Applied Capital Systems, LLC : ACS Systematic Diversified Portfolio 2X

archived programs
Year-to-Date
N / A
Mar Performance
-7.39%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
26.20%
Sharpe (RFR=1%)
-0.43
CAROR
-
Assets
$ 3.1M
Worst DD
-26.82
S&P Correlation
-0.24

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
4/2010
ACS Systematic Diversified Portfolio 2X -7.39 - - - - - -17.45 -12.41
S&P 500 -0.10 - - - - - 14.27 172.71
+/- S&P 500 -7.29 - - - - - -31.72 -185.12

Strategy Description

Summary

Applied Capital Systems, LLC (“ACS” or “Advisor”) is a limited liability company organized on October 9, 2009 under the laws of the State of Nevada. ACS has been registered with the Commodity Futures Trading Commission (“CFTC”) as a Commodity Trading Advisor (“CTA”) since November... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 18%
Targeted Worst DD
Worst Peak-to-Trough 7.03%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 15.00%
1-30 Days 85.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
25.00%
Pattern Recognition
25.00%
Technical
35.00%
Trend-following
15.00%
Strategy Pie Chart

Composition

Currency Futures
15.00%
Industrial Metals
15.00%
Energy
15.00%
Grains
15.00%
Softs
15.00%
Stock Indices
15.00%
Other
10.00%
Composition Pie Chart

Summary

Applied Capital Systems, LLC (“ACS” or “Advisor”) is a limited liability company organized on October 9, 2009 under the laws of the State of Nevada. ACS has been registered with the Commodity Futures Trading Commission (“CFTC”) as a Commodity Trading Advisor (“CTA”) since November 23, 2009, and has been a member of the National Futures Association (“NFA”) since that date. The Principals of ACS are Gregory Callegari, Christopher Stephan and Antony Drew. Mr. Callegari and Mr. Drew are the Advisor’s Trading Principals. The Advisor is offering Clients an opportunity to participate in managed futures programs which seek capital appreciation of Clients’ assets through speculative trading in commodity futures. There is no representation being made that these programs will be successful in achieving this goal.

Investment Strategy

APPLIED CAPITAL SYSTEMS employs proprietary quantitative disciplines, which analyze technical market information in order to generate trading signals. These approaches involve the mathematical measurement of security price weakness and strength as well as the utilization of various patterns. All models utilize volatility filters in order to ascertain the current market environment in terms of trend and counter-trend features to further enhance profitability. Multiple models and iterations are utilized and based upon proven parameters developed by the principals which serve to diversify and lower risk in the overall model portfolio in terms of approach and time-frame: counter-trend, anticipated trend and trend ranging from short-term to long-term (3 days to 4 months, typically, with an average overall trade duration of approximately 14 days). Up to 27 liquid G-7 foreign and domestic markets are currently traded in order to provide further portfolio diversification across currencies, energy, equities, fixed-income, agriculture and metals. Research is continuous and various markets and models will be added provided they pass robust out-of-sample testing and stress analysis by the principals. ACS believes it can provide a diversified, systematic macro approach with superior risk-adjusted returns, which have low correlations to markets, in general, as well as to other CTA’s and should be able to generate a profit in most market environments. Models tend to be uncorrelated with each other over the long-term enhancing the overall portfolio risk profile; various risk management techniques are also applied in order to limit drawdowns (dynamic updating of portfolio parameters and weights, restricted mean-variance optimization, scaling leverage, sector weight caps and stops).

