Autumn Gold Retail Report
Report Start Date: Jan-2020 - Report End Date: Apr-2025
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Warrington Asset Management - Warrington Strategic Fund, LP
Trading Strategy: Discretionary / Option Writer / Stock Indices
| Performance Since January 2020 | Please See Accounting Notes | A Portion of this Performance is Based on Proprietary Trading |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | 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% |
| 2020 | -0.09% | -0.51% | 0.13% | -0.26% | 0.51% | 0.86% | -0.07% | -0.25% | 0.06% | 0.04% | -0.25% | 0.71% | 0.87% | -0.73% |
Program Description: 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.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -21.72% |
| From Jul 2008 to Dec 2008 | |
| Worst Month (May 2010) | -14.81% |
| Current Losing Streak | 0% |
| Average Monthly Return | 0.66% |
| Annualized Performance |
|
| Compound ROR (1) | 7.85% |
| Standard Deviation | 7.38% |
| Sharpe Ratio | 1.01 |
| Sterling Ratio | 0.15 |
| Calmar Ratio (3) | 2.01 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
