McMillan Analysis Corp
Volatility Capture CTA
Principal(s): Lawrence G. McMillan & Ryan Brennan
Strategy: Option Writing / S&P 500
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
McMillan Asset Management's primary objective is to provide a consistent, low volatility return stream that is uncorrelated to traditional investments. The Volatility Capture CTA strategy utilizes a repeatable process to systematically capture futures index option premium and manage drawdowns through the use of volatility derivatives. The strategy is managed in separate accounts providing for both liquidity and transparency.
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Lawrence McMillan literally wrote the book on options trading. Options as a Strategic Investment , the best seller published over 35 years ago, has now sold over 300,000 copies. An active trader since the early 1970s, Mr. McMillan is widely sought for speaking engagements and education. He edits and distributes a number of publications based on his firm’s proprietary work and is often seen on CNBC and Bloomberg TV and cited in The Wall Street Journal, Barron’s and other major publications. Mr. McMillan received the prestigious Sullivan Award in 2011 for his outstanding contributions to the growth and integrity of the U.S. options industry.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.52% | 1.68% | 3.74% | – | – | – | – | – | – | – | – | – | 6.03% | 0.00% |
| 2025 | 1.18% | 1.78% | -0.70% | -14.66% | 0.67% | 0.04% | 0.38% | 0.29% | 0.23% | 1.18% | 1.90% | 0.10% | -8.48% | -15.26% |
| 2024 | 0.33% | -0.06% | 0.08% | 2.37% | 0.22% | 0.18% | 0.71% | -0.68% | 0.10% | 1.15% | -0.65% | -0.90% | 2.84% | -1.54% |
| 2023 | 0.20% | 1.90% | 0.58% | 0.37% | 0.62% | -0.03% | 0.30% | 1.36% | 0.77% | 1.77% | -0.03% | 0.33% | 8.43% | -0.03% |
| 2022 | 0.34% | 1.25% | 1.22% | 3.39% | 2.68% | -8.22% | -1.69% | 1.75% | 0.93% | -0.55% | -0.04% | 0.01% | 0.57% | -9.77% |
| 2021 | 0.52% | 0.83% | 0.79% | 0.32% | 0.22% | 0.20% | 0.15% | 0.14% | 2.15% | -0.06% | 0.92% | 2.65% | 9.15% | -0.06% |
| 2020 | 0.39% | -33.73% | 77.36% | 1.28% | 1.33% | -1.32% | 2.33% | -1.07% | 2.59% | -0.40% | 1.06% | 0.68% | 25.77% | -33.73% |
| 2019 | 0.63% | 0.52% | 0.73% | 0.61% | 2.41% | 2.10% | 1.02% | -2.90% | 2.65% | 2.11% | 1.34% | 1.21% | 13.03% | -2.90% |
| 2018 | – | – | – | – | 0.61% | 0.59% | 1.34% | 0.67% | 0.52% | -6.73% | 1.51% | 0.21% | -1.53% | -6.73% |
Track Record Compiled By: N/A
Accounting Notes: Management of the Volatility Capture CTA strategy for outside investors began in May of 2018. At the end of December, the initial investors closed their account. For the purpose of continuity, the returns from Jan 2019 through June 2019 reflect the proforma performance of a proprietary account. <b>No actual fees were charged to this account during that time period, however the performance reflects a performance fee of 20% of profits. Client performance resumes in July 2019 and continues going forward. </b>
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.