White River Group : Stock Index Option Writing Strategy

Year-to-Date: 13.79%
Nov Performance: 2.78%

Min Investment: $ 10k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 10.34%
Sharpe (RFR=1%): 0.88
CAROR: 10.02%

Assets: $ 21.1M
Worst DD: -18.73
S&P Correlation: 0.39

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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
Stock Index Option Writing Strategy	2.78	5.83	13.79	8.24	14.61	20.95	134.33	188.17
S&P 500	3.40	7.33	25.29	13.79	41.40	50.37	183.72	246.84
+/- S&P 500	-0.62	-1.51	-11.50	-5.55	-26.78	-29.42	-49.39	-58.67

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 10k
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: Daily
Redemption Frequency: Daily
Investor Requirements: Any Investor
Lock-up Period: 0

Trading

Trading Frequency: 6000 RT/YR/$M
Avg. Margin-to-Equity: 60%
Targeted Worst DD
Worst Peak-to-Trough: 0%
Sector Focus: Stock Index Traders

Holding Periods

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

Summary

The Stock Index Option Writing Strategy writes call and put options on index futures (primarily on the S&P index but occasionally also on other indices). The strategy is designed to capture the decay of option premiums. The program sells deep out of the money options after unusual Stock Market movements. 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 advisor may also take outright positions in the underlying future contract. The trading strategy is mostly discretionary. Both fundamental and technical analysis is incorporated into the trading decision.

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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:
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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
-18.73	3	5	5/1/2011	8/1/2011
-18.29	8	15	7/1/2015	3/1/2016
-12.23	5	16	10/1/2017	3/1/2018
-6.73	1	2	4/1/2010	5/1/2010
-3.59	1	1	6/1/2014	7/1/2014
-3.29	1	3	7/1/2019	8/1/2019
-3.14	1	2	11/1/2014	12/1/2014
-2.91	1	1	3/1/2014	4/1/2014
-2.24	1	1	9/1/2014	10/1/2014
-1.95	1	1	5/1/2013	6/1/2013
-1.94	1	1	6/1/2012	7/1/2012
-1.37	1	1	12/1/2013	1/1/2014
-1.27	1	1	8/1/2012	9/1/2012
-0.41	1	1	3/1/2013	4/1/2013
-0.21	1	1	8/1/2017	9/1/2017

Consecutive Gains

Run-up	Length (Mos.)	Start	End
38.26	10	9/1/2011	6/1/2012
29.87	12	6/1/2010	5/1/2011
28.86	18	11/1/2008	4/1/2010
16.62	7	1/1/2015	7/1/2015
15.58	6	7/1/2013	12/1/2013
11.89	6	4/1/2018	9/1/2018
8.99	4	1/1/2019	4/1/2019
8.36	3	4/1/2016	6/1/2016
7.32	4	8/1/2016	11/1/2016
6.35	6	10/1/2012	3/1/2013
6.14	2	8/1/2014	9/1/2014
5.85	4	1/1/2017	4/1/2017
5.83	3	9/1/2019	11/1/2019
5.81	1	8/1/2012	8/1/2012
5.73	3	6/1/2017	8/1/2017
4.96	2	5/1/2014	6/1/2014
4.91	3	9/1/2015	11/1/2015
4.57	2	2/1/2014	3/1/2014
3.67	1	11/1/2014	11/1/2014
3.60	2	6/1/2019	7/1/2019
1.34	1	5/1/2013	5/1/2013
0.87	1	10/1/2017	10/1/2017
0.78	1	12/1/2017	12/1/2017
0.12	1	7/1/2011	7/1/2011

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-16.26	1	8/1/2011	8/1/2011
-15.91	4	12/1/2015	3/1/2016
-11.03	3	1/1/2018	3/1/2018
-7.84	3	10/1/2018	12/1/2018
-7.37	1	8/1/2015	8/1/2015
-6.73	1	5/1/2010	5/1/2010
-3.59	1	7/1/2014	7/1/2014
-3.29	1	8/1/2019	8/1/2019
-3.14	1	12/1/2014	12/1/2014
-3.06	1	6/1/2011	6/1/2011
-2.91	1	4/1/2014	4/1/2014
-2.24	1	10/1/2014	10/1/2014
-2.12	1	11/1/2017	11/1/2017
-1.95	1	6/1/2013	6/1/2013
-1.94	1	7/1/2012	7/1/2012
-1.69	1	7/1/2016	7/1/2016
-1.53	1	5/1/2019	5/1/2019
-1.37	1	1/1/2014	1/1/2014
-1.27	1	9/1/2012	9/1/2012
-0.76	1	5/1/2017	5/1/2017
-0.44	1	12/1/2016	12/1/2016
-0.41	1	4/1/2013	4/1/2013
-0.21	1	9/1/2017	9/1/2017

