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Vernon Capital Partners, LLC. 

Fundamental Volatility

Manager: David Annis

Address: 222 S. Church St., Suite 100, Charlotte, NC, 28202, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:May 1, 2019
AUM:$301,419
QEP:No
Incentive Fee:17.5%
Annual Mgt Fee:1.5%
Min Investment:$250,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:78.90%45.88%
Annual ROR:30.80%19.04%
YTD:15.88%14.41%
1 Year:16.38%38.62%
Alpha:3.79
Beta:-0.32
Statistics Program S&P 500
Average Monthly Gain:11.55%4.40%
Average Monthly Loss:-8.02%-4.66%
Winning Months:1518
Losing Months:118
Current DD:0.000.00
Max DD:35.5020.00
Sharpe Ratio (RF 1%):0.56
Annualized Std Dev:53.01

Methodology

Discretionary:5%
Systematic:95%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodShort Term
---------------------------
Fundamentals:50%
Quantitative:50%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2021-10.468.927.792.274.273.3715.88
2020-13.4011.1358.612.2310.80-1.964.78-2.26-3.91-7.4611.50-1.0970.25
2019-28.9410.34-0.39-17.418.2011.9317.14-0.90-9.31

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Vernon Capital Partners' Fundamental Volatility program is a managed futures product designed to maximize intermediate- and long-term capital appreciation, while providing a diversification benefit to a portfolio of other common asset classes. Our proprietary, algorithmic system generates market-neutral, quantitative signals intended to exploit the relative values of derivative contracts and monetize short-term price divergences. The investment team structures our strategies to generate attractive absolute and risk-adjusted returns in both calm and volatile markets and practices disciplined risk management to limit drawdowns.

Company Info

Vernon Capital Partners, LLC. ("Vernon Capital" or "Advisor") is a Limited Liability Company formed in the State of North Carolina on February 7, 2019 and doing business from 222 S. Church St., Suite 100, Charlotte, NC 28202. Vernon Capital registered with the Commodity Futures Trading Commission ("CFTC") as a Commodity Trading Advisor ("CTA") and became a member of the National Futures Association ("NFA") on July 9, 2020. Vernon Capital specializes in systematic, quantitative trading strategies using volatility derivatives and related instruments.

Before registering as a CTA, Vernon Capital operated as a private investment firm trading its principals’ capital. Vernon Capital has traded this Program in its proprietary account since May 1, 2019, however this is the first offering to outside investors. The Advisor can be contacted via telephone at 704-626-2523 and email at info@vernoncapital.com.

Manager Info

David H. Annis, Ph.D. is Chief Investment Strategist and a Founding Principal of Vernon Capital Partners. He most recently led Wells Fargo's Comprehensive Capital Analysis and Review (CCAR) and Central Counterparty (CCP) analytics team and was previously Head of Trading and Risk Model Validation, where his team was responsible for validation and oversight of over 100 models used for evaluating and overseeing market and counterparty risk arising from derivative transactions.

Before transitioning to finance, Dr. Annis taught at the Naval Postgraduate School where, as a member of the Operations Research faculty, he held a Level3 (Top Secret) Department of Defense security clearance and published over a dozen peer-reviewed research papers. He devised a long-range surveillance technique using signal processing and pattern recognition at Los Alamos National Laboratory and began his career at Pratt & Whitney designing compressor hardware for military jet engines.

Dr. Annis earned his Ph.D. and M.S. in Mathematical Statistics from Purdue University, holds engineering degrees from Purdue and the University of Florida and earned his MBA with Distinction from Warwick Business School (UK), researching investment strategies based on European volatility derivatives.