Warrington Asset Management, LLC

Tactical Program


Monthly Performance (%)

Date Range: 04/12 - 10/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 -0.11 0.10 0.01 0.47 0.46 -0.24 0.38 0.35 -1.03 0.31   0.69 
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 
2018 0.55 0.73 -0.16 0.39 0.38 0.35 1.16 0.63 1.00 2.38 0.24 -0.06  7.83 
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 
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 
2015 1.69 2.05 -0.78 0.46 0.74 0.80 0.51 -0.06 -1.22 0.62 1.12 1.45  7.58 
2014 1.52 2.50 2.23 1.62 1.34 1.48 1.83 0.89 1.15 -4.12 1.54 1.91  14.62 
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 
2012 -0.12 0.74 0.21 0.09 -0.13 0.39 0.05 0.38  1.62 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

Warrington Asset Management's Tactical trading program builds on the firm’s twenty 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.

Performance Statistics

Date Range: 04/12 - 10/20
  Program S&P 500 Coquest 40 
Total Return 79.65% 177.28% 6.46% 
Annualized Return 7.14% 12.62% 0.73% 
Annualized Std. Deviation 2.85% 12.98% 8.14% 
Correlation 0.12 0.00 
Sharpe Ratio (rf=2.5%) 1.63 0.78 -0.22 
Worst Month -4.12% -12.35% -6.10% 
Date of Worst Month 10/2014 03/2020 02/2018 
Worst Drawdown -4.12% -19.60% -13.63% 
Date of Worst Drawdown 9/14 - 10/14 12/19 - 3/20 3/15 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 04/12 - 10/20
Year or YTD Program S&P 500 Coquest 40 
2020 0.69 2.77 -3.54 
2019 4.59 31.50 7.53 
2018 7.83 -4.38 -4.29 
2017 7.63 21.84 1.24 
2016 6.04 11.98 -3.13 
2015 7.58 1.41 0.09 
2014 14.62 13.69 15.75 
2013 10.63 32.41 -2.45 
2012 1.62 3.67 -3.82 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 04/12 - 10/20
Date: 10/31/2020
Perf: $1,058.29 Date: 9/30/2020
Perf: $1,061.69 Date: 8/31/2020
Perf: $1,077.42 Date: 7/31/2020
Perf: $1,089.73 Date: 6/30/2020
Perf: $1,069.31 Date: 5/31/2020
Perf: $1,083.18 Date: 4/30/2020
Perf: $1,096.00 Date: 3/31/2020
Perf: $1,092.39 Date: 2/29/2020
Perf: $1,091.74 Date: 1/31/2020
Perf: $1,108.25 Date: 12/31/2019
Perf: $1,097.17 Date: 11/30/2019
Perf: $1,104.02 Date: 10/31/2019
Perf: $1,093.30 Date: 9/30/2019
Perf: $1,118.01 Date: 8/31/2019
Perf: $1,149.86 Date: 7/31/2019
Perf: $1,109.69 Date: 6/30/2019
Perf: $1,073.10 Date: 5/31/2019
Perf: $1,052.06 Date: 4/30/2019
Perf: $1,073.09 Date: 3/31/2019
Perf: $1,044.37 Date: 2/28/2019
Perf: $1,008.17 Date: 1/31/2019
Perf: $1,001.76 Date: 12/31/2018
Perf: $1,020.33 Date: 11/30/2018
Perf: $1,016.07 Date: 10/31/2018
Perf: $1,028.41 Date: 9/30/2018
Perf: $1,054.45 Date: 8/31/2018
