McMillan Asset Management

Volatility Capture CTA

Year-to-Date
2.91%
Minimum Investment
$ 100,000
Management Fee 1.00%
Performance Fee 20.00%
Annualized Volatility 47.43%
Sharpe (RFR=1%) 0.40
CAROR 11.89%
Assets $0
Worst Drawdown -33.73
S&P Correlation -0.24

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.