White River Group : Dynamic S&P Options Strategy

Year-to-Date
13.91%
May Performance
1.73%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.12%
Sharpe (RFR=1%)
0.24
CAROR
3.28%
Assets
$ 16.3M
Worst DD
-27.46
S&P Correlation
0.41

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
11/2014
Dynamic S&P Options Strategy 1.73 3.52 -13.91 -8.26 -12.29 13.19 - 19.75
S&P 500 4.53 3.05 -5.77 10.62 24.94 42.99 - 48.42
+/- S&P 500 -2.80 0.47 -8.14 -18.88 -37.23 -29.80 - -28.67

Strategy Description

Investment Strategy

The Dynamic S&P Options Strategy primarily trades US equity index futures and options on their futures contracts. The strategy is designed to capture the decay of option premiums. The program sells deep out of the money options. Option contracts are written at a sufficient... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $11.50
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 17000 RT/YR/$M
Avg. Margin-to-Equity 60%
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 0%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

The Dynamic S&P Options Strategy primarily trades US equity index futures and options on their futures contracts. The strategy is designed to capture the decay of option premiums. The program sells deep out of the money options. Option contracts are written at a sufficient distance, to allow in most cases, for the options to expire worthless. Primarily uncovered or naked options are sold (although spreads are utilized at times). The program may trade index futures for hedging or speculative purposes. The program may also trade index futures directly. The trading strategy is mostly discretionary. Both fundamental and technical analysis is incorporated into the trading decision. One of the main differences to the Stock Index Writing Strategy is the shorter time period of the options till expiration.

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.

Risk Management

A principal risk in the Advisor's trading system is caused by volatility (or rapid fluctuation) in the market prices of commodities. The volatility of commodity trading may cause your account to lose all or a substantial amount of its assets in a short period of time. Prices of commodity interests are affected by a wide variety of complex and hard to predict factors, such as political and economic events, weather and climate conditions and the prevailing psychological characteristics of the marketplace.

   

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
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-27.46 2 - 12/1/2017 2/1/2018
-10.81 1 8 7/1/2015 8/1/2015
-0.72 1 1 10/1/2017 11/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
50.26 26 9/1/2015 10/1/2017
16.38 7 3/1/2018 9/1/2018
8.57 6 11/1/2018 4/1/2019
7.42 9 11/1/2014 7/1/2015
6.81 4 9/1/2019 12/1/2019
3.52 2 4/1/2020 5/1/2020
2.78 2 6/1/2019 7/1/2019
1.48 1 12/1/2017 12/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-27.46 2 1/1/2018 2/1/2018
-16.84 3 1/1/2020 3/1/2020
-10.81 1 8/1/2015 8/1/2015
-2.36 1 10/1/2018 10/1/2018
-1.71 1 8/1/2019 8/1/2019
-0.72 1 11/1/2017 11/1/2017
-0.69 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods67.0065.0062.0056.0050.0044.0032.0020.00
Percent Profitable85.0783.0874.1969.6458.0063.6487.50100.00
Average Period Return0.361.042.576.139.8011.6114.4124.03
Average Gain1.513.937.8114.5022.9620.5218.0524.03
Average Loss-6.21-13.13-12.50-13.09-8.39-3.98-11.13
Best Period4.078.2114.8725.2336.1946.6243.9635.93
Worst Period-24.51-26.50-25.26-19.75-11.01-7.38-12.918.93
Standard Deviation4.077.5510.2714.6617.3917.3514.688.83
Gain Standard Deviation0.792.043.397.919.8015.8411.688.83
Loss Standard Deviation7.848.798.235.162.862.042.28
Sharpe Ratio (1%)0.070.100.200.350.480.550.782.26
Average Gain / Average Loss0.240.300.631.112.745.161.62
Profit / Loss Ratio1.391.471.802.543.789.0311.36
Downside Deviation (10%)3.856.848.6210.3910.569.4010.765.00
Downside Deviation (5%)3.766.497.748.246.663.815.06
Downside Deviation (0%)3.746.417.537.725.732.684.00
Sortino Ratio (10%)-0.01-0.030.010.110.210.14-0.130.50
Sortino Ratio (5%)0.070.120.270.621.252.522.25
Sortino Ratio (0%)0.100.160.340.791.714.343.61

Top Performer Badges

Index Award Type Rank Performance Period

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