Appleton Capital Management : Global Opportunity Program

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

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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

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.

Compare to:

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Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

Reward
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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:
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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	92.00	90.00	87.00	81.00	75.00	69.00	57.00	45.00	33.00
Percent Profitable	55.43	55.56	57.47	66.67	78.67	82.61	94.74	100.00	100.00
Average Period Return	0.34	1.04	2.28	4.19	7.18	10.52	17.45	24.29	31.08
Average Gain	2.99	5.58	7.70	9.13	11.01	13.84	18.57	24.29	31.08
Average Loss	-2.96	-4.63	-5.04	-5.70	-6.91	-5.22	-2.68
Best Period	8.06	13.80	21.90	21.88	26.32	34.92	37.61	52.93	49.63
Worst Period	-8.79	-12.78	-11.03	-15.73	-14.90	-12.05	-5.15	2.87	8.43
Standard Deviation	3.58	6.12	7.70	9.03	10.00	10.40	9.73	11.94	10.75
Gain Standard Deviation	1.95	3.85	5.21	6.21	7.21	8.00	8.70	11.94	10.75
Loss Standard Deviation	2.05	2.73	3.00	4.45	4.81	3.96	2.29
Sharpe Ratio (1%)	0.07	0.13	0.23	0.35	0.57	0.82	1.48	1.69	2.42
Average Gain / Average Loss	1.01	1.21	1.53	1.60	1.59	2.65	6.94
Profit / Loss Ratio	1.26	1.51	2.06	3.20	5.87	12.60	124.91
Downside Deviation (10%)	2.62	4.30	5.29	6.80	7.46	7.25	6.30	6.36	5.65
Downside Deviation (5%)	2.44	3.72	4.10	4.62	4.45	3.41	1.41	0.18
Downside Deviation (0%)	2.39	3.57	3.81	4.15	3.85	2.69	0.75
Sortino Ratio (10%)	-0.03	-0.04	-0.04	-0.12	-0.05	0.04	0.27	0.43	0.61
Sortino Ratio (5%)	0.11	0.21	0.43	0.69	1.28	2.50	10.25	114.28
Sortino Ratio (0%)	0.14	0.29	0.60	1.01	1.87	3.92	23.31

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.

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Appleton Capital Management : Global Opportunity Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

Appleton Capital Management : Global Opportunity Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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