Perf: $1,059.22 Date: 7/31/2018
Perf: $1,032.88 Date: 6/30/2018
Perf: $1,040.68 Date: 5/31/2018
Perf: $1,032.02 Date: 4/30/2018
Perf: $1,045.50 Date: 3/31/2018
Perf: $1,034.33 Date: 2/28/2018
Perf: $1,035.26 Date: 1/31/2018
Perf: $1,102.52 Date: 12/31/2017
Perf: $1,066.06 Date: 11/30/2017
Perf: $1,054.56 Date: 10/31/2017
Perf: $1,053.19 Date: 9/30/2017
Perf: $1,010.84 Date: 8/31/2017
Perf: $1,032.63 Date: 7/31/2017
Perf: $1,015.77 Date: 6/30/2017
Perf: $1,011.82 Date: 5/31/2017
Perf: $1,042.25 Date: 4/30/2017
Perf: $1,040.28 Date: 3/31/2017
Perf: $1,046.56 Date: 2/28/2017
Perf: $1,062.06 Date: 1/31/2017
Perf: $1,039.40 Date: 12/31/2016
Perf: $1,052.99 Date: 11/30/2016
Perf: $1,045.05 Date: 10/31/2016
Perf: $1,056.67 Date: 9/30/2016
Perf: $1,084.65 Date: 8/31/2016
Perf: $1,098.83 Date: 7/31/2016
Perf: $1,129.20 Date: 6/30/2016
Perf: $1,117.80 Date: 5/31/2016
Perf: $1,072.23 Date: 4/30/2016
Perf: $1,091.33 Date: 3/31/2016
Perf: $1,119.43 Date: 2/29/2016
Perf: $1,152.50 Date: 1/31/2016
Perf: $1,124.83 Date: 12/31/2015
Perf: $1,087.01 Date: 11/30/2015
Perf: $1,112.60 Date: 10/31/2015
Perf: $1,075.91 Date: 9/30/2015
Perf: $1,094.96 Date: 8/31/2015
Perf: $1,071.70 Date: 7/31/2015
Perf: $1,090.57 Date: 6/30/2015
Perf: $1,049.53 Date: 5/31/2015
Perf: $1,107.10 Date: 4/30/2015
Perf: $1,115.13 Date: 3/31/2015
Perf: $1,159.90 Date: 2/28/2015
Perf: $1,134.82 Date: 1/31/2015
Perf: $1,136.64 Date: 12/31/2014
Perf: $1,086.03 Date: 11/30/2014
Perf: $1,067.25 Date: 10/31/2014
Perf: $1,007.32 Date: 9/30/2014
Perf: $992.72 Date: 8/31/2014
Perf: $978.15 Date: 7/31/2014
Perf: $938.45 Date: 6/30/2014
Perf: $946.02 Date: 5/31/2014
Perf: $937.95 Date: 4/30/2014
Perf: $914.54 Date: 3/31/2014
Perf: $907.64 Date: 2/28/2014
Perf: $921.28 Date: 1/31/2014
Perf: $913.78 Date: 12/31/2013
Perf: $938.27 Date: 11/30/2013
Perf: $939.59 Date: 10/31/2013
Perf: $922.88 Date: 9/30/2013
Perf: $902.22 Date: 8/31/2013
Perf: $907.67 Date: 7/31/2013
Perf: $925.44 Date: 6/30/2013
Perf: $933.56 Date: 5/31/2013
Perf: $970.34 Date: 4/30/2013
Perf: $1,013.94 Date: 3/31/2013
Perf: $988.43 Date: 2/28/2013
Perf: $974.40 Date: 1/31/2013
Perf: $980.09 Date: 12/31/2012
Perf: $961.81 Date: 11/30/2012
Perf: $957.12 Date: 10/31/2012
Perf: $954.45 Date: 9/30/2012
Perf: $990.30 Date: 8/31/2012
Perf: $1,006.91 Date: 7/31/2012
Perf: $1,020.80 Date: 6/30/2012
Perf: $980.69 Date: 5/31/2012
Perf: $1,019.00 Date: 4/30/2012
Perf: $1,000.00 Date: 10/31/2020
Perf: $2,790.37 Date: 9/30/2020
Perf: $2,866.63 Date: 8/31/2020
Perf: $2,979.86 Date: 7/31/2020
Perf: $2,779.98 Date: 6/30/2020
Perf: $2,631.56 Date: 5/31/2020
