Recent angle-resolved photoemission (ARPES) data, which found evidence for a d-wave-like modulation of the antiferromagnetic gap, suggest an intimate interrelation between the antiferromagnetic insulator and the superconductor with its d-wave gap. This poses a new challenge to microscopic descriptions, which should account for this correlation between, at first sight, very different states of matter. Here, we propose a microscopic mechanism which provides a definite correlation between these two different gap structures: it is shown that a projected SO(5) theory, which aims at unifying antiferromagnetism and d-wave superconductivity via a common symmetry principle while explicitly taking the Mott-Hubbard gap into account, correctly describes the observed gap characteristics. Specifically, it accounts for both the dispersion and the order of magnitude difference between the antiferromagnetic gap modulation and the superconducting gap. Furthermore, we construct a class of projected SO(5) models, where the Gutzwiller constraint of no-double-occupancy is implemented exactly. We introduce the concept of a projected SO(5) symmetry where all static correlation functions are exactly SO(5) symmetric and discuss the signature of the projected SO(5) symmetry in dynamical correlation functions. We show that this class of projected SO(5) models can give a realistic description of the global phase diagram of the high-T_c superconductors and account for many of their physical properties.