Program Details
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: | $18,700,000 |
| QEP: | No |
| Incentive Fee: | 20% |
| Annual Mgt Fee: | 2% |
| Min Investment: | $1,000,000 |
| Disclosure Doc: | View |
| Performance |
Program |
S&P 500 |
| Total ROR: | 92.94% | 68.60% |
| Annual ROR: | 12.30% | 9.66% |
| YTD: | -0.82% | 17.40% |
| 1 Year: | 0.74% | 13.97% |
| Alpha: | 1.29 | |
| Beta: | -0.26 | |
| Statistics |
Program |
S&P 500 |
| Average Monthly Gain: | 3.47% | 3.92% |
| Average Monthly Loss: | -2.40% | -5.00% |
| Winning Months: | 40 | 45 |
| Losing Months: | 28 | 23 |
| Current DD: | 3.97 | 5.42 |
| Max DD: | 10.88 | 24.77 |
| Sharpe Ratio (RF 1%): | 0.78 | |
| Annualized Std Dev: | 14.40 | |
Methodology
| Discretionary: | 0% |
| Systematic: | 100% |
Strategy
| Strategy | Single Strategy |
| Directional | Long / Short |
| Holding Period | Short Term |
| --------------------- | ------ |
| Pattern Recognition: | 100% |
Monthly Returns as Percentage by Year
| Jan | Feb | Mar | Apr | May | Jun | Jul |
Aug | Sep | Oct | Nov | Dec | YTD |
|---|
| 2023 | -3.75 | 4.80 | -1.16 | 0.07 | 3.52 | -1.25 | -1.15 | -1.62 | | | | | -0.82 |
| 2022 | 5.88 | -3.68 | 3.87 | 3.87 | -2.24 | 1.29 | 3.22 | -0.12 | 3.86 | -2.51 | 0.18 | 0.13 | 14.09 |
| 2021 | -0.41 | 5.48 | 2.41 | 0.77 | -3.15 | 0.01 | -2.67 | -0.06 | 0.37 | 1.18 | 1.00 | -2.10 | 2.56 |
| 2020 | 3.79 | 9.79 | 16.84 | -0.33 | -0.75 | -3.90 | 3.23 | 3.14 | 0.01 | 0.56 | -1.96 | 2.32 | 35.95 |
| 2019 | -3.38 | -4.45 | -3.47 | 1.26 | 5.08 | 4.74 | -3.36 | 3.70 | -1.64 | -4.53 | 6.16 | 0.85 | 0.07 |
| 2018 | 15.17 | -0.81 | -4.68 | -5.17 | 3.47 | 2.72 | 2.10 | 0.06 | 0.84 | 7.61 | -2.78 | 3.31 | 22.20 |
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
