White River Group : Diversified Option Writing Strategy

Year-to-Date: 0.01%
Nov Performance: 0.49%

Min Investment: $ 20k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 23.19%
Sharpe (RFR=1%): 0.15
CAROR: 1.20%

Assets: $ 538k
Worst DD: -67.88
S&P Correlation: 0.16

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Growth of 1,000 - VAMI

Monthly Performance

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	Nov	Qtr	2019	1yr	3yr	5yr	10yr	Since 11/2008
Diversified Option Writing Strategy	0.49	0.46	0.01	0.01	7.44	2.59	-31.97	14.16
S&P 500	3.40	7.33	25.29	13.79	41.40	50.37	183.72	256.76
+/- S&P 500	-2.91	-6.87	-25.27	-13.78	-33.96	-47.78	-215.69	-242.59

Strategy Description

Summary

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%

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.

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Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

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

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
3.77	3	6/1/2019	8/1/2019
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
0.49	1	11/1/2019	11/1/2019

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
-7.12	2	4/1/2019	5/1/2019
-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
-0.51	1	11/1/2018	11/1/2018
-0.32	1	9/1/2018	9/1/2018
-0.21	2	9/1/2019	10/1/2019
-0.13	1	6/1/2017	6/1/2017
-0.03	1	7/1/2014	7/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	133.00	131.00	128.00	122.00	116.00	110.00	98.00	86.00	74.00
Percent Profitable	73.68	65.65	62.50	67.21	56.90	59.09	53.06	37.21	16.22
Average Period Return	0.37	1.16	2.19	3.14	2.93	3.34	1.34	-7.90	-23.98
Average Gain	2.94	6.83	11.28	16.53	24.01	28.10	42.10	59.71	101.50
Average Loss	-6.83	-9.67	-12.95	-24.33	-24.90	-32.42	-44.74	-47.97	-48.27
Best Period	15.15	27.65	39.77	57.05	85.71	99.01	129.54	180.31	127.71
Worst Period	-43.89	-56.31	-59.59	-61.78	-62.32	-64.63	-66.63	-65.72	-64.54
Standard Deviation	6.69	12.19	18.05	25.73	32.54	39.96	54.90	64.65	57.26
Gain Standard Deviation	2.65	5.78	10.01	15.23	21.88	27.31	41.15	58.90	20.65
Loss Standard Deviation	9.04	13.83	18.36	20.51	21.48	25.66	22.09	16.64	12.27
Sharpe Ratio (1%)	0.04	0.08	0.09	0.08	0.04	0.03	-0.03	-0.19	-0.51
Average Gain / Average Loss	0.43	0.71	0.87	0.68	0.96	0.87	0.94	1.24	2.10
Profit / Loss Ratio	1.20	1.35	1.45	1.39	1.27	1.25	1.06	0.74	0.41
Downside Deviation (10%)	5.89	10.25	14.60	20.45	25.57	31.90	44.27	56.88	70.36
Downside Deviation (5%)	5.78	9.90	13.84	18.57	22.26	27.36	35.99	43.26	50.10
Downside Deviation (0%)	5.76	9.82	13.66	18.13	21.50	26.33	34.11	40.20	45.56
Sortino Ratio (10%)	-0.01	-0.01	-0.02	-0.09	-0.18	-0.22	-0.33	-0.52	-0.73
Sortino Ratio (5%)	0.05	0.09	0.12	0.12	0.06	0.05	-0.05	-0.28	-0.58
Sortino Ratio (0%)	0.06	0.12	0.16	0.17	0.14	0.13	0.04	-0.20	-0.53

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.

^#6

Top Performer

OPTION STRATEGY INDEX

SEPTEMBER
2015

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White River Group : Diversified Option Writing Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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