Claughton Capital : Institutional Program

Year-to-Date
5.18%
May Performance
5.08%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.55%
Sharpe (RFR=1%)
0.29
CAROR
4.54%
Assets
$ 11.0M
Worst DD
-25.54
S&P Correlation
-0.17

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
10/2005
Institutional Program 5.08 2.71 -5.18 8.45 -0.63 8.75 8.80 83.38
S&P 500 -6.58 -1.17 9.77 1.72 29.91 41.62 196.32 128.68
+/- S&P 500 11.66 3.88 -14.95 6.73 -30.54 -32.86 -187.52 -45.31

Strategy Description

Summary

The Claughton Capital Institutional Program's Auto-Reactive Positioning Strategy (ARP): ARP is a unique trading approach that uses a strategy of trading within the range which confirms trades each trading day, and employs money management strategies to selectively emphasize certain... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$7.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1800 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
Worst Peak-to-Trough
25.55%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
2.00%
1-3 Months
10.00%
1-30 Days
85.00%
Intraday
3.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
85.00%
Trend-following
15.00%
Strategy Pie Chart

Composition

Stock Indices
21.00%
Currency Futures
17.00%
Precious Metals
17.00%
Energy
17.00%
Grains
11.00%
Interest Rates
11.00%
Softs
6.00%
Composition Pie Chart

Summary

The Claughton Capital Institutional Program's Auto-Reactive Positioning Strategy (ARP): ARP is a unique trading approach that uses a strategy of trading within the range which confirms trades each trading day, and employs money management strategies to selectively emphasize certain classes of trades that are often profitable. The contraction and expansion of that range occurs on a dynamic basis by recognizing similar patterns that have proved to be successful in the past. This is what separates the ARP strategy from other traditional trading approaches and results in reduced drawdowns, enhanced performance and non-correlation.

