Warrington Strategic UCITS

Investment Objective

Warrington trades options on the S&P 500 futures contract primarily using spread strategies. This discretionary, short-term approach incorporates both fundamental and technical analysis to form a market opinion. Warrington uses a combination of options, primarily ratio put and call spreads to express short-term market views, generally looking forward 3-4 weeks.

Latest Meeting Note

Meeting 04 May 2020

Warrington is a discretionary macro volatility manager that trades options on the S&P 500 futures primarily using spread strategies. The firm runs about $435 million at the strategy level, with the UCITS fund launched in January 2019... Read more

Warrington is a discretionary macro volatility manager that trades options on the S&P 500 futures primarily using spread strategies. The firm runs about $435 million at the strategy level, with the UCITS fund launched in January 2019 on the MontLake platform. The portfolio manager and founding partner, Scott C. Kimple, has been traded continuously the strategy for the last two decades (with only 2 negative calendar years).  The approach combines both fundamental and technical inputs (e.g. market breadth, positioning, etc) to express short-term market views (generally looking forward 3-4 weeks) which are executed via a combination of options, primarily using put and call spreads (delta neutral at the inception). The long leg of the spread is typically set ATM while the short leg is OTM. When the market moves in favour or against the predicted S&P range, the manager starts trading around positions (monetising, closing or rolling in case of high conviction). It is a highly disciplined investment process with an established trading plan that benefits from rising market volatility (Vix between 17-22 is optimal). In very high volatility regimes the manager tends to be risk neutral/cash.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 0.8 0.1 0.4 0.2 0.4 0.7 0.8 0.6 0.5 0.2 0.9 0.2 0.7
2018 0.5 0.6 0.9 0.6 0.3 0.1 0.0 0.6 0.0 0.7 0.5 0.8 0.7

or Register for Free

  • Access the full universe of UCITS Hedge Funds and Absolute Return Funds.
  • Build and curate a watchlist.
  • View the latest research.
Close Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.