CTA Profiles Sweet Futures

Start Date: May-2012
Nov Return: 1.58%
YTD Return: 3.46%
Annual CROR: 5.50

Worst Drawdown: -5.96%
Losing Streak: -1.65 %
Sharpe Ratio: 1.45
Calmar Ratio: 0.37

Min Investment: $500,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0438164

Margin:
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 2,000

Trading Strategy: 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. Risk Strategy: N/A

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.

Trading Methodology
100% Discretionary
Trading Style
100% Option Trading

Style Sub-Categories
Fundamental
Option Writer

Holding Period
100% Short Term
Sector: US
Contracts: Options

Market Allocation
100% Stock Indices

Client Returns from Feb 2015. Proprietary ProForma Results prior to Feb 2015 have been adjusted for a 2% management fee and 20% incentive fee

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.52%	0.78%	0.81%	0.74%	0.78%	0.71%	0.75%	-5.96%	1.55%	1.38%	1.58%		3.46%	-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%
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%	-0.3%	-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%
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%	1.4%	-1.03%
2019	0.43%	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%
2018	0.55%	0.73%	-0.16%	0.39%	0.38%	0.35%	1.16%	0.58%	1.00%	0.01%	0.24%	-0.06%	5.28%	-0.16%
2017	0.78%	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%
2015	1.69%	2.05%	-0.78%	0.46%	0.74%	0.80%	0.51%	-0.06%	-1.24%	0.62%	1.11%	1.44%	7.54%	-1.3%
2014	1.52%	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%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.
THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.

Chart

Footnotes:

(C) = Client Trading Results
(P) = Proprietary Trading Results
(P&C) = A Combination of Proprietary & Client Results.

Current Drawdown - The Current Losing Streak of the CTA, if any.

Worst Drawdown - The Worst Drawdown reflects the greatest loss from Inception. Worst Drawdown can be defined as the potential cost of higher return.

Annual Compound Rate of Return - The Annualized Compounded Rate of Return represents the average return of the CTA over the time frame of the report. It smoothes out returns by assuming constant growth.

Calmar Ratio - The Calmar Ratio - Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

Sharpe Ratio - The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

Round Turns - Represents the annual number of Round Turns per $1 million.