Warrington Asset Management
Tactical Program
Report Start Date: May-2012 | End Date: Apr-2025
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Current Return: -1.04%
YTD Return: +0.03%
Annualized Return: +5.45%
AUM: $ 23,433,000
Trading Strategy

Discretionary / Option Writer / Stock Indices

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%
Monthly Std. Deviation 0.88%
Gain Deviation (131 months) 0.53%
Loss Deviation (25 months) 1.38%
Gain to Loss Ratio 0.98
Omega Ratio (5% Threshold) 1.13
Annualized Performance
Compound ROR (1) 5.45%
Standard Deviation3.06%
Downside Deviation2.1%
Sharpe Ratio (3) 2% RF ROR 1.62
Sortino Ratio (4) 5% MAR 2.5
Calmar Ratio (5)0.47
Sterling Ratio (6) 0.23
Gain Deviation1.85%
Loss Deviation4.79%
Profit Loss Ratio5.11
Investment Information
Program Start Date May-2012
Percent Discretionary 100%
Currency Denomination - US Dollar
Minimum Investment $500,000
Management Fee 2.00%
Incentive Fee 0.00
Round Turns per Million 2,000
NFA No: #0438164
Performance Since May 2012 | Please See Accounting Notes
JanFebMarAprMayJunJulAugSepOctNovDecROR Max DD
20250.91%0.61%-0.44%-1.04%––––––––0.03%-1.48%
20240.52%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%
20230.09%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%
20210.35%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%
20190.43%0.39%0.51%0.56%-0.02%0.73%0.75%-0.17%0.43%0.05%0.45%0.39%4.59%-0.17%
20180.55%0.73%-0.16%0.39%0.38%0.35%1.16%0.58%1.00%0.01%0.24%-0.06%5.29%-0.16%
20170.78%0.73%1.00%1.06%0.83%0.60%0.58%0.46%0.71%0.92%-0.10%-0.19%7.63%-0.29%
2016-0.05%0.80%0.88%0.32%0.21%0.56%0.84%0.45%0.52%0.07%0.36%0.92%6.04%-0.05%
20151.69%2.05%-0.78%0.46%0.74%0.80%0.51%-0.06%-1.24%0.62%1.11%1.44%7.54%-1.30%
20141.52%2.50%2.23%1.62%1.34%1.48%1.83%0.89%1.15%-4.12%1.60%1.90%14.68%-4.12%
2013-0.18%0.57%0.89%0.72%0.37%0.45%0.65%1.13%0.13%1.66%1.23%2.55%10.63%-0.18%
2012––––-0.12%0.74%0.21%0.09%-0.13%0.39%0.05%0.38%1.62%-0.13%
   Monthly Return and $1,000 VAMI

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.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
Warrington Asset Management
Tactical Program
Report Start Date: May-2012 | End Date: Apr-2025
Print to PDF
Time Window Analysis
Length Best Average Worst
1 mo 2.6% 0.4% -6%
3 mo 6.7% 1.4% -4.6%
6 mo 12.3% 2.8% -2.3%
12 mo 21.9% 5.8% -0.3%
18 mo 26.2% 8.9% 0.3%
24 mo 31.1% 11.8% 2.1%
36 mo 36.9% 17.3% 2.9%
Drawdowns and Recoveries
Start End Drawdown Recovery
Aug-24Jan-25-5.96%5 mo
Oct-14Jan-15-4.12%3 mo
Mar-25n/a-1.48%0 mo
Aug-15Nov-15-1.30%2 mo
Sep-20Jan-21-1.03%4 mo
Mar-15May-15-0.78%2 mo
Drawdown Periods Since May 2012
Distribution of Monthly Returns
Statistical Comparisons Warrington Asset Mgt
Tactical Program		 AutumnGold
AG CTA Index
Remove		 S&P 500
SP 500 TR
Remove
Annualized Compound ROR (1)5.45%2.47%13.32%
Cumulative Return99.24%37.34%408.35%
Cumulative VAMI(7)1,9921,3735,083
Best Monthly Return2.55%2.99%12.82%
Worst Monthly Return-5.96%-5.53%-12.35%
Annual Standard Deviation3.06%4.09%14.23%
Profit Loss Ratio5.111.622.01
Correlation—0.180.13
Last Month-1.04%-0.99%-0.68%
Last 12 Months2.16%-1.31%12.11%
Last 36 Months8.63%6.03%41.17%
Growth of $1,000 VAMI Comparison

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.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
Warrington Asset Management
Tactical Program
Report Start Date: May-2012 | End Date: Apr-2025
Print to PDF
Accounting Notes

Prior to February 2015, the performance returns presented herein are the composite returns of Warrington Asset Management LLC (the "Manager") representing multiple managed accounts consisting of proprietary capital of Mr. Scott Kimple, the principal of the Manager (the "Proprietary Returns"). The Proprietary Returns are presented pro forma net of fees (2% management fee and 20% performance allocation) and net of all brokerage and trading related expenses. Starting with February 2015, the performance returns presented herein are the composite returns of the Manager representing multiple third party managed accounts (the "Third Party Returns"). The Third Party Returns are presented net of all fees (2% management fee and 20% performance allocation) and net of all brokerage and trading related expenses.

An Important Note on the Start Date and End Date of this Report

If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. Performance Results reported or amended subsequent to Monday December 8, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.

Historical Drawdowns and Recoveries

The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.

Statistical Footnotes
1. The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2. Peak to Valley Drawdown = worst % loss between May-2012 and Apr-2025
3. Sharpe Ratio is calculated using a Risk-Free ROR
4. Sortino Ratio is calculated using a Minimum Acceptable ROR
5. Calmar Ratio uses the last 36 months of data
6. Sterling Ratio uses the last 36 months of data
7. VAMI = Hypothetical growth of $1,000
8. Drawdown/recovery: start = first loss, recovery = full return to prior peak

Benchmark Descriptions

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report was prepared from trader-provided information and is believed to be reliable. It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.

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.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
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