White River Group : Institutional Options Strategy

Year-to-Date
3.82%
Feb Performance
1.36%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
2.20%
Sharpe (RFR=1%)
8.56
CAROR
-
Assets
$ 110k
Worst DD
N/A
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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
9/2020
Institutional Options Strategy 1.36 3.82 3.82 - - - - 10.33
S&P 500 5.94 8.65 4.76 - - - - 21.97
+/- S&P 500 -4.58 -4.83 -0.94 - - - - -11.64

Strategy Description

Investment Strategy

The Institutional Options Strategy trades the S&P 500 futures and its options. It's a discretionary and rule-based investing program seeking long-term growth by capturing the premium and time decay of option contracts. The options traded are any option contracts with the... 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
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 0 RT/YR/$M
Avg. Margin-to-Equity 0%
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 100.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Investment Strategy

The Institutional Options Strategy trades the S&P 500 futures and its options. It's a discretionary and rule-based investing program seeking long-term growth by capturing the premium and time decay of option contracts. The options traded are any option contracts with the S&P 500 futures contract as an underlying, e.g. S&P 500 futures options with daily, weekly and monthly expiration. Typically, the time frame is short to medium term, with an option expiration 1 to 15 days out. Additionally, the Strategy sells deep out of the money options for relatively low premiums. Therefore, a low commission rate of max. $3.00 all in per option is the maximum allowed. The Strategy consists of writing deep out of the money covered and/or uncovered options. The strategy will also use S&P future contracts for hedging purposes and to minimize risk. In rare instances outright long positions of options can be initiated if current market situations require it. Both fundamental and technical analysis is incorporated into the trading decision and frequently adjusted.

   

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:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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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

Consecutive Gains

Run-up Length (Mos.) Start End
10.33 6 9/1/2020 2/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods6.003.006.0012.0018.0024.0036.0048.0060.00
Percent Profitable100.00100.00100.0050.0033.3325.0016.6712.5010.00
Average Period Return1.654.345.392.701.801.350.900.670.54
Average Gain1.654.345.395.395.395.395.395.395.39
Average Loss
Best Period2.436.1210.3310.3310.3310.3310.3310.3310.33
Worst Period0.962.210.990.000.000.000.000.000.00
Standard Deviation0.641.983.753.783.312.962.482.181.96
Gain Standard Deviation0.641.983.753.753.753.753.753.753.75
Loss Standard Deviation
Sharpe Ratio (1%)2.472.071.310.450.09-0.22-0.86-1.55-2.32
Average Gain / Average Loss
Profit / Loss Ratio
Downside Deviation (10%)0.643.836.599.3615.0620.9927.16
Downside Deviation (5%)0.711.231.752.793.844.89
Downside Deviation (0%)
Sortino Ratio (10%)4.58-0.60-0.88-0.95-0.99-0.99-1.00
Sortino Ratio (5%)2.400.24-0.38-0.76-0.88-0.93
Sortino Ratio (0%)

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.