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	77.44	80.15	82.81	79.51	83.62	97.27	93.88	100.00	100.00
Average Period Return	0.84	2.53	5.05	9.94	14.98	20.49	33.40	46.86	63.12
Average Gain	2.05	4.61	7.81	14.02	18.51	21.11	35.72	46.86	63.12
Average Loss	-3.28	-5.87	-8.27	-5.89	-3.03	-1.55	-2.18
Best Period	8.02	17.62	28.13	43.46	49.79	56.94	83.46	100.00	114.48
Worst Period	-16.26	-18.72	-14.87	-12.95	-6.45	-2.45	-3.55	4.62	15.87
Standard Deviation	2.99	5.51	7.91	10.37	12.09	15.00	20.39	27.90	31.29
Gain Standard Deviation	1.36	2.96	5.06	7.10	9.88	14.74	18.82	27.90	31.29
Loss Standard Deviation	3.38	5.46	5.10	3.53	1.90	1.23	1.16
Sharpe Ratio (1%)	0.26	0.41	0.58	0.86	1.11	1.23	1.49	1.53	1.85
Average Gain / Average Loss	0.62	0.79	0.94	2.38	6.11	13.64	16.35
Profit / Loss Ratio	2.14	3.17	4.55	9.24	31.21	486.57	250.77
Downside Deviation (10%)	2.36	3.96	4.93	5.22	4.87	4.05	5.26	5.82	2.96
Downside Deviation (5%)	2.24	3.62	4.18	3.49	1.99	0.66	1.33
Downside Deviation (0%)	2.22	3.54	4.00	3.09	1.44	0.30	0.60
Sortino Ratio (10%)	0.19	0.33	0.52	0.95	1.52	2.53	3.35	4.35	12.00
Sortino Ratio (5%)	0.34	0.63	1.09	2.56	6.76	27.91	22.75
Sortino Ratio (0%)	0.38	0.71	1.26	3.22	10.43	67.28	55.65

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Stock Index Trader Index	Month	8	2.96	9/2015
Stock Index Trader Index	Month	8	2.48	6/2015
Option Strategy Index	Month	5	2.48	6/2015
Option Strategy Index	Month	7	1.74	4/2015
Option Strategy Index	Month	6	4.38	2/2015
Discretionary Trader Index	Month	9	4.38	2/2015
Stock Index Trader Index	Month	9	2.30	1/2015
Option Strategy Index	Month	7	2.30	1/2015
Discretionary Trader Index	Month	10	3.67	11/2014
Stock Index Trader Index	Month	8	3.67	11/2014
Option Strategy Index	Month	7	3.67	11/2014
Option Strategy Index	Month	7	-2.24	10/2014
Stock Index Trader Index	Month	5	5.09	8/2014
Option Strategy Index	Month	4	5.09	8/2014
Discretionary Trader Index	Month	8	5.09	8/2014
Stock Index Trader Index	Month	3	4.22	5/2014
Option Strategy Index	Month	4	4.22	5/2014
Option Strategy Index	Month	5	2.48	2/2014
Option Strategy Index	Month	10	2.86	12/2013
Option Strategy Index	Month	4	4.70	11/2013
Stock Index Trader Index	Month	2	4.70	11/2013
Discretionary Trader Index	Month	8	4.70	11/2013
Stock Index Trader Index	Month	8	2.62	8/2013
Option Strategy Index	Month	6	2.62	8/2013
Option Strategy Index	Month	5	2.60	7/2013
Option Strategy Index	Month	5	1.34	5/2013
Stock Index Trader Index	Month	8	1.34	5/2013
Option Strategy Index	Month	10	-0.41	4/2013
Discretionary Trader Index	Month	8	2.25	12/2012
Option Strategy Index	Month	4	2.25	12/2012
Stock Index Trader Index	Month	5	2.25	12/2012
Stock Index Trader Index	Month	3	5.81	8/2012
Option Strategy Index	Month	4	5.81	8/2012
Option Strategy Index	Month	10	1.89	6/2012
Option Strategy Index	Month	6	4.05	4/2012
Stock Index Trader Index	Month	7	4.05	4/2012
Option Strategy Index	Month	7	3.75	2/2012
Stock Index Trader Index	Month	8	3.75	2/2012
Stock Index Trader Index	Month	7	3.79	1/2012
Stock Index Trader Index	Month	8	4.77	11/2011
IASG CTA Index	Month	10	8.02	10/2011
Discretionary Trader Index	Month	7	8.02	10/2011
Option Strategy Index	Month	4	8.02	10/2011
Stock Index Trader Index	Month	4	8.02	10/2011
Stock Index Trader Index	Month	9	0.12	7/2011
Stock Index Trader Index	Month	7	2.05	4/2011
Option Strategy Index	Month	7	2.05	4/2011
Option Strategy Index	Month	7	2.37	2/2011
Option Strategy Index	Month	6	2.24	11/2010
Discretionary Trader Index	Month	10	2.24	11/2010
Stock Index Trader Index	Month	8	2.24	11/2010
Option Strategy Index	Month	9	2.14	10/2010
Option Strategy Index	Month	9	1.59	9/2010
Stock Index Trader Index	Month	7	1.59	9/2010
Option Strategy Index	Month	5	4.16	7/2010
Stock Index Trader Index	Month	6	4.16	7/2010
Stock Index Trader Index	Month	10	3.16	6/2010
Option Strategy Index	Month	9	0.63	4/2010
Stock Index Trader Index	Month	9	0.63	4/2010
Option Strategy Index	Month	10	0.85	3/2010
IASG CTA Index	Sharpe	4	7.96	2008 - 2009
Stock Index Trader Index	Month	5	1.85	10/2009
Option Strategy Index	Month	8	1.85	10/2009
Option Strategy Index	Month	8	1.01	7/2009
Stock Index Trader Index	Month	8	1.01	7/2009
Stock Index Trader Index	Month	9	2.01	6/2009
Stock Index Trader Index	Month	10	1.75	5/2009
Option Strategy Index	Month	10	1.75	5/2009
Stock Index Trader Index	Month	10	0.46	3/2009
Option Strategy Index	Month	9	0.46	3/2009
Option Strategy Index	Month	10	2.06	1/2009
Stock Index Trader Index	Month	10	2.80	12/2008
IASG CTA Index	Sharpe	9	3.57	2007 - 2008
Option Strategy Index	Month	7	2.80	12/2008
Option Strategy Index	Month	10	0.00	11/2008

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

^#8

Top Performer

STOCK INDEX TRADER INDEX

SEPTEMBER
2015

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White River Group : Stock Index 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

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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