CTA Profiles

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Manager List » McMillan Analysis Corp »

McMillan Analysis Corp - Volatility Capture CTA

Principal(s): Lawrence G. McMillan & Ryan Brennan
Strategy: Option Writing / S&P 500
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Statistics & Program Information

Dec Return -0.90%	Worst Drawdown ⁽²⁾ -33.73%	Minimum Investment $100,000
YTD Return 2.84%	Losing Streak ⁽³⁾ -1.54 %	AUM⁽⁵⁾ $1,830,000
Annualized CROR:¹ 8.41%	Sharpe Ratio ⁽⁴⁾ 0.34	Calmar Ratio ⁽⁶⁾ N/A

Trading Methodology 100% Systematic	Style Sub-Categories	Trading Style 50% Spread Trading 50% Option Trading
Market Sector 100% Stock Indices	Holding Period	Geographic Sector Contracts:

Start Date May-2018	Currency US Dollars	Margin ⁽⁷⁾
New Money Yes	AUM ⁽⁵⁾ $1,830,000	Management Fee 0-1%
Min Investment $100,000	Annualized CROR ¹ 8.41%	Incentive Fee 20%
Fund Minimum $0	Losing Streak ⁽³⁾ -1.54 %	Other Fees None
Notional Funds Yes	Worst Drawdown ⁽²⁾ -33.73 %	Avg Comm ⁽⁸⁾ $0.00
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.34	Max Comm ⁽⁹⁾
NFA Number 0238932	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 6,000

Starting Date: May-2018	Currency: US Dollars
Open to New Investors: Yes	Current Assets: $1,830,000
Open to US Investors: Yes	Annualized CROR: 8.41%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -33.73
Minimum Managed Account: $100,000	Current Losing Streak: -1.54 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 0.34
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 0.00%	Auditor: Not Listed
Incentive Fee: 0.00%	NFA Member: Yes
Selling Fee: 0.00%	FINRA Member: No
Other Fees: None	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: N/A

Correlations: AG CTA Index: 0.289 AG Systematic CTA Index: 0.242

Trading Description, Risk Strategy & Background

Trading Description

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 drawdowns through the use of volatility derivatives. The strategy is managed in separate accounts providing for both liquidity and transparency.

Risk Strategy

N/A

Background

Lawrence McMillan literally wrote the book on options trading. Options as a Strategic Investment , the best seller published over 35 years ago, has now sold over 300,000 copies. An active trader since the early 1970s, Mr. McMillan is widely sought for speaking engagements and education. He edits and distributes a number of publications based on his firm’s proprietary work and is often seen on CNBC and Bloomberg TV and cited in The Wall Street Journal, Barron’s and other major publications. Mr. McMillan received the prestigious Sullivan Award in 2011 for his outstanding contributions to the growth and integrity of the U.S. options industry.

Performance

Client Trading from May 2018 to Dec 2018. Pro-Forma Proprietary Trading from Jan 2019 - Jun 2019. Client Trading from July 2019.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.33%	-0.06%	0.08%	2.37%	0.22%	0.18%	0.71%	-0.68%	0.10%	1.15%	-0.65%	-0.90%	2.84%	-1.54%
2023	0.20%	1.90%	0.58%	0.37%	0.62%	-0.03%	0.30%	1.36%	0.77%	1.77%	-0.03%	0.33%	8.43%	-0.03%
2022	0.34%	1.25%	1.22%	3.39%	2.68%	-8.22%	-1.69%	1.75%	0.93%	-0.55%	-0.04%	0.01%	0.57%	-9.77%
2021	0.52%	0.83%	0.79%	0.32%	0.22%	0.20%	0.15%	0.14%	2.15%	-0.06%	0.92%	2.65%	9.15%	-0.06%
2020	0.39%	-33.73%	77.36%	1.28%	1.33%	-1.32%	2.33%	-1.07%	2.59%	-0.40%	1.06%	0.68%	25.77%	-33.73%
2019	0.63%	0.52%	0.73%	0.61%	2.41%	2.10%	1.02%	-2.90%	2.65%	2.11%	1.34%	1.21%	13.03%	-2.9%
2018					0.61%	0.59%	1.34%	0.67%	0.52%	-6.73%	1.51%	0.21%	-1.53%	-6.73%

Annual Performance

Years	2018	2019	2020	2021	2022	2023
ROR	-1.53%	13.03%	25.77%	9.15%	0.57%	8.43%
Max DD	-6.73%	-2.90%	-33.73%	-0.06%	-9.77%	-0.03%

Years	2024 YTD
ROR	2.84%
Max DD	-1.54%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

Monthly Returns

Accounting Notes:

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.

++Qualified Eligible Investors Only:

A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.