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White River Group
Dynamic S&P Options Strategy
Report Start Date: Jan-2019 - Report End Date: Mar-2024
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Report Start Date Report End Date

Trading Strategy: US Equity Index Futures & Options


Program Description: 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.

Investment Information
Program Start Date Nov-2014
Percent Discretionary 100%
Percent Systematic 0%
Minimum Investment 50,000
Management Fee 0-4%
Incentive Fee 15-35%
Margin 60%
Round Turns per Million 17,000
Currency US Dollar
NFA No: #0378844
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Performance Since January 2019

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
20193.10% 0.84% 0.06% 1.47% -0.69% 1.26% 1.50% -1.71% 1.88% 0.50% 2.19% 2.08%
2020 -0.07% -13.49% -3.80% 1.76% 1.73% -1.86% 2.42% 2.50% -1.67% 1.03% 1.16% 2.68%
2021 0.82% 1.34% 3.59% 2.16% 0.98% 2.42% 1.74% 2.09% 1.58% 1.70% 1.31% 2.23%
2022 -0.07% 0.13% 1.55% 0.60% 2.13% -4.16% 2.71% 1.87% 0.51% 2.19% 1.36% -0.01%
2023 1.17% 1.56% 0.07% 1.44% 1.06% 0.92% 0.47% 1.27% 1.10% 1.54% 0.90% 1.05%
2024 1.03% 0.66% 1.34%  

 201920202021202220232024 YTD
ROR13.11%-8.47%24.27%8.98%13.29%3.06%
Max DD-1.71%-16.84%0.00%-4.16%0.00%0.00%
Program Statistics
Peak-to-Valley Drawdown (2) Dec 2019 - Mar 2020 -16.84%
Worst Monthly Return (Feb 2020) -13.49%
Current Losing Streak 0.00%
Average Monthly Return 0.81%
Monthly Std. Deviation 2.30%
Gain Deviation (53 months gain) 0.76%
Loss Deviation (10 months loss) 4.05%
Gain to Loss Ratio 0.54
Omega Ratio % Threshold 1.39
Annualized Statistics
Compound ROR (1) 9.84%
Standard Deviation 7.97%
Downside Deviation 6.87%
Sharpe Ratio (3) 1.10
Sortino Ratio (4) 0.66
Calmar Ratio (5) 3.44
Sterling Ratio (6) 1.25
Gain Deviation 2.62%
Loss Deviation 14.03%
Profit Loss Ratio 2.86
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISORS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. ONE SHOULD RECOGNIZE THAT AN INTRODUCING BROKER MAY CHARGE A FRONT-END START OF FEE OF UP TO 3% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMER'S ABILITY TO ACHIEVE SIMILAR RETURNS. PAST PERFORMANCE IS NOT NECESSARILY INDICIATIVE OF FUTURE SUCCESS.
AutumnGold.com LLC
719-685-6183 Email: info@autumngold.com | Web Address: http://www.autumngold.com


White River Group
Dynamic S&P Options Strategy
Report Start Date: Jan-2019 - Report End Date: Mar-2024
Print to PDF Here


Time Window Analysis
Length Best Average Worst
1 mo 3.6% 0.8% -13.5%
3 mo 7.2% 2.4% -16.8%
6 mo 13.7% 4.8% -15.5%
12 mo 24.8% 9.7% -10%
18 mo 34.6% 16% -5.6%
24 mo 39.1% 23.7% 1.2%
36 mo 56.3% 39.2% 21.3%
Historical Drawdown and Recoveries***
Start Depth Length Recovery End
Jan-20 -16.84% 3 mo 15 mo Jun-21
Jun-22 -4.16% 1 mo 2 mo Aug-22
Aug-19 -1.71% 1 mo 1 mo Sep-19
May-19 -0.69% 1 mo 1 mo Jun-19
Jan-22 -0.07% 1 mo 1 mo Feb-22
Dec-22 -0.01% 1 mo 1 mo Jan-23

            Current Losing Streak = 0.00%


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Select an index or program to add as a benchmark:

Statistical Comparisons
Program/Portfolio
AG CTA Index
Remove		SP 500 TR
Remove
Annualized Compound ROR (1) 9.84%5.64%17.11%
Cumulative Return 63.69%33.35%129.11%
Cumulative VAMI(7) 163713342291
Best Monthly Return 3.59%2.99%12.82%
Worst Monthly Return -13.49%-1.42%-12.35%
Annual Standard Deviation 7.97%3.44%18.17%
Profit Loss Ratio 2.863.671.95
Correlation —0.0990.533
Last Month 1.34%2.10%3.22%
Last 12 Months 13.55%8.51%29.88%
Last 36 Months 49.40%16.38%38.61%
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISORS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. ONE SHOULD RECOGNIZE THAT AN INTRODUCING BROKER MAY CHARGE A FRONT-END START OF FEE OF UP TO 3% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMER'S ABILITY TO ACHIEVE SIMILAR RETURNS. PAST PERFORMANCE IS NOT NECESSARILY INDICIATIVE OF FUTURE SUCCESS.
AutumnGold.com LLC
719-685-6183 Email: info@autumngold.com | Web Address: http://www.autumngold.com


White River Group
Dynamic S&P Options Strategy
Report Start Date: Jan-2019 - Report End Date: Mar-2024
Print to PDF Here


Other Fees: None

* Fee Notes: Mgt Fees 0-4% : Inc Fees 15-35%

An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report.

Performance Results reported or amended subsequent to Thursday April 18, 2024 are not reflected in this Report. Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.

FOOTNOTES

1. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of Jan-2019 to Mar-2024
3. Sharpe Ratio uses a 1% Risk Free ROR
4. Sortino Ratio uses a 5% Minimum Acceptable ROR
5. Calmar Ratio Uses last 36 months of Data
6. Sterling Ratio uses last 36 months of Data
7. The hypothetical growth of $1,000
8. The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery.

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with each Trader's Disclosure Document or Fund's Offering Document.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISORS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. ONE SHOULD RECOGNIZE THAT AN INTRODUCING BROKER MAY CHARGE A FRONT-END START OF FEE OF UP TO 3% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMER'S ABILITY TO ACHIEVE SIMILAR RETURNS. PAST PERFORMANCE IS NOT NECESSARILY INDICIATIVE OF FUTURE SUCCESS.
AutumnGold.com LLC
719-685-6183 Email: info@autumngold.com | Web Address: http://www.autumngold.com