Growth of $1,000 VAMI and Monthly Return
Trading Description, Risk Strategy & Background
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.
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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.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR (YTD) | Max DD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.22% | -0.13% | 1.06% | -0.83% | 0.19% | 0.78% | -0.47% | 1.57% | 0.00% | -5.11% | -3.27% | -5.11% | ||
| 2023 | 1.94% | -0.25% | -3.60% | 0.46% | -0.15% | -0.15% | 1.88% | -1.18% | 1.14% | -2.70% | -2.68% | -0.07% | -5.40% | -7.20% |
| 2022 | -7.10% | -1.83% | -0.76% | -1.83% | 5.60% | -1.54% | 2.06% | 0.73% | -1.71% | 1.44% | 0.84% | 0.71% | -3.83% | -11.15% |
| 2021 | -5.29% | 4.41% | 3.73% | 1.11% | 2.28% | 1.50% | -0.76% | 1.53% | -1.49% | 3.88% | -3.29% | 2.65% | 10.21% | -5.29% |
Track Record Compiled By: Internally Prepared
Accounting Notes: Pro-Forma Performance adjusted for a 2% management and 20% incentive fee.
A Portion of this Performance is Based on Proprietary Trading
Annual Performance Summary
| Year | Yearly Return | Max Drawdown | Year-End AUM |
|---|---|---|---|
| 2024 | -3.91% | -5.11% | $936,802 |
| 2023 | -5.40% | -7.20% | $1,060,997 |
| 2022 | -3.83% | -11.15% | $1,106,273 |
| 2021 | 10.21% | -5.29% | $1,026,256 |
| 2020 | 34.81% | -6.65% | $389,448 |
| Year | Yearly Return | Max DD |
|---|---|---|
| 2024 | -3.91% | -5.11% |
| 2023 | -5.40% | -7.20% |
| 2022 | -3.83% | -11.15% |
Accounting Notes:
Pro-Forma Performance adjusted for a 2% management and 20% incentive fee.++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.