Investment Overview

Strategy Description

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.
Investment Highlights

Investment Category

Managed Futures

Investment Strategy

Option Credit Spreads, VIX Futures Trading

Investment Structure

Managed Account

Objective

Our Performance Goal
Provide a consistent, low volatility return stream that is uncorrelated to traditional investments

Investment Opportunity

What We Believe
While we rely heavily on quantitative analysis in our trade process, we also emphasize behavioral factors in trade construction and risk management.

Return Driver - Alpha

Our Edge
Experience, Valuation Inefficiencies, Valuation Expertise, Repeatable Process, Active Trading Strategies
Implementation of Strategy
Tactical Approach

Market Sector Exposure

Stock Indices, VIX

Instruments Traded

Options, VIX Options

Geographical Exposure

United States

Risk Management

Position Limits, Options
Investment Structure

Legal Structure

Managed Accounts

Domicile

United States

Managed Account Minimum

Management Fee (%)

Incentive Fee (%)

Service Providers

Legal

Greenberg Traurig

FCM

Interactive Brokers

Custodian/Bank

Interactive Brokers