White River Group : Stock Index Option Writing Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 13.04% May Performance 3.57% Min Investment $ 10k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 11.53% Sharpe (RFR=1%) 0.67 CAROR 8.29% Assets $ 15.9M Worst DD -18.73 S&P Correlation 0.42 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since11/2008 Stock Index Option Writing Strategy 3.57 5.62 -13.04 -9.26 -6.51 -4.73 102.99 151.68 S&P 500 4.53 3.05 -5.77 10.62 24.94 42.99 176.56 242.35 +/- S&P 500 -0.96 2.57 -7.26 -19.88 -31.45 -47.72 -73.57 -90.67 Strategy Description SummaryThe 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... Read More 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% Decision-Making Discretionary 100.00% Systematic 0% Strategy Option-writing 100.00% Composition Stock Indices 100.00% SummaryThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -18.73 3 5 5/1/2011 8/1/2011 -18.29 8 15 7/1/2015 3/1/2016 -17.76 2 - 1/1/2020 3/1/2020 -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 Show More 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 6.41 5 9/1/2019 1/1/2020 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 5.81 1 8/1/2012 8/1/2012 5.73 3 6/1/2017 8/1/2017 5.62 2 4/1/2020 5/1/2020 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 Show More Consecutive Losses Run-up Length (Mos.) Start End -17.76 2 2/1/2020 3/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods139.00137.00134.00128.00122.00116.00104.0092.0080.00 Percent Profitable76.9878.8380.6077.3481.1593.9790.38100.0095.00 Average Period Return0.722.144.489.3314.1219.5131.4844.6258.80 Average Gain2.034.607.7313.9818.3720.8935.2644.6262.09 Average Loss-3.63-7.02-9.04-6.55-4.16-1.96-4.11-3.75 Best Period8.0217.6228.1343.4649.7956.9483.46100.00114.48 Worst Period-17.68-18.72-14.87-12.95-13.29-4.36-8.294.62-4.83 Standard Deviation3.336.118.3410.7612.5915.2721.4128.3433.92 Gain Standard Deviation1.362.925.047.049.8314.7018.8728.3431.50 Loss Standard Deviation4.196.215.033.763.291.482.841.17 Sharpe Ratio (1%)0.190.310.480.771.001.151.331.431.58 Average Gain / Average Loss0.560.650.862.134.4110.688.5816.55 Profit / Loss Ratio1.872.443.567.2818.99166.3780.61314.52 Downside Deviation (10%)2.774.725.535.825.704.616.806.297.60 Downside Deviation (5%)2.664.374.734.002.841.062.381.99 Downside Deviation (0%)2.644.284.533.582.280.591.520.87 Sortino Ratio (10%)0.110.190.360.741.152.012.313.674.10 Sortino Ratio (5%)0.240.430.842.084.4516.5011.9726.95 Sortino Ratio (0%)0.270.500.992.606.1833.2420.6467.68 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 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 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. x {{title}} x {{title}} Add Cancel