Autumn Gold CTA Database

Home » Manager List » HiProb Capital Management LLC »

HiProb Capital Management LLC - Neutral

Principal(s): Chuan Wang
Strategy: Index Option Spreads
Request Additional Information
Investment Restrictions: 4.7 Exempt - QEP Investors Only

Statistics & Program Information

Oct 2025 Return -0.71%	Worst Drawdown ⁽²⁾ -2.17%	Minimum Investment $500,000
YTD Return: 9.1%	Losing Streak ⁽³⁾: -0.71%	AUM ⁽⁵⁾: $27,000,000
Annualized CROR⁽¹⁾ 10.43%	Sharpe Ratio 4% RF ROR⁽⁴⁾: 1.75	Calmar Ratio ⁽⁶⁾: N/A
2) Annualized ACROR is based on compounding. Please see Footnotes for more information.

Trading Methodology 95% Systematic 5% Discretionary	Style Sub-Categories Option Spread Quantitative Absolute Return	Trading Style 95% Spread Trading 5% hedging with SP500 futures
Market Sector 100% Stock Indices	Holding Period 5% Short Term 95% Intraday	Geographic Sector US Contracts: Options

Start Date Sep-2015	Currency US Dollar	Management Fee 2.00%
Accepting New Accounts Yes	Min Investment $500,000	Incentive Fee 0.00
NFA Member Yes	Fund Minimum $0	Other Fees None
NFA Number 0500593	Margin ⁽⁷⁾ 10%-50%	Avg Comm ⁽⁸⁾ 0.25
Notional Funds No	Round Turns Per Million ⁽¹⁰⁾ 30,000	Max Comm ⁽⁹⁾ 0.30

Starting Date: Sep-2015	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $27,000,000
Open to US Investors: Yes	Annualized CROR: 10.32%
Minimum Fund Investment: $0
Minimum Managed Account: $500,000	Current Losing Streak: -0.71 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 4% RF ROR 1.75
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: 2.00%	Auditor: Not Listed
Incentive Fee: 20.00%	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: Unkar Systems Inc

Correlations:

Growth of $1,000 VAMI and Monthly Returns

Trading Description, Risk Strategy & Background

Trading Description

The Neutral strategy aims to generate consistent absolute returns while reducing risk exposure. It primarily invests in near-expiration option spreads on S&P 500 futures. Positions are structured to be market (Delta) neutral and Vega neutral to limit exposure to market risks. The strategy can profit in both rising and falling markets with a large profit window and high probability of generating profits. It evolved from our extensive experience in trading index futures and related options, and utilizes our patent-pending techniques to identify market inefficiencies and make high-probability trades only when potential profits significantly exceed potential losses.

Risk Strategy

Risk control is the highest priority for the Neutral strategy. Portfolios are initially hedged to be "market neutral" with both long and short legs of similar value. Notably, Neutral strategies are managed to be "Vega neutral" and optimized with a slightly positive net Vega exposure. To mitigate the risk of an extreme downside market move, further risk management measures will be implemented to fully hedge relevant short legs with corresponding index futures. At expiration, the hedging futures positions would fully offset potential losses. With such risk control measures, Neutral has achieved a low worst peak-to-valley drawdown and has been repeatedly ranked among the top performers by AutumnGold and BarclayHedge.

Background

CHUAN WANG holds a PhD from Rutgers, The State University of New Jersey. Dr. Wang has developed and implemented the trading strategies for the Program since 2008. Said trading strategies used by the program are based on our patent-pending techniques. Prior to founding HiProb, Dr. Wang had a wide spectrum of working experience, including Rutgers University, AT&T/Bell Labs, Merrill Lynch, and State Street Bank. Hiprob Capital Management LLC is a Commodity Trading Advisor registered with the US Commodity Futures Trading Commission, and currently made up of three Series-3 licensed professionals.

Performance

Monthly Performance Since Sep 2015

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025	0.18%	0.42%	0.51%	4.74%	0.10%	1.26%	0.91%	0.66%	1.03%	-0.71%			9.38%	-0.71%
2024	0.02%	0.62%	0.15%	0.26%	0.21%	0.23%	0.38%	-0.82%	0.55%	0.47%	0.24%	0.74%	3.07%	-0.82%
2023	0.65%	0.52%	1.33%	0.96%	0.52%	0.22%	0.69%	0.50%	0.54%	0.63%	0.01%	0.18%	6.96%	0.00%
2022	1.26%	0.81%	0.34%	0.75%	1.20%	0.89%	0.01%	0.79%	0.61%	0.23%	0.05%	0.34%	7.52%	0.00%
2021	0.56%	0.30%	0.25%	0.30%	0.83%	0.72%	0.47%	0.39%	1.32%	0.19%	0.17%	0.77%	6.45%	0.00%
2020	2.59%	3.06%	0.06%	1.60%	-1.44%	-0.05%	0.34%	0.68%	0.71%	0.36%	0.54%	0.46%	9.20%	-1.49%
2019	0.50%	0.11%	0.61%	0.97%	1.79%	1.63%	-2.17%	2.33%	0.26%	0.44%	0.23%	0.65%	7.52%	-2.17%
2018	1.99%	2.24%	1.76%	1.09%	0.13%	1.26%	2.01%	1.89%	2.47%	-0.60%	1.04%	2.55%	19.29%	-0.60%
2017	0.35%	0.28%	1.13%	1.55%	-1.65%	0.59%	0.22%	2.87%	2.50%	2.90%	2.99%	1.24%	15.91%	-1.65%
2016	1.58%	0.88%	0.53%	1.86%	0.40%	2.36%	0.28%	1.06%	-0.62%	1.54%	3.33%	0.33%	14.32%	-0.62%
2015									0.57%	1.17%	1.92%	2.19%	5.97%	0.00%

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

Footnotes

1. The Annualized Compounded ROR ("Rate of Return") is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth. 2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % the time-period. 3. Sharpe Ratio uses a 4% Risk Free ROR (Rate of Return) 4. Calmar Ratio Uses last 36 months of Data 5. The hypothetical growth of $1,000

++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

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.