Perf: $2,580.21 Date: 4/30/2020
Perf: $2,462.98 Date: 3/31/2020
Perf: $2,183.10 Date: 2/29/2020
Perf: $2,490.70 Date: 1/31/2020
Perf: $2,714.07 Date: 12/31/2019
Perf: $2,715.16 Date: 11/30/2019
Perf: $2,635.56 Date: 10/31/2019
Perf: $2,543.24 Date: 9/30/2019
Perf: $2,489.23 Date: 8/31/2019
Perf: $2,443.53 Date: 7/31/2019
Perf: $2,482.76 Date: 6/30/2019
Perf: $2,447.52 Date: 5/31/2019
Perf: $2,286.33 Date: 4/30/2019
Perf: $2,441.36 Date: 3/31/2019
Perf: $2,346.33 Date: 2/28/2019
Perf: $2,301.68 Date: 1/31/2019
Perf: $2,230.09 Date: 12/31/2018
Perf: $2,064.71 Date: 11/30/2018
Perf: $2,269.66 Date: 10/31/2018
Perf: $2,224.28 Date: 9/30/2018
Perf: $2,387.60 Date: 8/31/2018
Perf: $2,374.06 Date: 7/31/2018
Perf: $2,299.11 Date: 6/30/2018
Perf: $2,216.65 Date: 5/31/2018
Perf: $2,202.99 Date: 4/30/2018
Perf: $2,151.15 Date: 3/31/2018
Perf: $2,143.01 Date: 2/28/2018
Perf: $2,198.86 Date: 1/31/2018
Perf: $2,283.11 Date: 12/31/2017
Perf: $2,159.37 Date: 11/30/2017
Perf: $2,135.67 Date: 10/31/2017
Perf: $2,072.06 Date: 9/30/2017
Perf: $2,024.88 Date: 8/31/2017
Perf: $1,984.01 Date: 7/31/2017
Perf: $1,977.87 Date: 6/30/2017
Perf: $1,937.95 Date: 5/31/2017
Perf: $1,926.01 Date: 4/30/2017
Perf: $1,899.23 Date: 3/31/2017
Perf: $1,879.87 Date: 2/28/2017
Perf: $1,877.62 Date: 1/31/2017
Perf: $1,805.92 Date: 12/31/2016
Perf: $1,772.25 Date: 11/30/2016
Perf: $1,737.84 Date: 10/31/2016
Perf: $1,675.83 Date: 9/30/2016
Perf: $1,706.90 Date: 8/31/2016
Perf: $1,706.56 Date: 7/31/2016
Perf: $1,704.17 Date: 6/30/2016
Perf: $1,643.53 Date: 5/31/2016
Perf: $1,639.26 Date: 4/30/2016
Perf: $1,610.28 Date: 3/31/2016
Perf: $1,604.02 Date: 2/29/2016
Perf: $1,502.18 Date: 1/31/2016
Perf: $1,504.13 Date: 12/31/2015
Perf: $1,582.63 Date: 11/30/2015
Perf: $1,608.04 Date: 10/31/2015
Perf: $1,603.23 Date: 9/30/2015
Perf: $1,478.45 Date: 8/31/2015
Perf: $1,515.89 Date: 7/31/2015
Perf: $1,613.16 Date: 6/30/2015
Perf: $1,579.98 Date: 5/31/2015
Perf: $1,611.24 Date: 4/30/2015
Perf: $1,590.72 Date: 3/31/2015
Perf: $1,575.59 Date: 2/28/2015
Perf: $1,600.89 Date: 1/31/2015
Perf: $1,513.84 Date: 12/31/2014
Perf: $1,560.66 Date: 11/30/2014
Perf: $1,564.57 Date: 10/31/2014
Perf: $1,523.59 Date: 9/30/2014
Perf: $1,487.30 Date: 8/31/2014
Perf: $1,508.42 Date: 7/31/2014
Perf: $1,450.40 Date: 6/30/2014
Perf: $1,470.70 Date: 5/31/2014
Perf: $1,440.87 Date: 4/30/2014
Perf: $1,407.79 Date: 3/31/2014
Perf: $1,397.45 Date: 2/28/2014
Perf: $1,385.81 Date: 1/31/2014
Perf: $1,325.24 Date: 12/31/2013
Perf: $1,372.74 Date: 11/30/2013
Perf: $1,338.87 Date: 10/31/2013
Perf: $1,299.24 Date: 9/30/2013
