Warrington Asset Management : Warrington Strategic Program

Year-to-Date
0.01%
Apr Performance
-0.64%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.27%
Sharpe (RFR=1%)
1.08
CAROR
10.02%
Assets
$ 86.2M
Worst DD
-21.61
S&P Correlation
0.13

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/1997
Warrington Strategic Program -0.64 0.16 0.01 2.16 13.81 15.77 56.83 743.03
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 270.87
+/- S&P 500 -4.57 -8.78 -17.50 -9.09 -27.38 -39.01 -177.22 472.16

Strategy Description

Summary

Scott C. Kimple began trading stock and bond positions for his own account in January 1984. He first traded commodity futures and options in July 1989. He began employment with Citigroup Global Markets, Inc. (“CGM”), a futures commission merchant (“FCM”) and its predecessor firms... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
20%
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
10.00%
1-30 Days
90.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-spreads
90.00%
Option-writing
10.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Scott C. Kimple began trading stock and bond positions for his own account in January 1984. He first traded commodity futures and options in July 1989. He began employment with Citigroup Global Markets, Inc. (“CGM”), a futures commission merchant (“FCM”) and its predecessor firms in April 1991, beginning as a trading assistant trading speculative positions in multiple futures and options markets. From January 1993 through April 1993, he underwent training as a financial advisor, after which most of his efforts were devoted to discretionary futures and options trading. In July 1995, he was appointed Vice President/Financial Advisor. Mr. Kimple was registered as an associated person of CGM from July 1993 until June 2009. As of June 1,, 2009, Mr. Kimple ended his registration as an associated person with CGM and became registered as an associated person of Morgan Stanley Smith Barney LLC (“MSSB”), a FCM. In May 1989, Mr. Kimple graduated from Southern Methodist University, Dallas, Texas, with a B.B.A. in Finance. In August 1990, he completed the MBA program at Southern Methodist University, with course emphasis in finance and derivative securities. During the third trimester, he pursued a credited, directed study with a Dallas-based commodity trading advisor in derivative securities trading. This research provided the theoretical foundations for his current trading strategies.

Investment Strategy

Warrington’s objective is to achieve appreciation of its client’s assets through speculative trading of “commodity interests” including, but not limited to, domestic futures and options on futures contracts using both long and short strategies. This trading program utilizes both directional and non-directional option strategies, focusing on the stock index futures markets, specifically the S&P 500 futures and the Dow Jones futures. Directional strategies will utilize options and combinations of options to position for specific market moves, while non-directional strategies attempt to capture premiums on the sale of uncovered options. Currently, the Trading Advisor limits trading to listed futures and options on futures contracts on U.S. futures and options exchanges. The specific “commodity interests” to be traded in the program will be selected from time to time by the Trading Advisor on the basis discussed below. Examples of futures contracts and options on futures contracts now traded by the Trading Advisor include, but are not limited to, S&P 500, Dow Jones, U.S. Treasury Bond, currencies, gold, silver and energy products. Although not currently trading foreign futures and options, the Trading Advisor reserves the right to do so in the future. Warrington’s trading strategies have been internally researched and developed. They are primarily technical in nature, i.e., they are developed from the research and analysis of patterns of intra-day, daily, weekly and monthly price movements, and of proprietary indicators or standard indicators such as volume and open interest. The Trading Advisor does consider the effects of some key fundamental factors in certain situations, especially for the purpose of risk control. The time frame is usually short term, and could be considered both systematic and discretionary. The trading program also emphasizes current and ongoing research and analysis of market behavior to continue developing strategies for profiting from the changing character of that behavior. The Trading Advisor believes that the development of a commodity trading strategy is a continual process. As a result of further research and analysis into the performance of the Trading Advisor’s methods, changes may be made from time to time in the specific manner in which these trading methods evaluate price movements in various commodities. As a result of such modifications, the trading methods that may be used in the future might differ from those presently being used. Managed account clients will not be informed with respect to such changes in the Trading Advisor’s trading methods. The exact nature of the Trading Advisor’s methods are proprietary and confidential. The foregoing description is of necessity general and is not intended to be exhaustive. As stated, trading decisions require the exercise of judgment by the Trading Advisor. The decision not to trade certain commodities or not to make certain trades may result at times in missing price moves and hence profits of great magnitude, which other trading advisors who are willing to trade these commodities may be able to capture. There is no assurance that the performance of the Trading Advisor will result in profitable trading. Future trading performance may be affected by the increasing amount of funds directed by the Trading Advisor. For example, in certain commodity interests, the Trading Advisor will be unable to acquire positions as large as its strategy might otherwise dictate, because the size of speculative positions is limited by legal regulations. Also, “skid” or “slippage” (the difference between ideal and actual trade execution prices, and the transaction costs resulting therefrom) will increase with the execution of larger orders. Furthermore, because the Trading Advisor may modify its trading methods, the results shown in the performance table does not necessarily reflect the precise trading methods which will be used by the Trading Advisor on behalf of any account.