Risk Management

PRINCIPAL RISK FACTORS Prospective clients should consider all of the risk factors described below and elsewhere in this Disclosure Document before participating in the programs. Futures Trading Is Speculative and Volatile. Futures prices are highly volatile. Price movements for such interests are influenced by, among other things: changing supply and demand relationships; weather, agricultural, trade, fiscal, monetary, and exchange control programs and policies of governments; United States and foreign political and economic events and policies; changes in national and international interest rates and rates of inflation; currency devaluations and revaluations; and emotions of the marketplace. None of these factors can be controlled by the Advisor and no assurance can be given that the Advisor's trading actions will result in profitable trades for a Client or that a Client will not incur substantial losses. Futures Trading Is Highly Leveraged. A futures position can be established with margin typically between 2% and 20% of the total value of the commodity interest contract purchased or sold. This can permit an extremely high degree of leverage. Accordingly, a relatively small price movement in a contract may result in immediate and substantial losses to the investor. Thus, like other leveraged investments, any trade may result in losses in excess of the amount invested. When the market value of a particular open position changes to a point where the margin on deposit in a participating customer's account does not satisfy the applicable maintenance margin requirement imposed by the customer's FCM, the customer, and not the Advisor, will receive a margin call from the FCM. If the customer does not satisfy the margin call within a reasonable time, the FCM will close out the customer's position. Futures Markets May Be Illiquid. The markets may become illiquid due, for example, to daily price fluctuation limits, making it impossible for a trader to close out a position against which the market is moving. Conversely, speculative position limits or other market constraints may prevent an Advisor from acquiring positions otherwise indicated by its strategy, eliminating profit opportunities or making it impossible to protect against further losses. This combination implies a high degree of risk. Futures trading is a zero-sum, risk transfer activity in which, by definition, for every gain there is an offsetting loss rather than a mutual participation over time in economic growth. An account’s success depends entirely on the Advisor’s ability to predict or follow future price movements or otherwise implement its trading strategies. There can be no assurances of the Advisor’s success in doing so. Foreign Exchanges. Trading on exchanges outside the United States is not regulated by any United States governmental agency and may involve certain risks not applicable to trading on United States exchanges. For example, some foreign exchanges, in contrast to United States exchanges, are "principal's markets" in which performance is the responsibility only of the individual member with whom the trader has entered into a futures contract and not of an exchange or clearing corporation. Moreover, such trading may be subject to whatever regulatory provisions are applicable to transactions effected outside the United States, whether on foreign exchanges or otherwise. Trading on foreign exchanges involves the additional risks of expropriation, burdensome or confiscatory taxation, moratoriums, and investment controls or political or diplomatic events which might adversely affect the Advisor's trading activities. Trading on foreign exchanges is also subject to the risk of changes in the exchange rate between United States Dollars and the currencies in which contracts on such exchanges are settled. Trading of Commodity Options Involves Certain Risks. Options on certain futures contracts and options on certain physical commodities have been approved by the CFTC for trading on United States exchanges. Each such option is a right, purchased for a certain price to either buy or sell the underlying futures contract or physical commodity during a certain period of time for a fixed price. The Advisor may engage in the trading of options for the account of a Client. Although successful options trading requires many of the same skills, as does successful futures contract trading, the risks involved are somewhat different. For example, if the Advisor, on behalf of a participating customer buys an option (either to sell or buy a futures contract or commodity), the customer will be required to pay a "premium" representing the market value of the option. Unless the price of the futures contract or commodity underlying the option changes and it becomes profitable to exercise or offset the option before it expires, the Client may lose the entire amount of the premium. Conversely, if the Advisor, on behalf of a Client, sells an option (either to sell or buy a futures contract or commodity), the Client will be credited with the premium but will have to deposit margin with the customer's FCM due to the customer's contingent liability to deliver or accept the futures contract or commodity underlying the option in the event the option is exercised. Traders who sell options are subject to the entire loss which occurs in the underlying futures contract or commodity (less any premium received). The ability to trade in or exercise options may be restricted in the event that trading in the underlying futures contract or commodity becomes restricted. Such trading may involve additional risks because the Advisor has limited experience trading commodity options. A Client’s FCM May Fail. Under CFTC regulations, FCMs are required to maintain customers' assets in a segregated account. If a Client's FCM fails to do so, the Client may be subject to a risk of loss of his funds on deposit with his FCM in the event of its bankruptcy. In addition, under certain circumstances, such as the inability of another customer of the FCM or the FCM itself to satisfy substantial deficiencies in such other customer's account, a participating customer may be subject to a risk of loss of his funds on deposit with his FCM, even if such funds are properly segregated. In the case of any such bankruptcy or customer loss, a Client might recover, even in respect of property specifically traceable to the customer, only a pro rata share of all property available for distribution to all of the FCM's customers or potentially recover no assets at all. Substantial Fees and Expenses. A Client is subject to substantial brokerage commissions and other transaction costs as well as management and incentive fees. Accordingly, a Client’s account will have to earn substantial trading profits to avoid depletion of the Client’s funds due to such commissions, costs, and fees. The Client, and not the Advisor, is directly responsible for paying to the Client's FCM or, as appropriate, all margins, option premiums, brokerage commissions and fees, and other transaction costs and expenses incurred in connection with transactions effected for the customer's account by the Advisor. The Advisor considers the interests of its Clients paramount and manages all accounts to further the interests of customers. Nevertheless, no assurance can be given by the Advisor as to any minimum or maximum number of transactions which will be entered into for a Client's account during any period for which the account is managed by the Advisor. Tax liability. Clients should satisfy themselves as to the income tax and other tax consequences of an investment in a managed account program with specific reference to their own tax situation by obtaining advice from their own tax counsel before participating in a managed account program. Day Trading. The Advisor may very actively trade the Clients’ accounts, and may engage in “day-trading,” which involves initiating and exiting a position on the same trading day. When day-trading, several positions may be initiated and exited on the same trading day. Because Clients will be charged brokerage commissions each time a trade is placed, Clients will incur substantial brokerage commissions. While the Advisor believes that the profits resulting from the trading programs will more than compensate for these increased transactional costs, there is no assurance that this will occur. Position Trading. The Advisor may also position trade the Client accounts, which involves holding positions for longer periods of time. Positions held overnight may be more vulnerable to risk of loss if a market-moving event occurs when the markets are closed. If this occurs, it may be impossible to liquidate positions, which may subject Clients to substantial losses. Electronic Trading. The Advisor may place trades on the various electronic trading platforms offered by the exchanges. In the event that there is a failure or disruption of these platforms, it is possible that, for a certain time period, the Advisor may not be able to enter new orders, execute existing orders, or modify or cancel orders that were previously entered. In addition, a system failure may also result in loss of orders or order priority. Concentration Risk. The Advisor’s trading programs involve trading in a diverse group of futures markets. Because the Advisor’s trading will be concentrated in this area, the programs are not as diverse as other trading programs, and thus may be subject to greater risk of loss in the event that the Advisor is unable to trade profitably in these markets. Trading Disruptions. Following the terrorist attacks of September 11, 2001, the United States financial markets were closed for several days. In addition, once they were reopened, these markets experienced extreme volatility and a lack of liquidity. There can be no assurance that world events will not cause severe market disruptions in the future. If such market disruptions were to occur again, Clients’ performance could be adversely affected due to the fact that Clients’ assets will be invested in these markets. For instance, the Advisor’s ability to liquidate a position in order to limit losses could be hindered.