Perf: $1,242.10 Date: 8/31/2013
Perf: $1,204.29 Date: 7/31/2013
Perf: $1,240.25 Date: 6/30/2013
Perf: $1,180.18 Date: 5/31/2013
Perf: $1,196.21 Date: 4/30/2013
Perf: $1,168.86 Date: 3/31/2013
Perf: $1,146.73 Date: 2/28/2013
Perf: $1,105.28 Date: 1/31/2013
Perf: $1,090.45 Date: 12/31/2012
Perf: $1,036.75 Date: 11/30/2012
Perf: $1,027.40 Date: 10/31/2012
Perf: $1,021.47 Date: 9/30/2012
Perf: $1,040.73 Date: 8/31/2012
Perf: $1,014.55 Date: 7/31/2012
Perf: $992.23 Date: 6/30/2012
Perf: $978.62 Date: 5/31/2012
Perf: $939.90 Date: 4/30/2012
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,796.54 Date: 9/30/2020
Perf: $1,790.99 Date: 8/31/2020
Perf: $1,809.62 Date: 7/31/2020
Perf: $1,803.31 Date: 6/30/2020
Perf: $1,796.49 Date: 5/31/2020
Perf: $1,800.81 Date: 4/30/2020
Perf: $1,792.56 Date: 3/31/2020
Perf: $1,784.18 Date: 2/29/2020
Perf: $1,784.00 Date: 1/31/2020
Perf: $1,782.22 Date: 12/31/2019
Perf: $1,784.18 Date: 11/30/2019
Perf: $1,777.25 Date: 10/31/2019
Perf: $1,769.29 Date: 9/30/2019
Perf: $1,768.40 Date: 8/31/2019
Perf: $1,760.83 Date: 7/31/2019
Perf: $1,763.83 Date: 6/30/2019
Perf: $1,750.70 Date: 5/31/2019
Perf: $1,738.01 Date: 4/30/2019
Perf: $1,738.36 Date: 3/31/2019
Perf: $1,728.68 Date: 2/28/2019
Perf: $1,719.91 Date: 1/31/2019
Perf: $1,713.22 Date: 12/31/2018
Perf: $1,705.89 Date: 11/30/2018
Perf: $1,706.91 Date: 10/31/2018
Perf: $1,702.83 Date: 9/30/2018
Perf: $1,663.24 Date: 8/31/2018
Perf: $1,646.77 Date: 7/31/2018
Perf: $1,636.46 Date: 6/30/2018
Perf: $1,617.70 Date: 5/31/2018
Perf: $1,612.06 Date: 4/30/2018
Perf: $1,605.95 Date: 3/31/2018
Perf: $1,599.72 Date: 2/28/2018
Perf: $1,602.28 Date: 1/31/2018
Perf: $1,590.67 Date: 12/31/2017
Perf: $1,581.97 Date: 11/30/2017
Perf: $1,584.98 Date: 10/31/2017
Perf: $1,586.56 Date: 9/30/2017
Perf: $1,572.10 Date: 8/31/2017
Perf: $1,561.02 Date: 7/31/2017
Perf: $1,553.87 Date: 6/30/2017
Perf: $1,544.91 Date: 5/31/2017
Perf: $1,535.70 Date: 4/30/2017
Perf: $1,523.05 Date: 3/31/2017
Perf: $1,507.08 Date: 2/28/2017
Perf: $1,492.16 Date: 1/31/2017
Perf: $1,481.34 Date: 12/31/2016
Perf: $1,469.88 Date: 11/30/2016
Perf: $1,456.48 Date: 10/31/2016
Perf: $1,451.25 Date: 9/30/2016
Perf: $1,450.24 Date: 8/31/2016
Perf: $1,442.74 Date: 7/31/2016
Perf: $1,436.27 Date: 6/30/2016
Perf: $1,424.31 Date: 5/31/2016
Perf: $1,416.38 Date: 4/30/2016
Perf: $1,413.41 Date: 3/31/2016
Perf: $1,408.90 Date: 2/29/2016
Perf: $1,396.61 Date: 1/31/2016
Perf: $1,385.53 Date: 12/31/2015
Perf: $1,386.22 Date: 11/30/2015
Perf: $1,366.41 Date: 10/31/2015
Perf: $1,351.27 Date: 9/30/2015
Perf: $1,342.95 Date: 8/31/2015
