Appleton Capital Management : Deleveraged Currency Program

archived programs
Year-to-Date
N / A
Jul Performance
1.00%
Min Investment
$ 3,000k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
19.62%
Sharpe (RFR=1%)
0.48
CAROR
9.26%
Assets
$ 16.6M
Worst DD
-15.71
S&P Correlation
0.04

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
6/1996
Deleveraged Currency Program 1.00 - - - - - - 220.86
S&P 500 7.41 - - - - - - 416.58
+/- S&P 500 -6.41 - - - - - - -195.72

Strategy Description

Summary

-Appleton 10% Risk Program - Proprietary mathematical forecasting and optimisation techniques are applied to a select basket of currencies. All trading is taken with a medium-term view. Markets are chosen according to their tendency to display memory. Risk is kept constant at all times,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 3,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Appleton 10% Risk Program - Proprietary mathematical forecasting and optimisation techniques are applied to a select basket of currencies. All trading is taken with a medium-term view. Markets are chosen according to their tendency to display memory. Risk is kept constant at all times, made possible by effective volatility forecasting techniques. The Program targets annualised volatility of 10%.

   

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
-15.71 24 - 6/1/2007 6/1/2009
-10.58 6 11 2/1/2004 8/1/2004
-10.53 6 7 11/1/2005 5/1/2006
-8.73 6 14 6/1/1998 12/1/1998
-6.67 1 2 4/1/1997 5/1/1997
-6.07 2 2 1/1/2007 3/1/2007
-6.05 2 1 6/1/2003 8/1/2003
-5.68 2 2 1/1/2002 3/1/2002
-5.40 4 5 2/1/2000 6/1/2000
-4.69 1 1 9/1/1997 10/1/1997
-4.14 2 2 6/1/2002 8/1/2002
-3.51 3 1 8/1/2001 11/1/2001
-2.99 1 2 10/1/2002 11/1/2002
-2.88 2 1 12/1/1997 2/1/1998
-2.79 1 1 7/1/2005 8/1/2005
-0.94 1 1 12/1/2003 1/1/2004
-0.89 1 1 5/1/2001 6/1/2001
-0.88 1 1 10/1/2003 11/1/2003
-0.76 1 1 3/1/2001 4/1/2001
-0.74 1 1 10/1/1996 11/1/1996
-0.70 1 1 1/1/2003 2/1/2003
-0.65 1 1 2/1/1997 3/1/1997
-0.16 1 1 7/1/1996 8/1/1996
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
63.72 2 9/1/2003 10/1/2003
18.99 2 9/1/2002 10/1/2002
16.76 9 7/1/2000 3/1/2001
13.26 4 3/1/1998 6/1/1998
10.67 3 4/1/2002 6/1/2002
10.30 3 9/1/2004 11/1/2004
10.16 3 4/1/2007 6/1/2007
9.91 3 9/1/2005 11/1/2005
9.61 4 3/1/2003 6/1/2003
9.38 3 12/1/1996 2/1/1997
9.34 4 6/1/1997 9/1/1997
8.77 3 11/1/2006 1/1/2007
7.47 4 1/1/1999 4/1/1999
6.68 2 12/1/2002 1/1/2003
6.63 2 11/1/1997 12/1/1997
5.68 2 8/1/2006 9/1/2006
5.59 4 11/1/1999 2/1/2000
5.11 2 9/1/1996 10/1/1996
4.90 2 12/1/2001 1/1/2002
4.87 1 3/1/2008 3/1/2008
4.43 2 6/1/2005 7/1/2005
4.23 3 2/1/2005 4/1/2005
3.38 1 12/1/2003 12/1/2003
2.96 1 12/1/2008 12/1/2008
2.80 2 7/1/2001 8/1/2001
2.74 2 10/1/1998 11/1/1998
2.45 1 4/1/1997 4/1/1997
