McMillan Analysis Corp
Volatility Capture CTA
Principal:
Lawrence G. McMillan & Ryan Brennan
Option Writing / S&P 500 | Spread Trading, Option Trading
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Month Performance
+3.74%
Mar 2026
YTD Return
+6.03%
Through Mar 2026
AUM
$890,000
Assets Under Management
Overview
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.
Program Details
| Inception Date | May 2018 |
| Trading Style | Spread Trading, Option Trading |
| Holding Period | N/A |
| Markets Traded | Stock Indices |
| Margin | 0.00% |
| Minimum Investment | $100,000 |
| Management Fee | 0-1% |
| Performance Fee | 20.00 |
This is a snapshot only. Investors should read Disclosure/Offering documents to determine suitability of investment.
GROWTH OF $1,000 VAMI
Program vs. Autumn Gold CTA Index
About the Autumn Gold CTA Index:
The Autumn Gold CTA Index is a non-investable index comprised of performance from CTA programs included in the Autumn Gold database and does not represent the complete universe of CTAs.
Hypothetical growth of $1,000 based on reported monthly returns.
PERFORMANCE SUMMARY
Annual Returns (Net)
| YEAR | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|
| RETURN | -8.48% | +2.84% | +8.43% | +0.57% |
Maximum Drawdown Since Inception
-33.73%
Past performance is not indicative of future results.
Performance / Program Note
<b>Client Trading from May 2018 to Dec 2018. Pro-Forma Proprietary Trading from Jan 2019 - Jun 2019. Client Trading from July 2019.</b>
Investor Eligibility
What is a QEP?
A Qualified Eligible Person (QEP) is an investor or entity that meets the eligibility requirements described in CFTC Regulation 4.7. The applicable requirements vary by investor type and may include financial, portfolio, professional, or institutional qualifications.
This information is provided for general reference only. QEP status is
self-identified here and should be determined by reviewing the applicable
regulation and, when appropriate, with your professional advisers.
FUTURES, OPTIONS, CRYPTO, AND FOREX TRADING INVOLVES RISK AND MAY NOT BE SUITABLE FOR ALL INVESTORS. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.