CTA Profiles

Manager List » Vernon Capital Partners, LLC. »

Vernon Capital Partners, LLC. - Fundamental Volatility

Principal(s): David H. Annis, Mark P. Kust
Strategy: Systematic / Short-Term / VIX
Request Disclosure Document

Statistics & Program Information

Oct Return -5.11%	Worst Drawdown ⁽²⁾ -12.64%	Minimum Investment $500,000
YTD Return -3.27%	Losing Streak ⁽³⁾ -12.64 %	AUM⁽⁵⁾ $936,802
Annualized CROR ⁽¹⁾ 4.81	Sharpe Ratio ⁽⁴⁾ 0.31	Calmar Ratio ⁽⁶⁾ N/A

Trading Methodology 95% Systematic 5% Discretionary	Style Sub-Categories Fundamental Volatility Quantitative Relative Value Algorithmic Market Neutral	Trading Style 100% Trend Following
Market Sector 100% VIX	Holding Period 100% Short Term	Sector US Contracts Futures

Start Date May-2019	Currency US Dollar	Margin ⁽⁷⁾ 10%
New Money Yes	AUM ⁽⁵⁾ $936,802	Management Fee 2.00%
Min Investment $500,000	Annualized CROR ⁽¹⁾ 4.81	Incentive Fee 20.00%
Fund Minimum $0	Losing Streak ⁽³⁾ -12.64 %	Other Fees 0
Notional Funds Yes	Worst Drawdown ⁽²⁾ -12.64 %	Avg Comm ⁽⁸⁾ $0.00
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.31	Max Comm ⁽⁹⁾ $15.00 RT
NFA Number 0521163	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 1,000

Starting Date: May-2019	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $936,802
Open to US Investors: Yes	Annualized CROR: 4.81%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -12.64
Minimum Managed Account: $500,000	Current Losing Streak: -12.64 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 0.31
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
Other Fees: 0	FINRA Member: No
	Other Memberships: None

Type of Fund:	Domicile:	Strategy: Long Short Market Neutral Relative Value

Track Record Prepared By: Internally Prepared

Correlations: AG CTA Index: 0.328 AG Systematic CTA Index: 0.304

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each. 1. Rates of Return: Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity. The Annualized Compounded Rate of Return ("Annualized CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return. 2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value. 3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown. 4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown. 5. Annualzied Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return. 6. Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return. 7. The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return. 8. The Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%. 9. The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data. 10. The Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Annualized Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A. 11. The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually. 12. Minimum Investment represents the minimum account size. 13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager. 14. The Number of Winning Months represents the months with positive return. 15. The Number of Losing Months represents the months with negative return. 16. The Percentage of Winning Months represents the % of winning months. 17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account. 18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account. 19. Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly. 20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description:

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).

Risk Strategy:

N/A

Background:

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 firmâ€™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 Dellâ€™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.

Accounting Notes:

Pro-Forma Performance adjusted for a 2% management and 20% incentive fee.

Performance

Pro-Forma Performance adjusted for a 2% management and 20% incentive fee. (A Portion of this Performance is based on Proprietary Trading)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	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%	-5.4%	-7.2%
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%
2020	-3.39%	2.93%	27.32%	1.49%	5.57%	-0.95%	2.40%	-1.14%	-1.93%	-3.72%	5.62%	-0.62%	34.81%	-6.65%
2019					-7.93%	2.55%	0.06%	-4.21%	2.17%	2.99%	4.09%	-0.11%	-0.99%	-9.5%

Annual Performance

Years	2019	2020	2021	2022	2023	2024 YTD
ROR	-0.99%	34.81%	10.21%	-3.83%	-5.40%	-3.27%
Max DD	-9.50%	-6.65%	-5.29%	-11.15%	-7.20%	-5.11%

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

VAMI, Assets under Management & Worst Drawdown

Chart

Monthly Returns

Chart

++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 AND/OR FOREIGN EXCHANGE ('FOREX') 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.