CTA Profiles

Vernon Capital Partners' Fundamental Volatility program is a managed futures product designed to maximize intermediate- and long-term capital appreciation, while providing a diversification benefit to a portfolio of other common asset classes. Our proprietary, algorithmic system generates market-neutral, quantitative signals intended to exploit the relative values of derivative contracts and monetize short-term price divergences. The investment team structures our strategies to generate attractive absolute and risk-adjusted returns in both calm and volatile markets and practices disciplined risk management to limit drawdowns.

The primary traded instruments are S&P 500 VIX monthly futures contracts. However, the Advisor reserves the right to trade any and all related futures contracts (e.g., VIX weeklys or S&P 500 futures) as well as foreign volatility (e.g., VSTOXX futures) and related futures contracts (e.g., STOXX 50 futures).

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David H. Annis, Ph.D. is Chief Investment Strategist and a Founding Principal of Vernon Capital Partners. He most recently led Wells Fargo's Comprehensive Capital Analysis and Review (CCAR) and Central Counterparty (CCP) analytics team and was previously Head of Trading and Risk Model Validation, where his team was responsible for validation and oversight of over 100 models used for evaluating and managing market and counterparty risk arising from derivative transactions.

Before transitioning to finance, Dr. Annis taught at the Naval Postgraduate School where, as a member of the Operations Research faculty, he held a Level 3 (Top Secret) Department of Defense security clearance and published over a dozen peer-reviewed research papers. He devised a long-range surveillance technique using signal processing and pattern recognition at Los Alamos National Laboratory and began his career at Pratt & Whitney designing compressor hardware for military jet engines.

Dr. Annis earned his Ph.D. and M.S. in Mathematical Statistics from Purdue University, holds engineering degrees from Purdue and the University of Florida and earned his MBA with Distinction from Warwick Business School (UK), researching investment strategies based on European volatility derivatives.

Mark P. Kust is Chief Operating Officer and a Founding Principal of Vernon Capital Partners. He is a CFA Charterholder and PRMIA Professional Risk Manager (PRM) and most recently led the CRO Model Risk and Governance function at the World Bank Group. Mark was previously Head of Model, Market and Strategic Risk Management at Brighthouse Financial where he designed, implemented and led that firm’s Model Risk Management function. He co-led Model Validation for Ally Financial after leading Capital Markets Model Validation Analysis and Support for Wells Fargo. While at Wells, Mark held a variety of roles on the Commodity Derivatives Trading Desk, spanning Business Management, Technology, Structured Pricing, Quantitative Analysis and Risk Management.

Prior to Mark's tenure in financial services, he was a technology executive. He led Dell’s Intranet Standards and Applications groups in the late 1990s, and was co-founder and Chief Information Officer for ChemCodes Inc., an entrepreneurial life sciences firm. At ChemCodes Mark designed novel pattern recognition algorithms for processing high throughput mass spectroscopy signals and designed and implemented a full lifecycle Laboratory Information Management System (LIMS).

Mark began his career at Los Alamos National Laboratory and has graduate degrees in engineering and mathematics from Stanford University, and an MBA from Duke University.