Perf: $1,359.53 Date: 7/31/2015
Perf: $1,360.35 Date: 6/30/2015
Perf: $1,353.45 Date: 5/31/2015
Perf: $1,342.70 Date: 4/30/2015
Perf: $1,332.84 Date: 3/31/2015
Perf: $1,326.74 Date: 2/28/2015
Perf: $1,337.17 Date: 1/31/2015
Perf: $1,310.31 Date: 12/31/2014
Perf: $1,288.53 Date: 11/30/2014
Perf: $1,264.38 Date: 10/31/2014
Perf: $1,245.21 Date: 9/30/2014
Perf: $1,298.71 Date: 8/31/2014
Perf: $1,283.95 Date: 7/31/2014
Perf: $1,272.62 Date: 6/30/2014
Perf: $1,249.75 Date: 5/31/2014
Perf: $1,231.52 Date: 4/30/2014
Perf: $1,215.24 Date: 3/31/2014
Perf: $1,195.87 Date: 2/28/2014
Perf: $1,169.78 Date: 1/31/2014
Perf: $1,141.25 Date: 12/31/2013
Perf: $1,124.16 Date: 11/30/2013
Perf: $1,096.21 Date: 10/31/2013
Perf: $1,082.89 Date: 9/30/2013
Perf: $1,065.21 Date: 8/31/2013
Perf: $1,063.82 Date: 7/31/2013
Perf: $1,051.94 Date: 6/30/2013
Perf: $1,045.14 Date: 5/31/2013
Perf: $1,040.46 Date: 4/30/2013
Perf: $1,036.63 Date: 3/31/2013
Perf: $1,029.22 Date: 2/28/2013
Perf: $1,020.14 Date: 1/31/2013
Perf: $1,014.35 Date: 12/31/2012
Perf: $1,016.18 Date: 11/30/2012
Perf: $1,012.34 Date: 10/31/2012
Perf: $1,011.83 Date: 9/30/2012
Perf: $1,007.90 Date: 8/31/2012
Perf: $1,009.21 Date: 7/31/2012
Perf: $1,008.30 Date: 6/30/2012
Perf: $1,006.19 Date: 5/31/2012
Perf: $998.80 Date: 4/30/2012
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 04/12 - 10/20
Date: 10/31/2020
Return: 0.31 % Date: 9/30/2020
Return: -1.03 % Date: 8/31/2020
Return: 0.35 % Date: 7/31/2020
Return: 0.38 % Date: 6/30/2020
Return: -0.24 % Date: 5/31/2020
Return: 0.46 % Date: 4/30/2020
Return: 0.47 % Date: 3/31/2020
Return: 0.01 % Date: 2/29/2020
Return: 0.10 % Date: 1/31/2020
Return: -0.11 % Date: 12/31/2019
Return: 0.39 % Date: 11/30/2019
Return: 0.45 % Date: 10/31/2019
Return: 0.05 % Date: 9/30/2019
Return: 0.43 % Date: 8/31/2019
Return: -0.17 % Date: 7/31/2019
Return: 0.75 % Date: 6/30/2019
Return: 0.73 % Date: 5/31/2019
Return: -0.02 % Date: 4/30/2019
Return: 0.56 % Date: 3/31/2019
Return: 0.51 % Date: 2/28/2019
Return: 0.39 % Date: 1/31/2019
Return: 0.43 % Date: 12/31/2018
Return: -0.06 % Date: 11/30/2018
Return: 0.24 % Date: 10/31/2018
Return: 2.38 % Date: 9/30/2018
Return: 1.00 % Date: 8/31/2018
Return: 0.63 % Date: 7/31/2018
Return: 1.16 % Date: 6/30/2018
Return: 0.35 % Date: 5/31/2018
Return: 0.38 % Date: 4/30/2018
Return: 0.39 % Date: 3/31/2018
Return: -0.16 % Date: 2/28/2018
Return: 0.73 % Date: 1/31/2018
Return: 0.55 % Date: 12/31/2017
Return: -0.19 % Date: 11/30/2017
Return: -0.10 % Date: 10/31/2017
Return: 0.92 % Date: 9/30/2017
Return: 0.71 % Date: 8/31/2017
Return: 0.46 % Date: 7/31/2017
