Appleton Capital Management : Global Opportunity Program

archived programs
Year-to-Date
N / A
Dec Performance
-1.86%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.39%
Sharpe (RFR=1%)
0.25
CAROR
3.38%
Assets
$ 10.9M
Worst DD
-16.35
S&P Correlation
0.00

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
5/2003
Global Opportunity Program -1.86 - - - - - -5.65 29.07
S&P 500 6.53 - - - - - -4.74 259.50
+/- S&P 500 -8.39 - - - - - -0.91 -230.44

Strategy Description

Summary

-Appleton Global Opportunity Program - Proprietary mathematical forecasting and optimisation techniques are applied to a select basket of futures contracts. All trading is taken with a medium-term view. Markets are chosen according to their tendency to display inefficiencies over protracted... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 3,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 700 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Summary

-Appleton Global Opportunity Program - Proprietary mathematical forecasting and optimisation techniques are applied to a select basket of futures contracts. All trading is taken with a medium-term view. Markets are chosen according to their tendency to display inefficiencies over protracted periods of time. This manifests itself as persistent direction which responds to a price based forecast.

Investment Strategy

The program is based on qualitative trading decisions and is a substantially different trading approach to that of the Appleton currency programs. It is a systematic approach to the major financial and commodity futures markets without being limited to currency contracts and is also a substantially different trading approach to that of the Appleton currency programs. The Appleton Global Opportunity Program is traded using a 100% systematic approach to the major futures markets. The particular contracts that are traded are the result of a series of filters that analyze the tendency of a data series to display memory or trend. Additionally, contracts are scanned for their liquidity and political stability characteristics. In fundamental investment terms, the Program can be broadly compared to the basic tenets of Modern Portfolio Theory. Given a fixed number of investment opportunities, in this case futures contracts, the investment manager must endeavour to attain an optimal level of return for a fixed level of risk. This mean variance optimisation process is derived from three key components – expected return, expected risk and correlation between subholdings. The CTA also accepts notional funding.

   

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
-16.35 14 - 12/1/2008 2/1/2010
-12.78 3 8 6/1/2007 9/1/2007
-11.56 2 3 1/1/2007 3/1/2007
-11.21 7 5 12/1/2005 7/1/2006
-9.76 13 5 5/1/2003 6/1/2004
-9.43 5 3 11/1/2004 4/1/2005
-7.79 2 2 6/1/2008 8/1/2008
-1.49 1 1 7/1/2005 8/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
14.06 2 5/1/2008 6/1/2008
13.84 5 7/1/2004 11/1/2004
13.80 3 11/1/2006 1/1/2007
13.80 3 4/1/2007 6/1/2007
12.64 4 9/1/2005 12/1/2005
10.95 4 5/1/2010 8/1/2010
10.42 3 5/1/2005 7/1/2005
9.08 4 9/1/2008 12/1/2008
8.62 3 10/1/2007 12/1/2007
7.65 2 8/1/2006 9/1/2006
6.48 2 2/1/2008 3/1/2008
6.05 1 11/1/2009 11/1/2009
5.87 3 10/1/2003 12/1/2003
4.42 1 5/1/2003 5/1/2003
3.49 1 2/1/2004 2/1/2004
3.32 1 3/1/2005 3/1/2005
2.97 1 2/1/2009 2/1/2009
2.68 1 3/1/2010 3/1/2010
1.52 1 5/1/2004 5/1/2004
1.27 1 5/1/2009 5/1/2009
1.08 1 3/1/2006 3/1/2006
1.07 1 10/1/2010 10/1/2010
0.99 2 8/1/2009 9/1/2009
0.57 1 6/1/2006 6/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.78 3 7/1/2007 9/1/2007
-11.56 2 2/1/2007 3/1/2007
-9.52 3 12/1/2009 2/1/2010
-8.52 2 4/1/2006 5/1/2006
-7.79 2 7/1/2008 8/1/2008
-7.74 4 6/1/2003 9/1/2003
-7.59 2 3/1/2004 4/1/2004
-6.74 2 3/1/2009 4/1/2009
-6.73 3 12/1/2004 2/1/2005
-6.01 1 4/1/2005 4/1/2005
-5.94 1 10/1/2009 10/1/2009
-5.79 2 11/1/2010 12/1/2010
-3.60 1 1/1/2009 1/1/2009
-3.51 2 1/1/2006 2/1/2006
-3.08 1 1/1/2008 1/1/2008
-2.54 1 1/1/2004 1/1/2004
-2.36 1 6/1/2004 6/1/2004
-2.10 2 6/1/2009 7/1/2009
-1.49 1 8/1/2005 8/1/2005
-1.05 1 7/1/2006 7/1/2006
-0.96 1 4/1/2010 4/1/2010
-0.92 1 9/1/2010 9/1/2010
-0.49 1 10/1/2006 10/1/2006
-0.34 1 4/1/2008 4/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods92.0090.0087.0081.0075.0069.0057.0045.0033.00
Percent Profitable55.4355.5657.4766.6778.6782.6194.74100.00100.00
Average Period Return0.341.042.284.197.1810.5217.4524.2931.08
Average Gain2.995.587.709.1311.0113.8418.5724.2931.08
Average Loss-2.96-4.63-5.04-5.70-6.91-5.22-2.68
Best Period8.0613.8021.9021.8826.3234.9237.6152.9349.63
Worst Period-8.79-12.78-11.03-15.73-14.90-12.05-5.152.878.43
Standard Deviation3.586.127.709.0310.0010.409.7311.9410.75
Gain Standard Deviation1.953.855.216.217.218.008.7011.9410.75
Loss Standard Deviation2.052.733.004.454.813.962.29
Sharpe Ratio (1%)0.070.130.230.350.570.821.481.692.42
Average Gain / Average Loss1.011.211.531.601.592.656.94
Profit / Loss Ratio1.261.512.063.205.8712.60124.91
Downside Deviation (10%)2.624.305.296.807.467.256.306.365.65
Downside Deviation (5%)2.443.724.104.624.453.411.410.18
Downside Deviation (0%)2.393.573.814.153.852.690.75
Sortino Ratio (10%)-0.03-0.04-0.04-0.12-0.050.040.270.430.61
Sortino Ratio (5%)0.110.210.430.691.282.5010.25114.28
Sortino Ratio (0%)0.140.290.601.011.873.9223.31

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.