1,000,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:76.66%81.24%
Annual ROR:10.73%11.24%
YTD:12.46%-13.34%
1 Year:12.86%-6.03%
Alpha:1.22
Beta:-0.27
Statistics Program S&P 500
Average Monthly Gain:3.61%3.37%
Average Monthly Loss:-2.77%-4.57%
Winning Months:3947
Losing Months:2820
Current DD:0.0013.34
Max DD:15.0120.58
Sharpe Ratio (RF 1%):0.64
Annualized Std Dev:15.28

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodShort Term
---------------------------
Pattern Recognition:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20225.88-3.683.873.87-2.241.293.2212.46
2021-0.415.482.410.77-3.150.01-2.67-0.060.371.181.00-2.102.56
20203.799.7916.84-0.33-0.75-3.903.233.140.010.56-1.962.3235.95
2019-3.38-4.45-3.471.265.084.74-3.363.70-1.64-4.536.160.850.07
201815.17-0.81-4.68-5.173.472.722.100.060.847.61-2.783.3122.20
2017-5.410.265.55-0.875.592.251.18-8.58-2.63-0.94-0.93-2.71-7.87

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Claughton Capital implements a systematic probability-based pattern recognition algorithm overlayed with dynamic risk management logistics and controls to identify momentum breakout opportunities at an early stage. We only trade a diversified portfolio of the most liquid exchange traded futures contracts worldwide and in all market sectors relying heavily on continued research and historical market data.

Company Info

Claughton Capital implements a systematic probability-based pattern recognition algorithm overlayed with dynamic risk management logistics and controls to identify momentum breakout opportunities at an early stage. We only trade a diversified portfolio of the most liquid exchange traded futures contracts worldwide and in all market sectors relying heavily on continued research and historical market data.

Manager Info

Futures and Commodities Industry since 1993.
Partner Chicago International Arbitrage, Floor Market Maker, LIFFE, London UK. University of Chicago MBA. Emory University B.S. Math/Computer Science. Co-Author, Diversification is Not Enough, Published in 2012 by High Finance Publishing