McMillan Asset Management : Volatility Capture CTA

Year-to-Date
24.11%
Sep Performance
2.59%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
55.17%
Sharpe (RFR=1%)
0.43
CAROR
14.30%
Assets
$ 3.0M
Worst DD
-33.73
S&P Correlation
-0.26

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
5/2018
Volatility Capture CTA 2.59 1.49 24.11 27.29 - - - 38.13
S&P 500 -3.92 8.47 4.09 12.98 - - - 20.86
+/- S&P 500 6.51 -6.98 20.01 14.31 - - - 17.27

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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Average Gain:
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Risk
Standard Deviation:
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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
-33.73 1 1 1/1/2020 2/1/2020
-6.73 1 8 9/1/2018 10/1/2018
-2.90 1 2 7/1/2019 8/1/2019
-1.32 1 1 5/1/2020 6/1/2020
-1.07 1 1 7/1/2020 8/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
82.02 3 3/1/2020 5/1/2020
10.15 9 11/1/2018 7/1/2019
7.92 5 9/1/2019 1/1/2020
3.78 5 5/1/2018 9/1/2018
2.59 1 9/1/2020 9/1/2020
2.33 1 7/1/2020 7/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-33.73 1 2/1/2020 2/1/2020
-6.73 1 10/1/2018 10/1/2018
-2.90 1 8/1/2019 8/1/2019
-1.32 1 6/1/2020 6/1/2020
-1.07 1 8/1/2020 8/1/2020
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable82.7681.4870.8394.4491.67
Average Period Return2.084.618.6813.6421.24
Average Gain4.427.8615.0215.9525.74
Average Loss-9.15-9.67-6.71-25.66-28.28
Best Period77.3682.0281.8331.7737.68
Worst Period-33.73-32.67-28.48-25.66-28.28
Standard Deviation15.9317.7519.3015.5520.21
Gain Standard Deviation15.5517.2618.8312.4313.48
Loss Standard Deviation13.9313.059.61
Sharpe Ratio (1%)0.130.250.420.810.98
Average Gain / Average Loss0.480.812.240.620.91
Profit / Loss Ratio2.323.585.4410.5710.01
Downside Deviation (10%)6.526.876.907.4210.36
Downside Deviation (5%)6.446.596.186.298.60
Downside Deviation (0%)6.426.526.026.058.16
Sortino Ratio (10%)0.260.490.901.161.32
Sortino Ratio (5%)0.310.661.322.012.30
Sortino Ratio (0%)0.320.711.442.262.60

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 8 2.33 7/2020

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