Risk Management

The trading methods and strategies are strongly oriented toward the preservation of original equity. Each trade is analyzed using a mathematical pricing model to determine if its potential return justifies risk. Risk management techniques emphasize low standard deviation trades (lower risk) over those which invite greater risk in the interest of enhancing performance. These risk management techniques also favor diversification, i.e., commitment of equity to multiple markets and strategies. The trading program at all times adheres to the requirements of a money management system which limits the equity committed to each trade, each market, each complex and each account. Furthermore, the risk assumed and, consequently, the potential for profit experienced by a particular account at different times, and by different accounts at the same time, vary significantly according to market conditions, the size of a given account, and the percentage gained or lost in that account.

   

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
-21.61 4 40 8/1/2008 12/1/2008
-8.78 8 4 1/1/2001 9/1/2001
-6.33 6 2 1/1/2007 7/1/2007
-5.15 1 3 12/1/2007 1/1/2008
-4.90 1 2 9/1/1997 10/1/1997
-4.40 1 3 9/1/1999 10/1/1999
-3.60 8 5 7/1/2015 3/1/2016
-3.59 2 1 9/1/2002 11/1/2002
-3.40 3 - 11/1/2018 2/1/2019
-3.09 7 1 12/1/2012 7/1/2013
-2.27 1 1 6/1/2005 7/1/2005
-1.80 1 1 7/1/1998 8/1/1998
-1.54 2 2 10/1/2004 12/1/2004
-1.42 6 2 5/1/2014 11/1/2014
-1.39 1 2 6/1/1997 7/1/1997
-1.36 1 1 4/1/2000 5/1/2000
-1.27 6 1 7/1/2017 1/1/2018
-1.11 3 4 8/1/2013 11/1/2013
-0.87 1 1 6/1/2003 7/1/2003
-0.82 2 1 3/1/2015 5/1/2015
-0.61 1 1 10/1/2016 11/1/2016
-0.57 2 1 3/1/2018 5/1/2018
-0.31 1 1 3/1/2003 4/1/2003
-0.20 1 1 1/1/2015 2/1/2015
-0.17 1 1 7/1/2004 8/1/2004
-0.02 1 1 1/1/2017 2/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
44.09 13 9/1/1998 9/1/1999
25.67 9 11/1/1997 7/1/1998
23.82 12 8/1/2003 7/1/2004
23.48 18 8/1/2005 1/1/2007
23.13 12 10/1/2001 9/1/2002
21.97 6 1/1/1997 6/1/1997
20.97 5 8/1/2007 12/1/2007
20.61 8 6/1/2000 1/1/2001
14.78 9 1/1/2009 9/1/2009
12.60 9 4/1/2012 12/1/2012
12.48 4 12/1/2002 3/1/2003
11.26 6 11/1/1999 4/1/2000
11.05 7 2/1/2008 8/1/2008
9.53 6 1/1/2011 6/1/2011
8.91 6 11/1/2009 4/1/2010
8.71 3 11/1/2011 1/1/2012
7.44 6 1/1/2005 6/1/2005
5.96 2 5/1/2007 6/1/2007
5.33 6 6/1/2018 11/1/2018
4.17 5 3/1/2017 7/1/2017
4.13 1 8/1/2013 8/1/2013
4.07 2 9/1/2004 10/1/2004
3.90 2 6/1/2015 7/1/2015
3.81 2 8/1/2010 9/1/2010
3.47 3 4/1/2016 6/1/2016
2.97 3 8/1/2016 10/1/2016
2.96 2 5/1/2003 6/1/2003
2.87 2 7/1/2001 8/1/2001
2.86 2 8/1/1997 9/1/1997
2.86 4 2/1/2014 5/1/2014
2.52 2 2/1/2018 3/1/2018