Investment Strategy

Claughton Capital, LLC uses what it regards as an innovative systematic approach to trade various markets called the Auto-Reactive Positioning (ARP) strategy. The ARP strategy is designed to dynamically allocate capital between a predominantly employed probability based pattern recognition sub-strategy and an occasionally employed sub-strategy of following the trend. The trading approach utilizes market behavior to determine what sub-strategy is most appropriate to trade at any given time with market conditions dictating when a transition occurs on an intraday basis.The ARP strategy was developed in 1992 as the result of an extensive research program undertaken by Mr. Keith Ganzer. The research began with an examination of traditional trading approaches to determine their benefits and drawbacks. Mr. Ganzer concluded that a major drawback to traditional trading techniques is that a significant portion of major price movements (at the beginning and end of the movement) is lost in the recognition of the move. The distance between the buy signal and the sell signal is often substantial, resulting in a large cost to reverse the position.The ARP strategy trades actively in an attempt to mitigate the cost of reversing positions established during trending market conditions. ARP uses a strategy of trading within a consolidation range that is determined each trading day. The consolidation range dynamically shifts, expands and contracts depending upon market conditions. When a market is trading within the consolidation range, the ARP strategy trades that market using a pattern recognition methodology. When a market is trending, the ARP strategy will follow the trend in an attempt to capture profit from sustained price movements.The ARP strategy has historically resulted in daily non-correlation with managed futures industry indices, and daily negative correlation with those indices on down index days. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.The Trading Advisor employs risk management controls in establishing trading positions. Every position is established with an initial stop-loss exit. Initial position sizing is calculated by taking into account an initial dollar risk (based on a fraction of the nominal account size), the current short-term volatility of the contract, and the market distance to the initial stop. The Trading Advisor views an account as a portfolio of positions. Notwithstanding the systematic aspects of the trading, the Trading Advisor may reduce or eliminate exposure to any particular market or all such markets at its sole discretion. No assurance can be given that such risk management techniques will be successful.Claughton Capital's trading is conducted on a variety of market sectors. Individual markets within each sector are selected based upon liquidity considerations through which less liquid markets are “filtered out”. The Trading Advisor will generally apply its trading approach to both U.S. and non U.S futures markets. These markets will include (but are not limited to) capital-oriented markets such as long term interest rate futures (e.g., U.S. Treasury Bond futures, German Bund futures), precious metals, foreign exchange and stock index futures, such as the Standard and Poor's 500 stock index futures, certain industrial commodities (e.g., crude oil), and agricultural markets (e.g. soybeans). In addition, the Trading Advisor may trade in cash foreign exchange and currency forwards, foreign futures contracts, and cash commodities including precious metals.Options contracts may be used to enter or exit positions when the corresponding futures market is closed, typically due to the futures markets being locked limit up or limit down. The Trading Advisor may use "synthetic futures" to implement its strategies, whereby a call option is bought or sold and a put option is simultaneously sold or bought. The Trading Advisor will later either liquidate the synthetic futures position upon exiting a trade, or swap this position with the corresponding futures position. The Trading Advisor expects that between 12% and 21% of the assets in client accounts will be utilized to meet maintenance margin requirements. Higher margin requirements may apply for accounts at different brokers. These amounts may substantially increase as a result of future changes in the addition of new markets traded and potentially the allocation of more active trading programs.If an account at any time experiences a decline of 45% (or some other percentage as agreed to by the client in writing) from the highest prior month-end account balance (exclusive of additions or withdrawals), the Trading Advisor will attempt to close or offset all open positions and otherwise cease trading pending instructions from the client. The Trading Advisor’s business plan provides for on-going refinement of current strategies (both trading signals and execution strategies) and the research, testing and implementation of new strategies. The Trading Advisor retains the right to revise any strategy. Since the trading methods to be utilized by the Trading Advisor are proprietary and confidential, the above discussion is of a general nature and is not intended to be exhaustive.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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
