McMillan Asset Management : Volatility Capture CTA

Year-to-Date
10.21%
Oct Performance
2.11%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
7.49%
Sharpe (RFR=1%)
0.63
CAROR
-
Assets
$ 640k
Worst DD
-6.73
S&P Correlation
0.44

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2018
Volatility Capture CTA 2.11 1.78 10.21 12.10 - - - 8.52
S&P 500 2.04 1.92 21.16 12.01 - - - 12.27
+/- S&P 500 0.07 -0.14 -10.96 0.10 - - - -3.76

Strategy Description

Summary

*Management of the Volatility Capture CTA strategy for outside investors began in May of 2018. At the end of December, the initial investors closed their account. For the purpose of continuity, the returns from Jan 2019 through June 2019 reflect the proforma performance of a proprietary... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
2.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
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
6000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index 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

Option-writing
50.00%
Spreading/hedging
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

*Management of the Volatility Capture CTA strategy for outside investors began in May of 2018. At the end of December, the initial investors closed their account. For the purpose of continuity, the returns from Jan 2019 through June 2019 reflect the proforma performance of a proprietary account. No actual fees were charged to this account during that time period, however the performance reflects a performance fee of 20% of profits. Client performance resumes in July 2019 and continues going forward. Investment is currently open to qualified eligible persons only.

Investment Strategy

McMillan Asset Management’s primary objective is to provide a consistent, low volatility return stream that is uncorrelated to traditional investments. The Volatility Capture CTA strategy utilizes a repeatable process to systematically capture futures index option premium and manage draw-downs through the use of volatility derivatives. The strategy is managed in separate accounts providing for both liquidity and transparency.

   

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:
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Risk
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
Gain Deviation:
Risk
Standard Deviation:
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Average Loss:
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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
-6.73 1 8 9/1/2018 10/1/2018
-2.90 1 2 7/1/2019 8/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
10.15 9 11/1/2018 7/1/2019
4.82 2 9/1/2019 10/1/2019
3.78 5 5/1/2018 9/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.73 1 10/1/2018 10/1/2018
-2.90 1 8/1/2019 8/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods18.0016.0013.007.00
Percent Profitable88.8981.2553.85100.00
Average Period Return0.481.061.783.82
Average Gain1.142.505.953.82
Average Loss-4.82-5.19-3.08
Best Period2.655.637.6012.10
Worst Period-6.73-5.62-3.530.27
Standard Deviation2.163.414.823.93
Gain Standard Deviation0.781.581.533.93
Loss Standard Deviation2.710.400.46
Sharpe Ratio (1%)0.180.240.270.72
Average Gain / Average Loss0.240.481.93
Profit / Loss Ratio1.892.082.25
Downside Deviation (10%)1.852.803.782.73
Downside Deviation (5%)1.752.362.450.28
Downside Deviation (0%)1.732.252.11
Sortino Ratio (10%)0.04-0.06-0.18-0.43
Sortino Ratio (5%)0.230.340.5210.24
Sortino Ratio (0%)0.280.470.84

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.