Return: 0.58 % Date: 6/30/2017
Return: 0.60 % Date: 5/31/2017
Return: 0.83 % Date: 4/30/2017
Return: 1.06 % Date: 3/31/2017
Return: 1.00 % Date: 2/28/2017
Return: 0.73 % Date: 1/31/2017
Return: 0.78 % Date: 12/31/2016
Return: 0.92 % Date: 11/30/2016
Return: 0.36 % Date: 10/31/2016
Return: 0.07 % Date: 9/30/2016
Return: 0.52 % Date: 8/31/2016
Return: 0.45 % Date: 7/31/2016
Return: 0.84 % Date: 6/30/2016
Return: 0.56 % Date: 5/31/2016
Return: 0.21 % Date: 4/30/2016
Return: 0.32 % Date: 3/31/2016
Return: 0.88 % Date: 2/29/2016
Return: 0.80 % Date: 1/31/2016
Return: -0.05 % Date: 12/31/2015
Return: 1.45 % Date: 11/30/2015
Return: 1.12 % Date: 10/31/2015
Return: 0.62 % Date: 9/30/2015
Return: -1.22 % Date: 8/31/2015
Return: -0.06 % Date: 7/31/2015
Return: 0.51 % Date: 6/30/2015
Return: 0.80 % Date: 5/31/2015
Return: 0.74 % Date: 4/30/2015
Return: 0.46 % Date: 3/31/2015
Return: -0.78 % Date: 2/28/2015
Return: 2.05 % Date: 1/31/2015
Return: 1.69 % Date: 12/31/2014
Return: 1.91 % Date: 11/30/2014
Return: 1.54 % Date: 10/31/2014
Return: -4.12 % Date: 9/30/2014
Return: 1.15 % Date: 8/31/2014
Return: 0.89 % Date: 7/31/2014
Return: 1.83 % Date: 6/30/2014
Return: 1.48 % Date: 5/31/2014
Return: 1.34 % Date: 4/30/2014
Return: 1.62 % Date: 3/31/2014
Return: 2.23 % Date: 2/28/2014
Return: 2.50 % Date: 1/31/2014
Return: 1.52 % Date: 12/31/2013
Return: 2.55 % Date: 11/30/2013
Return: 1.23 % Date: 10/31/2013
Return: 1.66 % Date: 9/30/2013
Return: 0.13 % Date: 8/31/2013
Return: 1.13 % Date: 7/31/2013
Return: 0.65 % Date: 6/30/2013
Return: 0.45 % Date: 5/31/2013
Return: 0.37 % Date: 4/30/2013
Return: 0.72 % Date: 3/31/2013
Return: 0.89 % Date: 2/28/2013
Return: 0.57 % Date: 1/31/2013
Return: -0.18 % Date: 12/31/2012
Return: 0.38 % Date: 11/30/2012
Return: 0.05 % Date: 10/31/2012
Return: 0.39 % Date: 9/30/2012
Return: -0.13 % Date: 8/31/2012
Return: 0.09 % Date: 7/31/2012
Return: 0.21 % Date: 6/30/2012
Return: 0.74 % Date: 5/31/2012
Return: -0.12 % Date: 4/30/2012
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 04/12 - 10/20
Return: -1.00 %
Count: 3 Return: -4.00 %
Count: 1 Return: 3.00 %
Count: 1 Return: 2.00 %
Count: 11 Return: 1.00 %
Count: 41 Return: 0.00 %
Count: 46

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 04/12 - 10/20
Date: 10/31/2020
Drawdown: -0.72 % Date: 9/30/2020
Drawdown: -1.03 % Date: 8/31/2020
Drawdown: 0.00 % Date: 7/31/2020
Drawdown: 0.00 % Date: 6/30/2020
Drawdown: -0.24 % Date: 5/31/2020
Drawdown: 0.00 % Date: 4/30/2020
Drawdown: 0.00 % Date: 3/31/2020
Drawdown: 0.00 % Date: 2/29/2020
Drawdown: -0.01 % Date: 1/31/2020
