Warrington Asset Management : Tactical Program (Proprietary)

Year-to-Date
1.43%
Aug Performance
0.35%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
2.77%
Sharpe (RFR=1%)
2.13
CAROR
7.07%
Assets
$ 10.8M
Worst DD
-4.12
S&P Correlation
0.16

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Aug Qtr YTD 1yr 3yr 5yr 10yr Since
5/2012
Tactical Program (Proprietary) 0.35 0.49 1.43 2.77 13.19 29.96 - 76.69
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 - 164.41
+/- S&P 500 -6.66 -14.49 -6.92 -16.84 -27.21 -45.72 - -87.73

Strategy Description

Investment 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,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-spreads
5.00%
Option-writing
95.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment 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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-4.12 1 3 9/1/2014 10/1/2014
-1.28 2 2 7/1/2015 9/1/2015
-0.78 1 2 2/1/2015 3/1/2015
-0.29 2 1 10/1/2017 12/1/2017
-0.24 1 1 5/1/2020 6/1/2020
-0.18 1 1 12/1/2012 1/1/2013
-0.17 1 1 7/1/2019 8/1/2019
-0.16 1 1 2/1/2018 3/1/2018
-0.13 1 1 8/1/2012 9/1/2012
-0.12 1 1 1/1/0001 5/1/2012
-0.11 1 3 12/1/2019 1/1/2020
-0.06 1 1 11/1/2018 12/1/2018
-0.05 1 1 12/1/2015 1/1/2016
-0.02 1 1 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
28.03 20 2/1/2013 9/1/2014
14.51 21 2/1/2016 10/1/2017
7.39 4 11/1/2014 2/1/2015
4.18 8 4/1/2018 11/1/2018
3.22 3 10/1/2015 12/1/2015
2.53 4 4/1/2015 7/1/2015
1.90 4 1/1/2019 4/1/2019
1.49 2 6/1/2019 7/1/2019
1.33 4 9/1/2019 12/1/2019
1.28 2 1/1/2018 2/1/2018
1.04 4 2/1/2020 5/1/2020
1.04 3 6/1/2012 8/1/2012
0.82 3 10/1/2012 12/1/2012
0.73 2 7/1/2020 8/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.12 1 10/1/2014 10/1/2014
-1.28 2 8/1/2015 9/1/2015
-0.78 1 3/1/2015 3/1/2015
-0.29 2 11/1/2017 12/1/2017
-0.24 1 6/1/2020 6/1/2020
-0.18 1 1/1/2013 1/1/2013
-0.17 1 8/1/2019 8/1/2019
-0.16 1 3/1/2018 3/1/2018
-0.13 1 9/1/2012 9/1/2012
-0.12 1 5/1/2012 5/1/2012
-0.11 1 1/1/2020 1/1/2020
-0.06 1 12/1/2018 12/1/2018
-0.05 1 1/1/2016 1/1/2016
-0.02 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods100.0098.0095.0089.0083.0077.0065.0053.0041.00
Percent Profitable84.0093.88100.00100.00100.00100.00100.00100.00100.00
Average Period Return0.571.753.627.7312.2216.7125.2234.6345.17
Average Gain0.781.933.627.7312.2216.7125.2234.6345.17
Average Loss-0.48-0.98
Best Period2.556.7112.3421.9226.1831.0836.9047.8257.06
Worst Period-4.12-2.150.602.244.797.3513.1922.4729.43
Standard Deviation0.801.672.714.505.896.737.538.9910.49
Gain Standard Deviation0.561.552.714.505.896.737.538.9910.49
Loss Standard Deviation1.020.75
Sharpe Ratio (1%)0.610.901.151.491.822.182.953.403.82
Average Gain / Average Loss1.611.96
Profit / Loss Ratio8.4430.12
Downside Deviation (10%)0.540.680.600.670.690.620.55
Downside Deviation (5%)0.460.35
Downside Deviation (0%)0.440.30
Sortino Ratio (10%)0.310.781.904.046.7110.4417.06
Sortino Ratio (5%)1.084.31
Sortino Ratio (0%)1.315.91

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.