Growth of $1,000 VAMI and Monthly Return
Trading Description, Risk Strategy & Background
The Core Equity + Crisis Alpha Program (Core CAP) is built to serve as a core equity holding with its own protection embedded, trading S&P 500 futures and VIX futures in a single managed account. It combines a reduced, risk-managed allocation to S&P 500 Index futures with a 50% allocation to the Advisor's Crisis Alpha Overlay Program.
The Core Equity + Crisis Alpha Program is driven by the same volatility-regime signals the Advisor has used in its flagship Volatility Trading Program, which has traded client accounts since January 30, 2017. Those signals are interpreted differently here, producing a single coordinated shift across both sides of the portfolio. In constructive conditions the program holds a reduced, risk-managed allocation to S&P 500 futures alongside a volatility overlay. The equity allocation is deliberately smaller than a fully invested index position, which lowers the portfolio's baseline exposure before any hedge is applied. When the Advisor's measures indicate developing market stress, the program acts on both sides at once: it reduces or eliminates the S&P 500 futures position while reversing the volatility overlay to long positioning along the VIX futures curve. Risk is removed from the primary driver of loss rather than hedged around, and the portfolio is simultaneously positioned to seek returns from a sustained expansion in volatility. After the peak of the event, as the Advisor's measures indicate conditions are normalizing, the program reverses the sequence — unwinding the long volatility positioning and restoring equity exposure. The Advisor monitors the level and trajectory of the volatility surface, spot volatility, and the portfolio's sensitivity to it throughout, and sizes positions with reference to the capital that would remain under stressed market scenarios. The Advisor also reserves the right to trade other futures markets during periods of stress or illiquidity to hedge the portfolio's macro exposures.
The intent is to make protection a built-in feature of a long-term core holding rather than something purchased separately. Clients should understand that the shift may prove early or late, that removing equity exposure can forgo gains if markets recover quickly, that long volatility positioning can lose value if an anticipated stress event does not materialize, and that substantial losses remain possible.
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, and launched the firm's first program, the Volatility Trading Program, for client accounts in 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 | 0.99% | 4.04% | 0.76% | 5.87% | N/A |
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 1% management, assessed monthly. Up to 20% incentive, 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 brokerage fees. No per-trade commission charged by the Advisor. Negotiated rate of $1.25 per contract through Hughes & Company LLC. Performance is unaudited.
A Portion of this Performance is Based on Proprietary Trading
| Year | Yearly Return | Max DD |
|---|---|---|
| 2026 | 5.87% | N/A |
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.