White River Group : Diversified Option Writing Strategy

Year-to-Date
2.84%
Apr Performance
-0.61%
Min Investment
$ 20k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.72%
Sharpe (RFR=1%)
0.16
CAROR
1.54%
Assets
$ 649k
Worst DD
-67.88
S&P Correlation
0.15

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
11/2008
Diversified Option Writing Strategy -0.61 0.31 2.84 4.90 14.84 -51.55 -9.65 17.40
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 225.31
+/- S&P 500 -4.54 -8.63 -14.67 -6.35 -26.36 -106.34 -243.69 -207.92

Strategy Description

Summary

This Program engages primarily on the "selling" or "writing" of options (puts and calls) on futures contracts in a diversified market portfolio. Currently, the targeted markets are: Crude Oil, Corn, Treasury Bonds, Euro Currencies and Gold. However in the future, WhiteRiverGroup (WRG)... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 20k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Redemption Frequency
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
9000 RT/YR/$M
Avg. Margin-to-Equity
60%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Energy
30.00%
Precious Metals
25.00%
Interest Rates
25.00%
Currency Futures
20.00%
Composition Pie Chart

Summary

This Program engages primarily on the "selling" or "writing" of options (puts and calls) on futures contracts in a diversified market portfolio. Currently, the targeted markets are: Crude Oil, Corn, Treasury Bonds, Euro Currencies and Gold. However in the future, WhiteRiverGroup (WRG) may also trade a broader portfolio of commodity markets. On some occasions, the Diversified Option Writing Strategy program may also trade commodity futures outright. Many times the futures position will be initiated through the assignment or delivery of the underlying commodity futures of an option. For instance, if WhiteRiverGroup thinks that Gold futures prices are overbought and will decrease in value, WRG may choose to sell a call option on the gold futures contract with a strike price relatively close to the current gold futures price. If the gold option expires in-the-money, the underlying futures contract will be delivered and a short futures position will be held by the WRG client.

Investment Strategy

The Advisor’s trading strategy is discretionary. Although technical analysis goes into defining trading strategy, it is not the sole defining factor. Fundamental factors, including inflation view and economic indicators, are also taken into account. Due to the volatile nature of futures contracts, the Advisor intends to adhere to strict money management principles to increase the opportunity for long-term success of each trading program.

Risk Management

Position exposure and the potential percentage loss that a client’s portfolio may incur in unfavorable market moves are continuously monitored. The Advisor reserves the right to modify the investment process as market conditions require.The Advisor reserves the right to maintain significant amounts in cash, particularly when the Advisor believes a client account should follow a temporary defensive posture, or when the Advisor determines that opportunities for investing are unattractive.

   