   

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
-26.82 7 - 8/1/2010 3/1/2011
-6.95 1 1 1/1/0001 4/1/2010
-2.81 1 1 5/1/2010 6/1/2010
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
15.82 2 7/1/2010 8/1/2010
14.27 1 5/1/2010 5/1/2010
3.07 1 12/1/2010 12/1/2010
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-17.76 3 9/1/2010 11/1/2010
-13.67 3 1/1/2011 3/1/2011
-6.95 1 4/1/2010 4/1/2010
-2.81 1 6/1/2010 6/1/2010
Show More

Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods12.0010.007.00
Percent Profitable33.3340.0028.57
Average Period Return-0.85-1.30-6.11
Average Gain8.2011.9512.33
Average Loss-5.37-10.12-13.49
Best Period14.2724.8214.03
Worst Period-7.56-17.76-20.98
Standard Deviation7.5613.1314.43
Gain Standard Deviation5.989.382.40
Loss Standard Deviation2.134.858.53
Sharpe Ratio (1%)-0.12-0.12-0.46
Average Gain / Average Loss1.531.180.91
Profit / Loss Ratio0.760.790.37
Downside Deviation (10%)4.999.4414.95
Downside Deviation (5%)4.748.7413.46
Downside Deviation (0%)4.678.5613.10
Sortino Ratio (10%)-0.25-0.27-0.57
Sortino Ratio (5%)-0.20-0.18-0.49
Sortino Ratio (0%)-0.18-0.15-0.47

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.