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Description: Trading Programs
The goal of the trading programs offered by Claughton Capital
is to deliver enhanced performance and non-correlated returns
relative to other managed futures strategies and traditional
investments. Claughton Capital believes that its trading
approach can provide a prudent diversifying component to
a portfolio of alternative and traditional asset classes
and investment styles. PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
The Institutional Program is a systematic investment
program and is currently open to new client accounts. The
minimum account size in the Institutional Program is $1,000,000.
From August 1993 through July 2000, Keith Ganzer traded
the Multi-Sector Program at Brookville Analytic Investment
Corporation, also known as Brookville Investments, a firm
100% owned by Mr. Ganzer. While the ARP strategy (as described
in the Trading Approach section) was traded at Brookville
and is currently being traded at Claughton Capital, the
main difference is that the ARP strategy was traded with
a 66.67% weighting at Brookville and is traded with a 100%
weighting at Claughton Capital. Other differences between
the Brookville and Claughton Capital trading include, but
are not limited to (i) the markets that were traded, (ii)
what dates and times these markets were traded, (iii) the
substantial differences between the pit traded markets that
had been predominantly traded at Brookville versus the electronically
traded markets that have been predominantly traded at Claughton
Capital, and (iv) the methodology employed when trading
immediately before and after the release of economic figures.
The Multi-Sector Program is closed to new client accounts.
The Trading Advisor strongly encourages prospective
clients to view their accounts as long-term investments
with the objective of seeking capital appreciation. Although
accounts may be closed at any time, the Trading Advisor
recommends potential clients to invest in a managed futures
trading account only if they have at least a two year investment
horizon. Prospective investors are encouraged to consult
with independent qualified sources of investment and tax
professionals to assess suitability of investing in an account
managed by the Trading Advisor.
Description: Trading Approach
Claughton Capital 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 Auto-Reactive Positioning strategy was developed
in 1992 as the result of an extensive research program undertaken
by Keith Ganzer. The research began with an examination
of traditional trading approaches to determine their benefits
and drawbacks. Keith 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 Auto-Reactive Positioning 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
trades actively resulting in a higher brokerage commission
cost than many other managed futures programs. The ARP strategy
has historically traded an average annual number of contracts
per given account size of between 50% and 100% more than
the average of other managed futures programs. The Trading
Advisor does not receive any portion of such commissions.
The Auto-Reactive Positioning strategy has historically
resulted in daily non-correlation with managed futures industry
indices. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.
Claughton Capital 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. Claughton Capital 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, Claughton Capital may trade in 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. Claughton Capital 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.
Claughton Capital may purchase U.S. government securities
with a maturity not to exceed one year for the purpose of
earning interest on account balances. If the asset level
were to decline through trading losses or otherwise, it
may be necessary to sell such securities and this may result
in a loss.
Claughton Capital 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), Claughton Capital
will attempt to close or offset all open positions and otherwise
cease trading pending instructions from the client.
Claughton Capital’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. Claughton Capital 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.
Information: Eric Schreiber, President
Eric Schreiber was first registered with the National Futures
Association as a Principal with Claughton Capital, LLC on
July 28, 2003. Eric Schreiber became registered as an Associated
Person with Claughton Capital, LLC on August 11, 2003 and
as an Associate Member on September 15, 2003. During the
past five years, Eric Schreiber has been a Trading Principal
and the President of Claughton Capital, LLC. Eric Schreiber
received the Arthur D. Little Scholarship to attend the
University of Chicago where he received an M.B.A. degree
and received the Halsey S. Garlund Scholarship to attend
Emory University where he received a B.S. degree in Mathematics
and Computer Science.
above are from the manager's disclosure document.