-25.54 20 - 1/1/2015 9/1/2016
-21.94 24 12 5/1/2009 5/1/2011
-13.29 4 5 1/1/2008 5/1/2008
-9.73 5 2 10/1/2008 3/1/2009
-8.50 18 2 5/1/2012 11/1/2013
-7.87 1 1 11/1/2007 12/1/2007
-7.87 3 4 2/1/2014 5/1/2014
-5.59 4 1 6/1/2007 10/1/2007
-5.07 2 3 5/1/2006 7/1/2006
-2.06 1 1 1/1/0001 10/1/2005
-1.46 1 1 11/1/2014 12/1/2014
-1.08 1 1 2/1/2007 3/1/2007
-0.48 1 1 10/1/2006 11/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
22.71 6 6/1/2014 11/1/2014
22.61 7 11/1/2005 5/1/2006
20.70 5 1/1/2012 5/1/2012
19.01 1 1/1/2008 1/1/2008
17.83 6 5/1/2018 10/1/2018
16.86 3 12/1/2013 2/1/2014
15.17 1 1/1/2018 1/1/2018
12.11 1 11/1/2007 11/1/2007
12.00 3 4/1/2007 6/1/2007
11.40 4 6/1/2011 9/1/2011
11.29 2 4/1/2009 5/1/2009
11.26 3 2/1/2011 4/1/2011
11.19 2 1/1/2016 2/1/2016
10.94 1 8/1/2015 8/1/2015
10.47 3 10/1/2016 12/1/2016
9.24 3 5/1/2017 7/1/2017
9.17 1 10/1/2008 10/1/2008
8.90 2 10/1/2015 11/1/2015
8.28 1 8/1/2010 8/1/2010
8.07 3 4/1/2013 6/1/2013
7.98 3 6/1/2008 8/1/2008
7.43 3 12/1/2006 2/1/2007
6.40 2 4/1/2019 5/1/2019
5.82 2 2/1/2017 3/1/2017
4.66 1 8/1/2006 8/1/2006
4.38 1 9/1/2007 9/1/2007
4.00 1 5/1/2010 5/1/2010
3.34 1 10/1/2006 10/1/2006
3.31 1 12/1/2018 12/1/2018
3.05 1 10/1/2010 10/1/2010
2.70 2 12/1/2012 1/1/2013
2.44 1 2/1/2009 2/1/2009
2.43 1 1/1/2015 1/1/2015
1.95 1 4/1/2008 4/1/2008
1.91 1 1/1/2010 1/1/2010
1.78 1 7/1/2016 7/1/2016
1.19 1 4/1/2016 4/1/2016
1.08 1 12/1/2010 12/1/2010
0.56 1 7/1/2012 7/1/2012
0.49 1 7/1/2009 7/1/2009
0.44 1 9/1/2012 9/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.30 6 2/1/2015 7/1/2015
-16.03 2 8/1/2016 9/1/2016
-15.01 5 8/1/2017 12/1/2017
-14.00 1 5/1/2011 5/1/2011
-11.95 1 12/1/2015 12/1/2015
-11.17 5 8/1/2009 12/1/2009
-10.88 3 1/1/2019 3/1/2019
-10.48 2 2/1/2008 3/1/2008
-10.34 3 2/1/2018 4/1/2018
-8.75 3 11/1/2008 1/1/2009
-8.12 5 7/1/2013 11/1/2013
-7.87 1 12/1/2007 12/1/2007
-7.87 3 3/1/2014 5/1/2014
-7.84 3 2/1/2010 4/1/2010
-6.34 1 9/1/2015 9/1/2015
-5.72 1 11/1/2010 11/1/2010
-5.49 2 6/1/2010 7/1/2010
-5.41 1 1/1/2017 1/1/2017
-5.39 2 7/1/2007 8/1/2007
-5.07 2 6/1/2006 7/1/2006
-5.01 1 6/1/2012 6/1/2012
-4.99 1 5/1/2008 5/1/2008
-4.58 1 1/1/2011 1/1/2011
-4.40 1 10/1/2007 10/1/2007
-4.11 2 2/1/2013 3/1/2013
-3.43 1 3/1/2009 3/1/2009
-3.26 3 10/1/2011 12/1/2011
-2.78 1 11/1/2018 11/1/2018
-2.41 2 5/1/2016 6/1/2016
-2.06 1 10/1/2005 10/1/2005
-2.01 1 9/1/2008 9/1/2008
-1.98 2 10/1/2012 11/1/2012
-1.58 1 6/1/2009 6/1/2009
-1.46 1 12/1/2014 12/1/2014
-1.16 1 9/1/2006 9/1/2006
-1.08 1 3/1/2007 3/1/2007
-0.87 1 4/1/2017 4/1/2017
-0.86 1 9/1/2010 9/1/2010
-0.50 1 8/1/2012 8/1/2012
-0.48 1 11/1/2006 11/1/2006
-0.08 1 3/1/2016 3/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods164.00162.00159.00153.00147.00141.00129.00117.00105.00
Percent Profitable52.4455.5659.7562.0966.6764.5466.6774.3694.29
Average Period Return0.481.312.544.646.498.0510.1811.9316.37
Average Gain3.816.468.1511.4613.8017.4219.2517.8017.56
Average Loss-3.27-5.13-5.79-6.54-8.14-8.99-7.96-5.08-3.29
Best Period19.0122.9222.7133.8846.9457.2671.2961.5554.39
Worst Period-14.00-15.26-20.30-18.67-19.58-22.79-22.38-13.43-4.73
Standard Deviation4.787.138.6311.2013.7716.3418.6516.0712.69
Gain Standard Deviation3.584.545.448.1010.4811.9716.0614.4312.07
Loss Standard Deviation2.853.724.984.645.226.345.783.611.32
Sharpe Ratio (1%)0.080.150.240.330.360.370.380.490.89
Average Gain / Average Loss1.171.261.411.751.701.942.423.505.33
Profit / Loss Ratio1.321.572.092.873.393.524.8410.1587.97
Downside Deviation (10%)3.164.916.127.759.7912.3315.1616.7716.21
Downside Deviation (5%)2.994.355.075.446.327.557.165.042.26
Downside Deviation (0%)2.954.224.834.925.576.535.653.140.84
Sortino Ratio (10%)0.020.020.01-0.05-0.11-0.18-0.37-0.57-0.69
Sortino Ratio (5%)0.130.240.400.670.790.801.001.564.99
Sortino Ratio (0%)0.160.310.530.941.171.231.803.8019.53

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 3 10.94 8/2015
IASG CTA Index Month 4 10.94 8/2015
Systematic Trader Index Month 4 10.94 8/2015
Diversified Trader Index Month 9 5.04 10/2014
Diversified Trader Index Month 10 5.13 1/2014
Systematic Trader Index Month 9 6.73 12/2013
Diversified Trader Index Month 8 6.73 12/2013
Diversified Trader Index Month 8 19.01 1/2008
IASG CTA Index Month 8 19.01 1/2008
Systematic Trader Index Month 8 19.01 1/2008
Systematic Trader Index Month 5 12.11 11/2007
Diversified Trader Index Month 5 12.11 11/2007
IASG CTA Index Month 6 12.11 11/2007
Systematic Trader Index Month 8 4.13 2/2007

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.