2.12 1 11/1/2010 11/1/2010
2.11 1 5/1/2001 5/1/2001
1.76 2 12/1/2014 1/1/2015
1.59 1 9/1/2011 9/1/2011
1.49 1 3/1/2015 3/1/2015
1.21 2 12/1/2016 1/1/2017
1.08 1 3/1/2019 3/1/2019
0.89 1 9/1/2014 9/1/2014
0.75 1 12/1/2013 12/1/2013
0.72 2 11/1/2015 12/1/2015
0.40 2 9/1/2017 10/1/2017
0.40 1 7/1/2014 7/1/2014
0.13 3 2/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.61 4 9/1/2008 12/1/2008
-15.06 3 5/1/2010 7/1/2010
-7.24 3 2/1/2001 4/1/2001
-6.33 3 2/1/2007 4/1/2007
-6.15 1 9/1/2001 9/1/2001
-6.00 2 7/1/2011 8/1/2011
-5.63 1 7/1/2007 7/1/2007
-5.15 1 1/1/2008 1/1/2008
-4.90 1 10/1/1997 10/1/1997
-4.40 1 10/1/1999 10/1/1999
-3.59 2 10/1/2002 11/1/2002
-3.40 3 12/1/2018 2/1/2019
-3.08 3 8/1/2015 10/1/2015
-2.88 3 5/1/2013 7/1/2013
-2.27 1 7/1/2005 7/1/2005
-1.80 1 8/1/1998 8/1/1998
-1.54 2 11/1/2004 12/1/2004
-1.39 1 7/1/1997 7/1/1997
-1.36 1 5/1/2000 5/1/2000
-1.27 2 10/1/2014 11/1/2014
-1.26 3 1/1/2016 3/1/2016
-1.20 3 11/1/2017 1/1/2018
-1.11 3 9/1/2013 11/1/2013
-0.88 1 8/1/2014 8/1/2014
-0.87 1 7/1/2003 7/1/2003
-0.82 2 4/1/2015 5/1/2015
-0.64 1 4/1/2019 4/1/2019
-0.63 1 10/1/2009 10/1/2009
-0.61 1 11/1/2016 11/1/2016
-0.61 1 10/1/2010 10/1/2010
-0.57 2 4/1/2018 5/1/2018
-0.56 1 6/1/2014 6/1/2014
-0.55 1 10/1/2011 10/1/2011
-0.54 1 7/1/2016 7/1/2016
-0.47 1 8/1/2017 8/1/2017
-0.40 2 2/1/2012 3/1/2012
-0.37 1 12/1/2010 12/1/2010
-0.35 1 1/1/2013 1/1/2013
-0.31 1 4/1/2003 4/1/2003
-0.25 1 6/1/2001 6/1/2001
-0.20 1 2/1/2015 2/1/2015
-0.17 1 8/1/2004 8/1/2004
-0.11 1 1/1/2014 1/1/2014
-0.02 1 2/1/2017 2/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods268.00266.00263.00257.00251.00245.00233.00221.00209.00
Percent Profitable73.1379.7085.1789.1191.6395.5194.85100.00100.00
Average Period Return0.832.515.0210.2715.7521.5032.9444.8658.27
Average Gain1.754.046.8812.4217.5922.8635.0044.8658.27
Average Loss-1.67-3.53-5.69-7.29-4.38-7.46-5.02
Best Period8.5313.9021.9739.6258.5669.99111.30157.90160.98
Worst Period-14.74-21.45-21.42-17.43-7.99-17.27-10.611.096.72
Standard Deviation2.394.586.6610.5014.2318.7826.9034.1242.67
Gain Standard Deviation1.402.854.678.8713.4118.0526.0734.1242.67
Loss Standard Deviation2.725.076.294.592.566.962.68
Sharpe Ratio (1%)0.310.490.680.881.001.041.111.201.25
Average Gain / Average Loss1.041.151.211.704.023.076.97
Profit / Loss Ratio2.844.506.9513.9343.9865.24128.39
Downside Deviation (10%)1.773.133.994.524.114.955.816.075.49
Downside Deviation (5%)1.672.833.383.111.852.461.920.25
Downside Deviation (0%)1.652.773.242.831.462.121.28
Sortino Ratio (10%)0.240.410.641.171.992.272.963.845.58
Sortino Ratio (5%)0.450.801.342.987.707.9315.56164.87
Sortino Ratio (0%)0.500.911.553.6310.8010.1725.73

