Volatility Capture Equity Options
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Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2011 1.12 0.72 2.41 1.83 0.85 3.24 (2.28) (13.88) 0.59 2.35 0.98 1.14 -2.14% 2012 0.65 0.63 2.40 0.99 2.66 2.90 0.72 0.26 0.29 1.01 2.02 0.59 16.16% 2013 0.40 0.34 0.49 0.46 (0.31) 0.12 0.42 0.47 0.62 0.04 0.60 0.74 4.47% 2014 0.16 (1.51) 0.80 1.24 0.65 0.52 (1.04) 0.19 0.89 (2.12) 0.73 1.80 2.26% 2015 2.45 0.79 0.48 1.10 0.33 1.16 1.45 (1.60) 1.57 7.95% Barclays CBOE MAC S&P 500 Aggregate Buy-Write Cumulative Return 31.08% 68.89% 17.37% 34.66% Annualized Return 5.86% 11.66% 3.43% 6.47% Standard Deviation 7.71% 11.44% 2.78% 8.55% Sharpe Ratio 0.75 1.01 1.21 0.75 Correlation - 0.24 -0.18 0.43 Beta - 0.16 -0.50 0.39 Best Month 3.24% 10.93% 2.13% 10.01% Worst Month -13.88% -7.03% -1.84% -7.12% % of Positive Months 88% 65% 67% 65% Average Positive Month 1.03% 2.90% 0.71% 1.83% Average Negative Month -3.25% -2.59% -0.57% -1.81% % Positive Returns in Positive S&P Months 92% 100% 70% 86% % Positive Returns in Negative S&P Months 80% 0% 60% 25% % of Time Outperform Down S&P Months 90% 0% 95% 85% Maximum Drawdown -15.84% -16.26% -3.78% -12.72% Max Months in Drawdown 15 9 12 9 [email protected] 800-768-1541 The information set forth herein should not be construed as an investment recommendation nor does it constitute an offer to sell or the solicitation of any offer to buy interests in any security. Offers may only be made at the time a qualified offeree receives the related Disclosure Document and Advisory Agreement issued by McMillan Analysis Corporation. Actual performance referenced herein may be estimated and unaudited, and net of management and performance fees, as the case may be. The investment strategy of the Fund is non-traditional and may involve a great deal of risk, which may include the substantial loss of capital. Past performance is not necessarily indicative of future results. PERFORMANCE & RISK STATISTICS RISK / RETURN Performance Performance in Positive & Negative Months / Up & Down Markets Drawdowns and Recovery CONTACT INFORMATION CUMULATIVE PERFORMANCE RETURN DISTRIBUTION McMILLAN ASSET MANAGEMENT VOLATILITY CAPTURE EQUITY OPTIONS EXECUTIVE SUMMARY OVERVIEW McMillan Asset Management’s primary objective is to provide a consistent, low volatility return stream that is uncorrelated to traditional investments. The Volatility Capture strategy utilizes a repeatable process to systematically capture equity index option premium and manage drawdowns. The strategy is managed in separate accounts providing for both liquidity and transparency. Lawrence McMillan literally wrote the book on options trading. Options as a Strategic Investment , the best seller published 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. NET MONTHLY RETURNS (%) -20% 0% 20% 40% 60% 80% 100% MAC Vol Capture S&P 500 Barclays Aggregate CBOE Buy-Write Index 1 2 4 42 8 0 5 10 15 20 25 30 35 40 45 < -10% -10% to -8% -8% to -6% -6% to -4% -4% to -2% -2% to 0% 0% to 2% 2% to 4% 4% to 6% 6% to 8% 8% to 10% > 10% # of Months 0% 2% 4% 6% 8% 10% 12% 14% 0% 2% 4% 6% 8% 10% 12% 14 Annualized Returns Annualized Volatility S&P 500 Barc Agg CBOE Buy-Write US 90D TBill MAC
Transcript of Volatility Capture Equity Options
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2011 1.12 0.72 2.41 1.83 0.85 3.24 (2.28) (13.88) 0.59 2.35 0.98 1.14 -2.14%
2012 0.65 0.63 2.40 0.99 2.66 2.90 0.72 0.26 0.29 1.01 2.02 0.59 16.16%
2013 0.40 0.34 0.49 0.46 (0.31) 0.12 0.42 0.47 0.62 0.04 0.60 0.74 4.47%
2014 0.16 (1.51) 0.80 1.24 0.65 0.52 (1.04) 0.19 0.89 (2.12) 0.73 1.80 2.26%
2015 2.45 0.79 0.48 1.10 0.33 1.16 1.45 (1.60) 1.57 7.95%
Barclays CBOE
MAC S&P 500 Aggregate Buy-Write
Cumulative Return 31.08% 68.89% 17.37% 34.66%
Annualized Return 5.86% 11.66% 3.43% 6.47%
Standard Deviation 7.71% 11.44% 2.78% 8.55%
Sharpe Ratio 0.75 1.01 1.21 0.75
Correlation - 0.24 -0.18 0.43
Beta - 0.16 -0.50 0.39
Best Month 3.24% 10.93% 2.13% 10.01%
Worst Month -13.88% -7.03% -1.84% -7.12%
% of Positive Months 88% 65% 67% 65%
Average Positive Month 1.03% 2.90% 0.71% 1.83%
Average Negative Month -3.25% -2.59% -0.57% -1.81%
% Positive Returns in Positive S&P Months 92% 100% 70% 86%
% Positive Returns in Negative S&P Months 80% 0% 60% 25%
% of Time Outperform Down S&P Months 90% 0% 95% 85%
Maximum Drawdown -15.84% -16.26% -3.78% -12.72%
Max Months in Drawdown 15 9 12 9 [email protected] 800-768-1541
The information set forth herein should not be construed as an investment recommendation nor does it constitute an offer to sell or the solicitation of any offer to buy interests in any security. Offers may only be made at the time a qualified
offeree receives the related Disclosure Document and Advisory Agreement issued by McMillan Analysis Corporation. Actual performance referenced herein may be estimated and unaudited, and net of management and performance fees, as
the case may be. The investment strategy of the Fund is non-traditional and may involve a great deal of risk, which may include the substantial loss of capital. Past performance is not necessarily indicative of future results.
PERFORMANCE & RISK STATISTICS RISK / RETURN
Performance
Performance in Positive & Negative Months / Up & Down Markets
Drawdowns and Recovery
CONTACT INFORMATION
CUMULATIVE PERFORMANCE RETURN DISTRIBUTION
McMILLAN ASSET MANAGEMENT
VOLATILITY CAPTURE EQUITY OPTIONSEXECUTIVE SUMMARY
OVERVIEW
McMillan Asset Management’s primary objective is to provide a consistent, low volatility return stream that is uncorrelated to traditional investments. The Volatility Capture strategy utilizes a repeatable
process to systematically capture equity index option premium and manage drawdowns. The strategy is managed in separate accounts providing for both liquidity and transparency.
Lawrence McMillan literally wrote the book on options trading. Options as a Strategic Investment , the best seller published 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.
NET MONTHLY RETURNS (%)
-20%
0%
20%
40%
60%
80%
100%
MAC Vol Capture S&P 500
Barclays Aggregate CBOE Buy-Write Index
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4
42
8
0
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10
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30
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45
< -
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-8%
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> 1
0%
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f M
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0%
2%
4%
6%
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14%
0% 2% 4% 6% 8% 10% 12% 14%
An
nu
aliz
ed
Re
turn
s
Annualized Volatility
S&P 500
Barc Agg
CBOE Buy-Write
US 90D TBill
MAC
