chessPiece2.png
 

The Volatility Capture Strategy


The Volatility Capture strategy is an all-weather investment approach that combines the benefits of option writing with strategies designed to protect downside risk.

Sophisticated investors have recognized the value of covered call and naked put-strategies for some time in terms of reducing portfolio volatility and improving risk-adjusted returns, particularly as compared to long only portfolios.

Through intensive research and experience, we have identified an approach to managing risk around short option strategies without cannibalizing return.


Investment Programs

McMillan Asset Management currently offers four different versions of the Volatility Capture strategy. Each program and its objectives are listed below:

Volatility Capture Equity

  • Capital preservation and conservative capital appreciation with significantly lower volatility than the broad market.

  • Emphasis on out-performance in down markets and high volatility environments.

  • Protect against Black Swan events.

  • Trades SPY Options and VIX Options


Volatility Capture Futures

  • Moderate capital appreciation with lower volatility than the broad market.

  • Emphasis on out-performance in down markets and high volatility environments.

  • Protect against Black Swan events.

  • Trades E-mini S&P 500 Futures Options and VIX Index Options


Volatility Capture
CTA

  • Greater capital appreciation with lower volatility than the broad market.

  • Emphasis on out-performance in down markets and high volatility environments.

  • Trades E-mini S&P 500 Futures Options and VIX Futures


Volatility Capture Overlay

  • Generate additional income on top of an existing portfolio.

  • Enhance the risk-adjusted returns of existing equity portfolio.

  • Limit downside participation of overall portfolio without capping upside profit potential.

  • Trades SPX or SPY Options and VIX Options



historical Performance

Please fill out the contact form by clicking the button below for more information including performance statistics and historical returns.

 

*By completing the contact form, you are agreeing to our privacy policy.