Appleton Capital Management : Global Currency Program

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
21.59%
Sharpe (RFR=1%)
0.43
CAROR
8.24%
Assets
$ 0k
Worst DD
-40.85
S&P Correlation
0.09

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/1995
Global Currency Program 0.00 - - - - - - 228.05
S&P 500 1.78 - - - - - - 587.97
+/- S&P 500 -1.78 - - - - - - -359.91

Strategy Description

Summary

-Appleton 25% 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 $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

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 25% 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 25%.

   

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
-40.85 22 - 6/1/2007 4/1/2009
-31.36 15 15 5/1/2003 8/1/2004
-25.57 6 7 11/1/2005 5/1/2006
-18.00 6 24 6/1/1998 12/1/1998
-15.09 2 2 1/1/2007 3/1/2007
-14.71 1 6 4/1/1997 5/1/1997
-13.30 2 2 1/1/2002 3/1/2002
-13.16 5 2 6/1/2002 11/1/2002
-9.11 3 1 8/1/2001 11/1/2001
-8.99 2 1 4/1/1995 6/1/1995
-6.85 2 1 12/1/1997 2/1/1998
-5.60 1 7 1/1/1996 2/1/1996
-3.86 3 2 3/1/2001 6/1/2001
-2.50 2 1 10/1/1995 12/1/1995
-2.44 1 1 1/1/2003 2/1/2003
-2.29 1 1 10/1/1996 11/1/1996
-0.06 1 1 1/1/1997 2/1/1997
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Consecutive Gains

Run-up Length (Mos.) Start End
49.19 4 7/1/1995 10/1/1995
38.47 9 7/1/2000 3/1/2001
32.09 4 3/1/1998 6/1/1998
28.44 3 4/1/2002 6/1/2002
26.48 3 9/1/2004 11/1/2004
26.28 3 4/1/2007 6/1/2007
24.60 3 9/1/2005 11/1/2005
22.57 3 11/1/2006 1/1/2007
21.53 4 1/1/1995 4/1/1995
21.35 3 3/1/2003 5/1/2003
18.19 3 2/1/1999 4/1/1999
16.42 2 6/1/1997 7/1/1997
16.15 2 12/1/2002 1/1/2003
15.31 2 12/1/1996 1/1/1997
14.76 2 8/1/2006 9/1/2006
12.57 2 11/1/1997 12/1/1997
12.26 1 3/1/2008 3/1/2008
12.00 2 12/1/2001 1/1/2002
11.89 2 9/1/1996 10/1/1996
11.15 4 11/1/1999 2/1/2000
10.84 2 6/1/2005 7/1/2005
9.62 2 3/1/2005 4/1/2005
7.34 1 12/1/2003 12/1/2003
7.18 1 12/1/2008 12/1/2008
6.99 1 5/1/2009 5/1/2009
6.74 2 10/1/1998 11/1/1998
6.16 1 1/1/1996 1/1/1996
5.93 2 9/1/2002 10/1/2002
5.60 2 4/1/2000 5/1/2000
5.59 2 7/1/2001 8/1/2001
5.05 2 3/1/1997 4/1/1997
4.82 5 3/1/1996 7/1/1996
4.07 2 8/1/1999 9/1/1999
3.90 1 6/1/1999 6/1/1999
3.84 2 9/1/2003 10/1/2003
3.55 2 9/1/2007 10/1/2007
2.83 1 7/1/2004 7/1/2004
2.41 1 2/1/2004 2/1/2004
2.20 1 6/1/2006 6/1/2006
1.98 1 5/1/2001 5/1/2001
1.57 1 9/1/1997 9/1/1997
1.52 1 6/1/2008 6/1/2008
1.13 1 2/1/2009 2/1/2009
0.22 1 1/1/2006 1/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.88 4 2/1/2006 5/1/2006
-20.60 5 7/1/2008 11/1/2008
-19.06 2 7/1/2007 8/1/2007
-18.78 4 3/1/2004 6/1/2004
-18.21 4 11/1/2007 2/1/2008
-16.35 3 6/1/2003 8/1/2003
-15.09 2 2/1/2007 3/1/2007
-14.71 1 5/1/1997 5/1/1997
-14.29 3 7/1/1998 9/1/1998
-13.30 2 2/1/2002 3/1/2002
-13.24 3 12/1/2004 2/1/2005
-10.88 2 7/1/2002 8/1/2002
-10.38 2 12/1/1998 1/1/1999
-9.86 1 8/1/2004 8/1/2004
-9.11 3 9/1/2001 11/1/2001
-8.99 2 5/1/1995 6/1/1995
-8.61 1 3/1/2000 3/1/2000
-8.01 1 11/1/2002 11/1/2002
-7.81 1 10/1/1997 10/1/1997
-7.77 1 6/1/2000 6/1/2000
-7.55 1 8/1/2005 8/1/2005
-7.31 1 10/1/1999 10/1/1999
-6.85 2 1/1/1998 2/1/1998
-6.80 1 5/1/1999 5/1/1999
-6.33 2 3/1/2009 4/1/2009
-5.60 1 2/1/1996 2/1/1996
-4.93 1 12/1/2005 12/1/2005
-4.60 1 1/1/2009 1/1/2009
-3.88 1 5/1/2005 5/1/2005
-3.02 1 6/1/2001 6/1/2001
-2.79 1 4/1/2001 4/1/2001
-2.50 2 11/1/1995 12/1/1995
-2.47 7 6/1/2009 12/1/2009
-2.44 1 2/1/2003 2/1/2003
-2.42 1 10/1/2006 10/1/2006
-2.35 1 11/1/2003 11/1/2003
-2.29 1 11/1/1996 11/1/1996
-2.23 1 1/1/2004 1/1/2004
-1.71 1 7/1/1999 7/1/1999
-1.56 2 4/1/2008 5/1/2008
-1.41 1 7/1/2006 7/1/2006
-1.17 1 8/1/1997 8/1/1997
-0.31 1 8/1/1996 8/1/1996
-0.06 1 2/1/1997 2/1/1997
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods180.00178.00175.00169.00163.00157.00145.00133.00121.00
Percent Profitable55.0055.0658.8667.4672.3977.0782.7683.4680.99
Average Period Return0.852.544.828.6512.6317.5527.7036.3147.98
Average Gain5.189.9513.6818.2222.6427.7036.9446.4062.26
Average Loss-4.86-6.88-7.95-11.19-13.61-16.59-16.69-14.61-12.87
Best Period19.8743.3045.8469.8276.54111.17156.59140.80171.62
Worst Period-14.71-17.90-25.57-25.09-35.61-38.28-32.60-31.88-22.55
Standard Deviation6.2310.7214.2518.3521.9127.3634.5136.7343.90
Gain Standard Deviation4.218.0311.0913.7316.3322.1030.4231.3735.94
Loss Standard Deviation3.585.096.637.689.2210.418.828.436.25
Sharpe Ratio (1%)0.120.210.300.420.510.570.710.880.98
Average Gain / Average Loss1.071.451.721.631.661.672.213.184.84
Profit / Loss Ratio1.431.872.493.384.365.6110.6216.0220.61
Downside Deviation (10%)4.086.257.8610.2512.2313.9914.6415.9418.55
Downside Deviation (5%)3.905.716.828.209.2710.178.958.308.29
Downside Deviation (0%)3.865.586.587.728.619.347.806.826.21
Sortino Ratio (10%)0.110.210.300.360.410.520.820.931.10
Sortino Ratio (5%)0.200.400.630.931.201.532.763.885.17
Sortino Ratio (0%)0.220.460.731.121.471.883.555.327.72

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.