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
-67.88 39 - 3/1/2013 6/1/2016
-15.08 1 3 7/1/2011 8/1/2011
-11.51 3 3 4/1/2012 7/1/2012
-11.23 1 4 4/1/2010 5/1/2010
-10.36 1 2 4/1/2011 5/1/2011
-6.25 2 2 12/1/2010 2/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
85.71 18 11/1/2008 4/1/2010
43.85 8 9/1/2011 4/1/2012
31.31 8 8/1/2012 3/1/2013
30.90 4 9/1/2013 12/1/2013
17.27 4 9/1/2010 12/1/2010
12.48 2 6/1/2011 7/1/2011
11.59 2 6/1/2010 7/1/2010
11.53 3 4/1/2014 6/1/2014
10.19 2 3/1/2011 4/1/2011
9.58 1 2/1/2014 2/1/2014
9.44 4 9/1/2015 12/1/2015
7.70 2 5/1/2013 6/1/2013
7.66 3 4/1/2015 6/1/2015
7.43 11 7/1/2016 5/1/2017
5.47 1 5/1/2016 5/1/2016
5.38 4 12/1/2018 3/1/2019
4.54 8 7/1/2017 2/1/2018
2.80 2 2/1/2016 3/1/2016
2.79 1 8/1/2014 8/1/2014
1.52 2 7/1/2018 8/1/2018
0.88 1 10/1/2018 10/1/2018
0.84 1 2/1/2015 2/1/2015
0.67 2 4/1/2018 5/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-59.92 5 9/1/2014 1/1/2015
-30.79 1 4/1/2013 4/1/2013
-20.81 2 7/1/2013 8/1/2013
-15.08 1 8/1/2011 8/1/2011
-11.51 3 5/1/2012 7/1/2012
-11.31 2 7/1/2015 8/1/2015
-11.23 1 5/1/2010 5/1/2010
-11.11 1 1/1/2016 1/1/2016
-10.36 1 5/1/2011 5/1/2011
-6.46 1 6/1/2016 6/1/2016
-6.25 2 1/1/2011 2/1/2011
-5.92 1 3/1/2014 3/1/2014
-3.61 1 4/1/2016 4/1/2016
-3.21 1 1/1/2014 1/1/2014
-1.57 1 3/1/2018 3/1/2018
-1.55 1 6/1/2018 6/1/2018
-1.54 1 8/1/2010 8/1/2010
-0.94 1 3/1/2015 3/1/2015
-0.61 1 4/1/2019 4/1/2019
-0.51 1 11/1/2018 11/1/2018
-0.32 1 9/1/2018 9/1/2018
-0.13 1 6/1/2017 6/1/2017
-0.03 1 7/1/2014 7/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods126.00124.00121.00115.00109.00103.0091.0079.0067.00
Percent Profitable74.6066.1365.2966.0956.8856.3149.4536.7117.91
Average Period Return0.411.312.443.283.093.420.80-8.54-21.90
Average Gain3.027.0811.3717.7325.4631.2347.3565.58101.50
Average Loss-7.26-9.97-14.35-24.90-26.42-32.42-44.74-51.53-48.82
Best Period15.1527.6539.7757.0585.7199.01129.54180.31127.71
Worst Period-43.89-56.31-59.59-61.78-62.32-64.63-66.63-65.72-64.54
Standard Deviation6.8512.4818.5226.5033.5741.3156.9567.4459.44
Gain Standard Deviation2.675.8010.0415.1921.7927.2941.8558.8320.65
Loss Standard Deviation9.3014.2819.2420.4621.2725.6622.0911.1810.44
Sharpe Ratio (1%)0.050.080.100.090.050.03-0.04-0.19-0.45
Average Gain / Average Loss0.420.710.790.710.960.961.061.272.08
Profit / Loss Ratio1.221.391.491.391.271.241.040.740.45
Downside Deviation (10%)6.0210.4814.9621.0426.3132.9045.8958.9769.90
Downside Deviation (5%)5.9110.1414.2119.1222.9628.2737.3545.0949.74
Downside Deviation (0%)5.8910.0514.0318.6722.1827.2135.4041.9345.21
Sortino Ratio (10%)0.000.010.00-0.08-0.17-0.21-0.33-0.51-0.71
Sortino Ratio (5%)0.050.100.140.120.070.05-0.06-0.28-0.54
Sortino Ratio (0%)0.070.130.170.180.140.130.02-0.20-0.48