Drawdown: -0.11 % Date: 12/31/2019
Drawdown: 0.00 % Date: 11/30/2019
Drawdown: 0.00 % Date: 10/31/2019
Drawdown: 0.00 % Date: 9/30/2019
Drawdown: 0.00 % Date: 8/31/2019
Drawdown: -0.17 % Date: 7/31/2019
Drawdown: 0.00 % Date: 6/30/2019
Drawdown: 0.00 % Date: 5/31/2019
Drawdown: -0.02 % Date: 4/30/2019
Drawdown: 0.00 % Date: 3/31/2019
Drawdown: 0.00 % Date: 2/28/2019
Drawdown: 0.00 % Date: 1/31/2019
Drawdown: 0.00 % Date: 12/31/2018
Drawdown: -0.06 % Date: 11/30/2018
Drawdown: 0.00 % Date: 10/31/2018
Drawdown: 0.00 % Date: 9/30/2018
Drawdown: 0.00 % Date: 8/31/2018
Drawdown: 0.00 % Date: 7/31/2018
Drawdown: 0.00 % Date: 6/30/2018
Drawdown: 0.00 % Date: 5/31/2018
Drawdown: 0.00 % Date: 4/30/2018
Drawdown: 0.00 % Date: 3/31/2018
Drawdown: -0.16 % Date: 2/28/2018
Drawdown: 0.00 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: -0.29 % Date: 11/30/2017
Drawdown: -0.10 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: 0.00 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: 0.00 % Date: 5/31/2017
Drawdown: 0.00 % Date: 4/30/2017
Drawdown: 0.00 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: 0.00 % Date: 1/31/2017
Drawdown: 0.00 % Date: 12/31/2016
Drawdown: 0.00 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: 0.00 % Date: 9/30/2016
Drawdown: 0.00 % Date: 8/31/2016
Drawdown: 0.00 % Date: 7/31/2016
Drawdown: 0.00 % Date: 6/30/2016
Drawdown: 0.00 % Date: 5/31/2016
Drawdown: 0.00 % Date: 4/30/2016
Drawdown: 0.00 % Date: 3/31/2016
Drawdown: 0.00 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: -0.05 % Date: 12/31/2015
Drawdown: 0.00 % Date: 11/30/2015
Drawdown: 0.00 % Date: 10/31/2015
Drawdown: -0.67 % Date: 9/30/2015
Drawdown: -1.28 % Date: 8/31/2015
Drawdown: -0.06 % Date: 7/31/2015
Drawdown: 0.00 % Date: 6/30/2015
Drawdown: 0.00 % Date: 5/31/2015
Drawdown: 0.00 % Date: 4/30/2015
Drawdown: -0.32 % Date: 3/31/2015
Drawdown: -0.78 % Date: 2/28/2015
Drawdown: 0.00 % Date: 1/31/2015
Drawdown: 0.00 % Date: 12/31/2014
Drawdown: -0.78 % Date: 11/30/2014
Drawdown: -2.64 % Date: 10/31/2014
Drawdown: -4.12 % Date: 9/30/2014
Drawdown: 0.00 % Date: 8/31/2014
Drawdown: 0.00 % Date: 7/31/2014
Drawdown: 0.00 % Date: 6/30/2014
Drawdown: 0.00 % Date: 5/31/2014
Drawdown: 0.00 % Date: 4/30/2014
Drawdown: 0.00 % Date: 3/31/2014
Drawdown: 0.00 % Date: 2/28/2014
Drawdown: 0.00 % Date: 1/31/2014
Drawdown: 0.00 % Date: 12/31/2013
Drawdown: 0.00 % Date: 11/30/2013
Drawdown: 0.00 % Date: 10/31/2013
Drawdown: 0.00 % Date: 9/30/2013
Drawdown: 0.00 % Date: 8/31/2013
Drawdown: 0.00 % Date: 7/31/2013
Drawdown: 0.00 % Date: 6/30/2013
Drawdown: 0.00 % Date: 5/31/2013
