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Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2012 (0.01) 1.13 1.12%
2013 0.91 0.61 0.89 1.91 (1.18) 4.72 0.57 1.18 0.77 0.07 0.96 1.13 13.17%
2014 0.07 (3.25) 1.20 2.18 1.20 0.70 (2.56) 0.58 2.05 (3.56) 0.87 3.44 2.68%
2015 5.59 1.95 1.14 1.83 0.25 1.81 2.52 (1.59) 1.58 15.97%
Barclays CBOE
MAC S&P 500 Aggregate Buy-Write
Cumulative Return 36.27% 43.90% 4.71% 21.23%
Annualized Return 11.54% 13.71% 1.64% 7.03%
Standard Deviation 6.47% 9.87% 3.03% 6.29%
Sharpe Ratio 1.77 1.38 0.52 1.11
Correlation - -0.19 0.01 0.02
Beta - -0.12 0.02 0.02
Best Month 5.59% 5.75% 2.13% 4.23%
Worst Month -3.56% -6.03% -1.84% -4.84%
% of Positive Months 85% 68% 56% 65%
Average Positive Month 1.51% 2.77% 0.76% 1.60%
Average Negative Month -2.43% -2.34% -0.64% -1.28%
% Positive Returns in Positive S&P Months 87% 100% 61% 87%
% Positive Returns in Negative S&P Months 82% - 45% 18%
% of Time Outperform Down S&P Months 91% - 91% 91%
CONTACT INFORMATION
Maximum Drawdown -3.56% -8.35% -3.78% -5.04% info@mcmillanasset.com 800-768-1541
Max Months in Drawdown 2 2 12 7
OVERVIEW
McMILLAN ASSET MANAGEMENT
VOLATILITY CAPTURE FUTURES OPTIONSRETIREMENT ELIGIBLE - EXECUTIVE SUMMARY
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 (%)
CUMULATIVE PERFORMANCE RETURN DISTRIBUTION
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. McMillan Analysis Corporation is registered as a commodity trading advisor with the National Futures Association and registered with the New Jersey Bureau of Securities as a
Registered Investment Advisor.
PERFORMANCE & RISK STATISTICS RISK / RETURN
Performance
Performance in Positive & Negative Months / Up & Down Markets
Drawdowns and Recovery
-10%
0%
10%
20%
30%
40%
50%
60%
70%
MAC Vol Capture S&P 500
Barclays Aggregate CBOE Buy-Write Index
3 2
23
4
2
0
5
10
15
20
25
< -1
0%
-10
% t
o -
8%
-8%
to
-6
%
-6%
to
-4
%
-4%
to
-2
%
-2%
to
0%
0% t
o 2
%
2% t
o 4
%
4% t
o 6
%
6% t
o 8
%
8% t
o 1
0%
> 10
%
# o
f M
on
ths
0%
2%
4%
6%
8%
10%
12%
14%
16%
0% 2% 4% 6% 8% 10% 12%
An
nu
aliz
ed
Re
turn
s
Annualized Volatility
S&P
Barc Agg
CBOE Buy-Write
US 90D TBill
MAC
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