HiProb Capital Management LLC
Neutral Plus
Principal(s): Chuan Wang
Strategy: Index Option Spreads / Plus Box Option Spreads
Investment Restrictions: 4.7 Exempt - QEPs Only
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
Neutral-Plus is an extension of Neutral and augments Neutral by fully utilizing daily margin limits. Since August 2022, Neutral-Plus has increased additional trading on days of expiration. Since February 2023, Neutral-Plus has also added box option spreads on S&P500 futures, generating extra profits. A box option spread is a "risk-free" arbitrage strategy to capture the benefits of Fed Funds interest rate.
Neutral aims to generate consistent absolute returns while reducing risk exposure. It primarily invests in near-expiration option spreads on S&P 500 futures. Positions are structured to be market (Delta) neutral and Vega neutral to limit exposure to market risks. The strategy can profit in both rising and falling markets with a large profit window and high probability of generating profits. It evolved from our extensive experience in trading index futures and related options, and utilizes our patent-pending techniques to identify market inefficiencies and make high-probability trades only when potential profits significantly exceed potential losses.
Risk control is our highest priority for Neutral-Plus and Neutral. Portfolios are maintained as hedged positions, with both long and short legs of similar value at entry. Neutral strategies are entered “Vega neutral" and maintain a slightly positive net Vega exposure most of the time. To minimize the risk of an extreme downside market move, additional risk management measures are implemented to hedge relevant short legs with corresponding index futures. In such scenarios, hedging futures positions are intended to reduce potential losses. With these risk control measures in place, Neutral has historically achieved a low worst peak-to-valley drawdown and ranked highly by AutumnGold and BarclayHedge.
CHUAN WANG holds a PhD from Rutgers, The State University of New Jersey. Dr. Wang has developed and implemented the trading strategies for the Program since 2008. Said trading strategies used by the program are based on our patent-pending techniques. Prior to founding HiProb, Dr. Wang had a wide spectrum of working experience, including Rutgers University, AT&T/Bell Labs, Merrill Lynch, and State Street Bank. Hiprob Capital Management LLC is a Commodity Trading Advisor registered with the US Commodity Futures Trading Commission, and currently made up of three Series-3 licensed professionals.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.66% | 1.32% | 1.86% | 0.76% | 1.62% | – | – | – | – | – | – | – | 8.48% | 0.00% |
| 2025 | 1.06% | 1.14% | 1.43% | 7.60% | 0.62% | 3.46% | 2.99% | 1.76% | 2.62% | -3.50% | 1.19% | 0.98% | 23.15% | -3.50% |
| 2024 | 0.50% | 1.87% | 0.64% | 0.34% | 0.95% | 1.09% | 1.21% | -3.52% | 1.40% | 1.58% | 1.06% | 1.81% | 9.18% | -3.52% |
| 2023 | 1.73% | 1.73% | 4.02% | 3.03% | 1.62% | 0.86% | 1.82% | 1.59% | 1.41% | 1.56% | 0.44% | 0.57% | 22.33% | 0.00% |
| 2022 | – | – | – | – | – | – | – | 2.25% | 1.75% | 0.65% | 0.11% | 0.94% | 5.82% | 0.00% |
Track Record Compiled By: NAV Consulting, Inc.
Accounting Notes: The rates of monthly return are calculated in accordance with CFTC Regulation 4.35 and NFA rule 2-34, net of all fees.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.
Risk Disclosure
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.