2.23 2 8/1/1999 9/1/1999
1.81 1 6/1/1999 6/1/1999
1.78 1 4/1/2000 4/1/2000
1.68 2 6/1/1996 7/1/1996
1.49 2 9/1/2007 10/1/2007
1.14 1 2/1/2004 2/1/2004
1.09 1 7/1/2004 7/1/2004
1.06 1 5/1/2001 5/1/2001
0.83 1 6/1/2006 6/1/2006
0.82 1 5/1/2009 5/1/2009
0.78 1 6/1/2008 6/1/2008
0.66 1 2/1/2009 2/1/2009
0.35 1 1/1/2006 1/1/2006
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-8.77 4 2/1/2006 5/1/2006
-8.06 2 7/1/2007 8/1/2007
-7.92 4 3/1/2004 6/1/2004
-7.15 5 7/1/2008 11/1/2008
-7.09 3 7/1/1998 9/1/1998
-7.02 4 11/1/2007 2/1/2008
-6.67 1 5/1/1997 5/1/1997
-6.07 2 2/1/2007 3/1/2007
-6.05 2 7/1/2003 8/1/2003
-5.68 2 2/1/2002 3/1/2002
-4.69 1 10/1/1997 10/1/1997
-4.66 2 12/1/2004 1/1/2005
-4.39 1 12/1/1998 12/1/1998
-4.14 2 7/1/2002 8/1/2002
-3.94 1 8/1/2004 8/1/2004
-3.94 1 3/1/2000 3/1/2000
-3.51 3 9/1/2001 11/1/2001
-3.24 2 5/1/2000 6/1/2000
-2.99 1 11/1/2002 11/1/2002
-2.88 2 1/1/1998 2/1/1998
-2.79 1 8/1/2005 8/1/2005
-2.77 1 10/1/1999 10/1/1999
-2.55 1 5/1/1999 5/1/1999
-2.29 2 3/1/2009 4/1/2009
-2.27 1 12/1/2005 12/1/2005
-2.02 1 1/1/2009 1/1/2009
-1.68 1 5/1/2005 5/1/2005
-0.94 1 1/1/2004 1/1/2004
-0.89 1 6/1/2001 6/1/2001
-0.88 1 11/1/2003 11/1/2003
-0.83 1 6/1/2009 6/1/2009
-0.82 1 10/1/2006 10/1/2006
-0.76 1 4/1/2001 4/1/2001
-0.74 1 11/1/1996 11/1/1996
-0.70 1 2/1/2003 2/1/2003
-0.65 1 3/1/1997 3/1/1997
-0.46 1 7/1/2006 7/1/2006
-0.44 1 7/1/1999 7/1/1999
-0.21 2 4/1/2008 5/1/2008
-0.16 1 8/1/1996 8/1/1996
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods157.00155.00152.00146.00140.00134.00122.00110.0098.00
Percent Profitable57.3258.0667.1177.4085.0088.0692.6296.3696.94
Average Period Return0.862.585.2710.8417.4824.7942.0263.7990.44
Average Gain3.016.479.6415.2521.5329.0145.7066.2893.33
Average Loss-2.02-2.81-3.64-4.27-5.47-6.35-4.27-2.16-1.05
Best Period62.0062.2868.0898.87116.43116.19138.99150.69169.03
Worst Period-6.67-7.38-10.58-8.49-13.16-15.71-9.99-3.56-1.73
Standard Deviation5.689.1513.0619.0326.6032.1841.8349.6351.56
Gain Standard Deviation6.6310.2513.8819.5026.8431.9941.2848.8449.67
Loss Standard Deviation1.552.092.802.563.894.512.981.000.80
Sharpe Ratio (1%)0.140.250.370.520.600.710.931.201.66
Average Gain / Average Loss1.492.302.653.573.944.5710.7030.6588.69
Profit / Loss Ratio2.003.195.4012.2222.3133.67134.38812.322808.56
Downside Deviation (10%)1.882.953.884.795.686.506.787.788.42
Downside Deviation (5%)1.702.402.862.783.083.262.141.351.35
Downside Deviation (0%)1.662.262.622.362.582.661.390.440.22
Sortino Ratio (10%)0.240.460.721.221.742.243.875.437.46
Sortino Ratio (5%)0.460.971.673.535.196.9818.2544.4163.08
Sortino Ratio (0%)0.521.142.014.596.789.3130.26143.56417.52

Top Performer Badges

Index Award Type Rank Performance Period

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