White River Group : Stock Index Option Writing Strategy

Year-to-Date
10.71%
Oct Performance
0.53%
Min Investment
$ 10k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.37%
Sharpe (RFR=1%)
0.87
CAROR
9.83%
Assets
$ 20.6M
Worst DD
-18.73
S&P Correlation
0.39

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
11/2008
Stock Index Option Writing Strategy 0.53 -0.42 10.71 5.08 13.37 22.00 131.18 180.37
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 235.42
+/- S&P 500 -1.51 -2.34 -10.45 -6.93 -28.04 -26.99 -58.93 -55.05

Strategy Description

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... 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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

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.

   

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:
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
-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 - 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
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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
5.81 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
2.96 2 9/1/2019 10/1/2019
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
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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
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods132.00130.00127.00121.00115.00109.0097.0085.0073.00
Percent Profitable77.2780.0082.6879.3483.4897.2593.81100.00100.00
Average Period Return0.832.515.049.9614.9920.6433.5947.2963.70
Average Gain2.044.607.8314.0818.5521.2635.9547.2963.70
Average Loss-3.28-5.87-8.27-5.89-3.03-1.55-2.18
Best Period8.0217.6228.1343.4649.7956.9483.46100.00114.48
Worst Period-16.26-18.72-14.87-12.95-6.45-2.45-3.554.6215.87
Standard Deviation2.995.527.9410.4112.1415.0020.4027.7831.10
Gain Standard Deviation1.362.975.087.119.9214.7318.7927.7831.10
Loss Standard Deviation3.385.465.103.531.901.231.16
Sharpe Ratio (1%)0.250.410.570.861.111.241.501.561.88
Average Gain / Average Loss0.620.780.952.396.1313.7416.46
Profit / Loss Ratio2.113.134.529.1930.97485.45249.65
Downside Deviation (10%)2.373.984.955.244.894.045.295.722.87
Downside Deviation (5%)2.253.644.203.502.000.671.34
Downside Deviation (0%)2.223.554.023.101.440.310.60
Sortino Ratio (10%)0.180.320.520.951.512.573.374.5012.55
Sortino Ratio (5%)0.330.621.082.566.7427.9922.78
Sortino Ratio (0%)0.370.711.253.2110.3967.4355.69

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.