Growth of $1,000 VAMI and Monthly Return
Trading Description, Risk Strategy & Background
The Volatility Trading Program trades VIX futures exclusively, an opportunity set distinct from the equity, rate, and commodity markets that drive most managed futures programs. The program's return driver is relative value along the VIX futures curve. The Advisor evaluates the broad market environment, then places spread and outright positions where the curve's shape and pricing present an opportunity, as determined by the Advisor's proprietary method.
The Advisor believes risk management is the primary driver of long-term returns, and that expected returns vary meaningfully across market environments. Rather than maintain constant exposure, the Volatility Trading Program actively reduces risk as conditions deteriorate and re-engages after conditions stabilize. Positioning is governed by the Advisor's proprietary read of the volatility environment, monitoring the level of the volatility surface, the time series of both that level and spot volatility, and the portfolio's beta to spot volatility. When these measures indicate emerging market stress, the Advisor takes risk off the table rather than attempting to hold through the event. Exposure is restored after the peak of the disturbance has passed, once the Advisor's measures indicate the environment has normalized and the risk/reward of re-entry has become favorable.
The program also applies a rules-based intraday control tied to spot VIX. At predefined elevated and predefined depressed levels, the Advisor removes half of the portfolio's risk. The control is symmetric by design: elevated readings identify conditions in which further volatility expansion would be most damaging to the portfolio, while depressed readings identify conditions in which the portfolio is poorly compensated for the tail risk it carries. In both cases the reduction is automatic rather than discretionary. Position sizing incorporates a forward-looking stress test. The Advisor evaluates the excess capital that would remain under stressed market scenarios and sizes exposure so the portfolio retains capital and flexibility through an adverse move. The Advisor implemented the current risk management process in January 2019 to better protect client capital. These controls are intended to manage risk, not eliminate it. The program is concentrated in the financial futures sector, trades a leveraged instrument, and holds most positions longer than one trading day. Substantial losses remain possible, and there is no assurance the program will be profitable.
Andrew P. Haleen is the sole principal, founder, and managing member of AP Futures, LLC, an Illinois CTA registered with the CFTC and an NFA member since December 2016. He has traded volatility products since 2002 and VIX futures since 2013. Volatility Trading Program is the Advisor's first program, developed by Mr. Haleen in 2013 by combining aspects of trading strategies drawn from his professional experience in the credit and equity volatility markets that he believes are particularly well suited to VIX futures, and traded for client accounts since January 30, 2017. Earlier, Mr. Haleen was a Vice President in High Yield Credit Sales & Trading at BNP Paribas in New York, working with institutional clients across the high-yield cash, CDS, and CDX option markets. He earned his MBA with Honors from the University of Chicago Booth School of Business, with concentrations in Analytic Finance and Econometrics & Statistics, and presented research on credit-default-swap pricing and its predictive value for equity markets in Eugene Fama's Ph.D.-level course.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR (YTD) | Max DD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -1.48% | -0.85% | -4.65% | 6.22% | 3.90% | 1.35% | 4.18% | -6.86% | ||||||
| 2025 | 1.01% | -0.34% | -0.79% | -11.66% | 5.38% | 2.59% | 3.63% | 3.27% | 1.82% | 0.40% | 1.43% | 4.25% | 10.34% | -12.66% |
| 2024 | 0.56% | 1.07% | 1.09% | -1.28% | 1.61% | 0.96% | -0.83% | 4.20% | -1.05% | -4.58% | 6.16% | -5.12% | 2.25% | -5.59% |
| 2023 | 3.16% | -0.20% | -2.90% | 5.71% | 1.56% | 5.16% | 1.76% | 0.62% | -1.80% | -2.71% | 3.30% | 1.99% | 16.33% | -4.46% |
| 2022 | -7.94% | -6.34% | -1.37% | -3.01% | 3.02% | -6.99% | 6.24% | 0.14% | -3.83% | 0.94% | 5.00% | 1.66% | -12.88% | -20.97% |
| 2021 | -4.90% | 13.94% | 7.25% | 2.92% | 0.17% | 2.62% | 1.54% | 3.76% | -2.53% | 6.67% | -2.19% | 8.15% | 42.46% | -4.90% |
Track Record Compiled By: In-House
Accounting Notes: Account structure. Separately managed accounts held in the client's own name at the FCM of their choosing. Full transparency, daily visibility, no commingling. Up to a 1% management fee, assessed monthly. Up to 20% incentive fee, calculated quarterly on net new profits, subject to a high water mark. Management fees are deducted before any incentive fee is earned, and prior losses carry forward until fully recovered.\r\n\r\nBrokerage. No per-trade commission charged by the Advisor. Negotiated rate of $1.25 per contract through Hughes & Company LLC.\r\n\r\nPerformance is unaudited.
| Year | Yearly Return | Max DD |
|---|---|---|
| 2026 | 4.18% | -6.86% |
| 2025 | 10.34% | -12.66% |
| 2024 | 2.25% | -5.59% |
Risk Disclosure
THIS MATTER MAY BE 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.
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.