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 4 1.08 3/2019
Stock Index Trader Index Month 9 1.08 3/2019
Option Strategy Index Month 10 -3.00 12/2018
Option Strategy Index Month 6 0.44 11/2018
Option Strategy Index Month 2 2.38 10/2018
Stock Index Trader Index Month 9 2.38 10/2018
Option Strategy Index Month 6 1.14 9/2018
Stock Index Trader Index Month 10 1.14 9/2018
Option Strategy Index Month 5 1.14 9/2018
Stock Index Trader Index Month 9 1.14 9/2018
Option Strategy Index Month 8 0.03 8/2018
Option Strategy Index Month 7 0.27 7/2018
Option Strategy Index Month 8 0.98 6/2018
Option Strategy Index Month 7 1.07 3/2018
Option Strategy Index Month 1 1.44 2/2018
Stock Index Trader Index Month 8 1.44 2/2018
Option Strategy Index Month 6 -0.33 1/2018
Option Strategy Index Month 10 -0.14 12/2017
Option Strategy Index Month 10 -0.73 11/2017
Option Strategy Index Month 10 0.19 10/2017
Option Strategy Index Month 8 0.07 7/2017
Option Strategy Index Month 9 1.04 5/2017
Option Strategy Index Month 7 1.86 3/2017
Stock Index Trader Index Month 9 0.62 12/2016
Option Strategy Index Month 9 0.62 12/2016
Option Strategy Index Month 5 1.52 9/2016
Option Strategy Index Month 4 2.06 6/2016
Stock Index Trader Index Month 8 2.06 6/2016
Option Strategy Index Month 10 0.32 4/2016
Option Strategy Index Month 8 -0.50 1/2016
Option Strategy Index Month 8 0.28 12/2015
Option Strategy Index Month 8 -0.70 10/2015
Option Strategy Index Month 6 -2.11 8/2015
Option Strategy Index Month 9 1.74 6/2015
Option Strategy Index Month 10 1.61 1/2015
Option Strategy Index Month 8 0.15 12/2014
Option Strategy Index Month 6 -0.56 10/2014
Option Strategy Index Month 5 0.40 7/2014
Discretionary Trader Index Month 7 4.13 8/2013
Option Strategy Index Month 3 4.13 8/2013
Stock Index Trader Index Month 4 4.13 8/2013
Option Strategy Index Month 7 0.04 4/2013
Stock Index Trader Index Month 8 1.51 12/2012
Option Strategy Index Month 10 1.51 12/2012
Option Strategy Index Month 7 2.60 6/2012
Option Strategy Index Month 9 2.15 5/2012
Stock Index Trader Index Month 9 4.39 11/2011
Stock Index Trader Index Month 5 2.06 6/2011
Option Strategy Index Month 9 2.06 6/2011
Stock Index Trader Index Month 9 1.50 4/2011
Option Strategy Index Month 8 1.50 4/2011
Option Strategy Index Month 8 2.12 11/2010
Stock Index Trader Index Month 10 2.12 11/2010
Stock Index Trader Index Month 8 3.28 8/2010
Option Strategy Index Month 6 3.28 8/2010
Stock Index Trader Index Month 8 3.79 2/2010
Option Strategy Index Month 9 3.79 2/2010
Option Strategy Index Month 10 0.53 7/2009
Option Strategy Index Month 10 3.04 6/2009
Stock Index Trader Index Month 5 3.04 6/2009
Stock Index Trader Index Month 6 2.67 5/2009
Option Strategy Index Month 7 2.67 5/2009
Option Strategy Index Month 10 0.07 3/2009
Option Strategy Index Month 7 4.06 2/2009
Stock Index Trader Index Month 8 4.06 2/2009
Option Strategy Index Month 8 2.34 1/2009
Stock Index Trader Index Month 10 2.34 1/2009
Option Strategy Index Month 8 -6.40 10/2008
Option Strategy Index Month 7 -14.10 9/2008
Option Strategy Index Month 10 0.01 8/2008
Option Strategy Index Month 10 0.24 7/2008
Option Strategy Index Month 9 1.89 6/2008
Stock Index Trader Index Month 7 1.89 6/2008
Stock Index Trader Index Month 8 3.00 5/2008
Option Strategy Index Month 8 3.00 5/2008
Option Strategy Index Month 7 2.30 4/2008
Stock Index Trader Index Month 10 2.30 4/2008
Discretionary Trader Index Month 10 2.04 3/2008
Option Strategy Index Month 8 2.04 3/2008
Stock Index Trader Index Month 8 2.04 3/2008
Option Strategy Index Month 9 1.12 2/2008
Stock Index Trader Index Month 8 -5.15 1/2008
Option Strategy Index Month 2 -5.15 1/2008
Stock Index Trader Index Month 9 1.79 12/2007
Option Strategy Index Month 9 1.79 12/2007
Option Strategy Index Month 4 5.57 11/2007
Discretionary Trader Index Month 5 5.57 11/2007
Stock Index Trader Index Month 5 5.57 11/2007
Stock Index Trader Index Month 5 3.96 10/2007
Option Strategy Index Month 5 3.96 10/2007
Stock Index Trader Index Month 7 3.11 9/2007
Option Strategy Index Month 7 3.11 9/2007
Stock Index Trader Index Month 6 5.02 8/2007
Discretionary Trader Index Month 6 5.02 8/2007
Option Strategy Index Month 3 5.02 8/2007
Option Strategy Index Month 6 -5.63 7/2007
Stock Index Trader Index Month 7 4.17 6/2007
Option Strategy Index Month 4 4.17 6/2007
Discretionary Trader Index Month 10 4.17 6/2007
Option Strategy Index Month 2 1.72 5/2007

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