Autumn Gold Retail Report
Report Start Date: Jan-2020 - Report End Date: Apr-2025
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Warrington Asset Management - Tactical Program
Trading Strategy: Discretionary / Option Writer / Stock Indices
| Performance Since January 2020 | Please See Accounting Notes |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.91% | 0.61% | -0.44% | -1.04% | – | – | – | – | – | – | – | – | 0.03% | -1.48% |
| 2024 | 0.52% | 0.78% | 0.81% | 0.74% | 0.78% | 0.71% | 0.75% | -5.96% | 1.55% | 1.38% | 1.58% | 1.56% | 5.08% | -5.96% |
| 2023 | 0.09% | 0.15% | 0.07% | 0.11% | 0.23% | 0.22% | 0.29% | 0.41% | 0.31% | 0.37% | 0.54% | 0.63% | 3.47% | 0.00% |
| 2022 | -0.30% | 0.00% | 0.20% | -0.09% | -0.12% | -0.23% | 0.03% | 0.07% | 0.00% | 0.02% | -0.01% | 0.13% | -0.30% | -0.54% |
| 2021 | 0.35% | 0.26% | 0.31% | 0.33% | 0.53% | 0.49% | 0.49% | 0.33% | 0.36% | 0.28% | 0.11% | 0.11% | 4.02% | 0.00% |
| 2020 | -0.11% | 0.10% | 0.01% | 0.47% | 0.46% | -0.24% | 0.38% | 0.35% | -1.03% | 0.31% | 0.24% | 0.46% | 1.40% | -1.03% |
Program Description: Warrington Asset Management's Tactical trading program builds on the firm's nineteen year history of successful money management. Utilizing a fundamental, discretionary trading strategy based solely on S&P 500 futures options, we seek to produce consistent, non-volatile, superior returns that are uncorrelated to stocks, bonds, and other CTAs. The short-term trading strategy sells options, usually 1-2 weeks before expiration, which are deep out-of-the-money to capture small, consistent profits, with disciplined risk management to protect against adverse market moves. The option trades are spread across multiple serial, quarterly, end-of-month and weekly expirations, providing additional diversification.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -5.96% |
| From Jul 2024 to Aug 2024 | |
| Worst Month (Aug 2024) | -5.96% |
| Current Losing Streak | -1.48% |
| Average Monthly Return | 0.45% |
| Annualized Performance |
|
| Compound ROR (1) | 5.45% |
| Standard Deviation | 3.06% |
| Sharpe Ratio | 1.62 |
| Sterling Ratio | 0.23 |
| Calmar Ratio (3) | 0.47 |
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.
