McMillan Analysis Corp., dba McMillan Asset Management, is proud to announce the launch of its newest product.
The Volatility Capture CTA strategy is a variation of Volatility Capture that uses VIX futures on a tactical basis to hedge, instead of purchasing VIX options on a continual basis. This pure futures version has a slightly different profit graph and has the potential for better returns in most cases due to the lack of drag from the purchase of VIX options.
We have been trading this variation at RJO'Brien since May of 2018. Since then, it has outperformed the Interactive Brokers VIX-options approach (Volatility Capture Futures). Moreover, the back-tested results prior to May 2018 were superior as well, although it did under-perform in certain extremely bearish months such as February 2018.
For more information, including performance results and back-testing data, fill out our contact form.