Growth of $1,000 VAMI and Monthly Return
Trading Description, Risk Strategy & Background
Warrington Asset Management utilizes a fundamental, discretionary trading strategy using options on the S&P 500 index futures. We seek to produce consistent, non-volatile, superior returns that are uncorrelated to stocks, bonds and other CTAs. Having traded the same strategy since 1997, Warrington's tested and proven methodology is designed to potentially profit in any market environment. Warrington uses technical and fundamental market analysis to form a market opinion and then uses combinations of options to express that opinion. By trading only around the front-month options expiration, Warrington is able to keep its positions very short-term in nature, usually lasting only four to six weeks in duration. Risk management and capital preservation are key components of the strategy and using our predetermined, incremental hedging strategy has been instrumental in minimizing losses in a variety of volatile markets since 1997.
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| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR (YTD) | Max DD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -0.13% | 0.52% | 0.10% | 0.80% | 1.29% | -0.13% | ||||||||
| 2024 | -0.04% | -0.25% | -0.12% | 0.98% | -0.27% | -0.15% | 0.41% | 0.25% | 0.11% | 0.03% | -0.25% | 0.29% | 0.99% | -0.42% |
| 2023 | -0.15% | 0.27% | 0.04% | -0.24% | -0.15% | -0.37% | 0.09% | 0.76% | 0.52% | 0.33% | -0.14% | -0.06% | 0.90% | -0.76% |
| 2022 | 0.80% | 0.31% | 0.16% | 1.12% | 0.20% | 0.99% | -0.77% | 0.35% | 0.45% | -0.09% | -0.31% | 0.64% | 3.90% | -0.77% |
| 2021 | -0.56% | 1.71% | 0.42% | -0.42% | 0.65% | 0.15% | -1.47% | 0.17% | 2.20% | 0.27% | 0.75% | 1.10% | 5.03% | -1.47% |
Accounting Notes: Prior to April 2015, the historical performance returns and other metrics provided herein are the composite returns of Warrington Asset Management LLC (the "Manager") representing both commodity pools and managed accounts. The returns are presented pro forma net of fees (2% management fee and 20% performance allocation) and all brokerage and trading related expenses and are based upon an assumed partnership size of $25 million. Future returns may differ due to type of investment product chosen, size of investment, contribution date and fee structure. The composite returns do not reflect the performance of any one account or pool. Individual accounts may have realized more or less favorable results than the composite results indicate. All indices referenced herein have not been selected to represent an appropriate benchmark to compare potential performance, but rather for reference purposes only. The indices have not been adjusted for the pro forma management and incentive fees or other expenses.
A Portion of this Performance is Based on Proprietary Trading
Annual Performance Summary
| Year | Yearly Return | Max Drawdown | Year-End AUM |
|---|---|---|---|
| 2025 | 3.93% | -0.13% | $11,524,000 |
| 2024 | 0.99% | -0.42% | $11,701,000 |
| 2023 | 0.90% | -0.76% | $7,599,000 |
| 2022 | 3.90% | -0.77% | $23,354,000 |
| 2021 | 5.03% | -1.47% | $20,283,000 |
| Year | Yearly Return | Max DD |
|---|---|---|
| 2025 | 3.93% | -0.13% |
| 2024 | 0.99% | -0.42% |
| 2023 | 0.90% | -0.76% |
THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.
Accounting Notes:
Prior to April 2015, the historical performance returns and other metrics provided herein are the composite returns of Warrington Asset Management LLC (the "Manager") representing both commodity pools and managed accounts. The returns are presented pro forma net of fees (2% management fee and 20% performance allocation) and all brokerage and trading related expenses and are based upon an assumed partnership size of $25 million. Future returns may differ due to type of investment product chosen, size of investment, contribution date and fee structure. The composite returns do not reflect the performance of any one account or pool. Individual accounts may have realized more or less favorable results than the composite results indicate. All indices referenced herein have not been selected to represent an appropriate benchmark to compare potential performance, but rather for reference purposes only. The indices have not been adjusted for the pro forma management and incentive fees or other expenses.Risk Disclosure
THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.