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 6 5.46 9/2015
Discretionary Trader Index Month 9 5.46 9/2015
Option Strategy Index Month 8 1.88 6/2015
Option Strategy Index Month 10 1.52 5/2015
Diversified Trader Index Month 9 4.09 4/2015
Discretionary Trader Index Month 6 4.09 4/2015
Option Strategy Index Month 1 4.09 4/2015
Option Strategy Index Month 10 2.79 8/2014
Option Strategy Index Month 7 -0.03 7/2014
Discretionary Trader Index Month 6 5.50 6/2014
Option Strategy Index Month 3 5.50 6/2014
Option Strategy Index Month 3 5.62 5/2014
Discretionary Trader Index Month 9 5.62 5/2014
Discretionary Trader Index Month 4 9.58 2/2014
Option Strategy Index Month 1 9.58 2/2014
Option Strategy Index Month 3 5.59 11/2013
Discretionary Trader Index Month 7 5.59 11/2013
Discretionary Trader Index Month 7 4.99 10/2013
Option Strategy Index Month 3 4.99 10/2013
Option Strategy Index Month 1 15.15 9/2013
Discretionary Trader Index Month 2 15.15 9/2013
Diversified Trader Index Month 2 15.15 9/2013
IASG CTA Index Month 3 15.15 9/2013
Option Strategy Index Month 5 4.94 6/2013
Discretionary Trader Index Month 9 4.94 6/2013
Option Strategy Index Month 3 2.63 5/2013
Option Strategy Index Month 5 2.14 2/2013
Option Strategy Index Month 3 2.56 1/2013
Option Strategy Index Month 1 2.67 12/2012
Discretionary Trader Index Month 5 2.67 12/2012
Discretionary Trader Index Month 5 5.08 11/2012
Option Strategy Index Month 4 5.08 11/2012
Option Strategy Index Month 7 3.54 10/2012
Discretionary Trader Index Month 4 4.12 9/2012
Option Strategy Index Month 3 4.12 9/2012
Diversified Trader Index Month 10 4.12 9/2012
IASG CTA Index Month 10 7.52 8/2012
Diversified Trader Index Month 4 7.52 8/2012
Option Strategy Index Month 2 7.52 8/2012
Discretionary Trader Index Month 7 7.52 8/2012
Option Strategy Index Month 10 2.25 3/2012
Option Strategy Index Month 5 4.11 2/2012
Option Strategy Index Month 3 5.77 1/2012
Discretionary Trader Index Month 6 7.80 11/2011
Option Strategy Index Month 4 7.80 11/2011
Diversified Trader Index Month 7 7.80 11/2011
Option Strategy Index Month 6 5.86 10/2011
Diversified Trader Index Month 10 5.86 10/2011
Option Strategy Index Month 4 8.02 9/2011
Discretionary Trader Index Month 6 8.02 9/2011
Option Strategy Index Month 6 2.05 7/2011
Diversified Trader Index Month 2 10.22 6/2011
Discretionary Trader Index Month 1 10.22 6/2011
IASG CTA Index Month 2 10.22 6/2011
Option Strategy Index Month 1 10.22 6/2011
Option Strategy Index Month 3 4.06 4/2011
Option Strategy Index Month 1 5.89 3/2011
Diversified Trader Index Month 8 5.89 3/2011
Discretionary Trader Index Month 8 5.89 3/2011
Option Strategy Index Month 3 3.82 12/2010
IASG CTA Index Sharpe 8 2.95 2009 - 2010
Discretionary Trader Index Month 6 2.81 11/2010
Option Strategy Index Month 3 2.81 11/2010
Diversified Trader Index Month 8 2.81 11/2010
Option Strategy Index Month 4 4.21 10/2010
Option Strategy Index Month 3 5.43 9/2010
Option Strategy Index Month 4 4.31 7/2010
Discretionary Trader Index Month 7 6.98 6/2010
Option Strategy Index Month 4 6.98 6/2010
Option Strategy Index Month 2 3.50 4/2010
Option Strategy Index Month 3 3.01 3/2010
IASG CTA Index Sharpe 3 8.26 2008 - 2009
Option Strategy Index Month 8 5.88 11/2009
Option Strategy Index Month 7 2.38 10/2009
Option Strategy Index Month 8 3.21 9/2009
Option Strategy Index Month 5 2.49 7/2009
Option Strategy Index Month 7 4.02 6/2009
Option Strategy Index Month 8 2.63 5/2009
Option Strategy Index Month 7 3.86 4/2009
IASG CTA Index Month 6 6.48 3/2009
Discretionary Trader Index Month 5 6.48 3/2009
Option Strategy Index Month 1 6.48 3/2009
Diversified Trader Index Month 4 6.48 3/2009
Option Strategy Index Month 3 6.92 2/2009
Diversified Trader Index Month 3 6.92 2/2009
Discretionary Trader Index Month 5 6.92 2/2009
IASG CTA Index Month 6 6.92 2/2009
Option Strategy Index Month 7 2.60 1/2009
Option Strategy Index Month 6 3.07 12/2008
IASG CTA Index Sharpe 2 19.87 2007 - 2008

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