Drawdown: 0.00 % Date: 4/30/2013
Drawdown: 0.00 % Date: 3/31/2013
Drawdown: 0.00 % Date: 2/28/2013
Drawdown: 0.00 % Date: 1/31/2013
Drawdown: -0.18 % Date: 12/31/2012
Drawdown: 0.00 % Date: 11/30/2012
Drawdown: 0.00 % Date: 10/31/2012
Drawdown: 0.00 % Date: 9/30/2012
Drawdown: -0.13 % Date: 8/31/2012
Drawdown: 0.00 % Date: 7/31/2012
Drawdown: 0.00 % Date: 6/30/2012
Drawdown: 0.00 % Date: 5/31/2012
Drawdown: -0.12 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Warrington Asset Management, LLC
Address: 200 Crescent Court, Suite 520
City: Dallas
State: TX
Zip: 75201
Country: United States

Key People

Name:  Scott C. Kimple
Position:  Portfolio Manager
Biography: 

Scott C. Kimple is the Founder, Principal and Portfolio Manager for Warrington Asset Management. Mr. Kimple began trading stock and bond positions for his personal account in January 1984, and commodity futures and options in July 1989. In April 1991, Mr. Kimple formally began his career as a trading assistant to a highly successful trader at Shearson Lehman (a predecessor firm to Morgan Stanley Wealth Management), gaining experience in multiple futures and options markets. While working for this renowned options trader and innovator, Mr. Kimple researched, tested and honed his options-based trading strategy which he has utilized at Warrington since 1997. Mr. Kimple received a BBA in finance from Southern Methodist University and a MBA, with emphasis in finance and derivative securities, from SMU’s Cox School of Business.


Name:  Mark Adams
Position:  Portfolio Manager
Biography: 

Mark Adams is the Assistant Portfolio Manager and Chief Quantitative Analyst for Warrington Asset Management. He started with the firm in 2002 working as an intern for Scott Kimple, Warrington’s founder and PM. Mr. Adams primary responsibilities include trade formulation and analysis. Prior to joining Warrington, Mr. Adams was in the Management Analyst Program at the Federal Reserve Bank in St. Louis. He graduated from Washington University in St. Louis where he received a BBA with a triple major in Finance, Management and International Business. He also received an MBA from Southern Methodist University’s Cox School of Business.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Investment Methodology
 Fundamental Analysis Yes 
 Discretionary Yes 
 Sector Specialist Yes 
 Instruments Traded
 Listed Options Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $500,000 
 Margin / Equity Ratio:  
 Managed Account Availability: Open 
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