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White River Group

Stock Index Option Writing Strategy

Investment Strategy

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.

Performance (VAMI)

Monthly Returns

Fund Manager

Mr. Diessbacher became registered with the CFTC as an associated person of Professional Market Brokerage Inc, a Future Commission Merchant (FCM), in April 1999. During his employment he established and managed a trading desk supporting German speaking clients. In November of 2001, Refco LLC (FCM) acquired the business of Professional Market Brokerage Inc and Mr. Diessbacher became an Associated Person with Refco LLC. He continued to manage a trading desk and introduced Foreign Exchange Trading to existing clients and Introducing Brokers (IB). In November 2001, Mr. Diessbacher also registered as an associated person with Marblehead Financial Group Inc., a commodity trading advisor (CTA). He had no duties while being registered with Marblehead Financial Group Inc. Refco LLC was purchased in November 2005 by Man Financial, Inc., at which point Mr. Diessbacher became an Associate Person of Man Financial, Inc. (FCM). While at Man Financial Inc. he served as a liaison for Introducing Brokers (IB) and started trading customer accounts. In January 2007, Mr. Diessbacher deregistered his associated person status with Marblehead Financial Group Inc. In July 2007, Man Financial was spun off by its parent company Man Group, Inc (a UK based hedge fund) and made an initial public offering on the New York Stock Exchange as MF Global (NYSE Listed MF). His function at MF Global Inc. remained unchanged to his duties at Man Financial Inc. In April 2011, Mr. Diessbacher left MF Global Inc. to form Andreas Diessbacher (sole proprietorship), a guaranteed introducing broker of MF Global Inc. Mr. Diessbacher became listed as a principal and registered as an Associated Person of Andreas Diessbacher (sole proprietorship) in April 2011. As a guaranteed introducing broker of MF Global Inc., Mr. Diessbacher continued to introduce and service customer accounts with MF Global Inc. In November 2011, Andreas Diessbacher (sole proprietorship) ceased to be a guaranteed introducing broker of MF Global Inc. and became a guaranteed introducing broker for RJ O’Brien Associates LLC. Mr. Diessbacher introduced and serviced customer accounts with RJ O’Brien Associates LLC. In May 2012 Mr. Diessbacher withdrew his sole proprietorship and guaranteed introducing brokerage status with RJ O’Brien Associates LLC and purely concentrates on his CTA business.

General Information

Inception DateNov 2008
Minimum Investment20,000 USD
Management Fee0% to 4%
Performance Fee15% to 35%
Highwater MarkYes
Phone+1-312-612-1080
E-mail[email protected]
Websitewww.white-river-group.com

Statistics

Total Return Cumulative 279.21%
Sharpe Ratio 0.89
Sortino Ratio 1.07
Winning Months (%) 79.23%
Correlation vs. S&P 500 TR 0.42

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.62 0.62
2023 1.44 0.91 0.07 1.44 0.70 0.97 1.14 1.14 0.75 1.43 1.30 0.90 12.89
2022 -3.41 -0.52 2.98 -2.12 2.81 -4.66 2.03 1.50 0.82 2.86 1.69 0.80 4.51
2021 0.44 3.35 4.21 1.64 2.34 2.03 1.39 1.65 1.46 1.62 0.90 2.37 26.01
2020 0.12 -17.68 -0.10 1.98 3.57 -3.23 1.89 0.60 -3.85 0.58 1.92 3.03 -12.40
2019 4.37 1.52 1.40 1.44 -1.53 2.05 1.52 -3.29 2.42 0.53 2.78 0.43 14.28
2018 -7.03 -2.82 -1.52 0.26 2.61 0.85 3.53 1.08 3.05 -2.90 -0.22 -4.88 -8.26
2017 2.45 0.42 0.64 2.23 -0.76 2.38 2.57 0.68 -0.21 0.87 -2.12 0.78 10.27
2016 -9.86 -3.71 -0.31 1.56 3.13 3.46 -1.69 2.79 0.79 1.89 1.67 -0.44 -1.51
2015 2.30 4.38 1.61 1.74 1.20 2.48 1.87 -7.37 2.96 0.21 1.68 -2.82 10.14
2014 -1.37 2.48 2.04 -2.91 4.22 0.71 -3.59 5.09 1.00 -2.24 3.67 -3.14 5.58
2013 0.77 0.50 0.56 -0.41 1.34 -1.95 2.60 2.62 0.20 1.73 4.70 2.86 16.48
2012 3.79 3.75 0.68 4.05 1.10 1.89 -1.94 5.81 -1.27 2.04 0.09 2.25 24.31
2011 2.11 2.37 0.69 2.05 1.96 -3.06 0.12 -16.26 1.16 8.02 4.77 3.93 5.91
2010 1.24 1.10 0.85 0.63 -6.73 3.16 4.16 2.05 1.59 2.14 2.24 1.94 14.89
2009 2.06 1.89 0.46 1.89 1.75 2.01 1.01 1.42 1.74 1.85 1.40 0.88 19.97
2008 0.59 2.80 3.41
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
No data filled

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

No data filled

Return Statistics

Last Month -
Year To Date 0.62%
3 Month ROR 2.85%
12 Months ROR 11.97%
36 Month ROR 48.93%
Total Return Cumulative 279.21%
Total Return Annualized 9.13%
Best Month 8.02%
Winning Months (%) 79.23%
Gain Deviation 1.27

Risk Statistics

Standard Deviation Annualized 10.49%
Max Drawdown (Monthly) -18.73%
Max Drawdown Length 8
Worst Month -17.68%
Losing Months (%) 20.77%
Average Losing Month -3.52%
Loss Deviation 3.83
Correlation vs S&P 500 0.42
Correlation vs DJ/CS MF 0.03

Risk/Reward Statistics

Sharpe Ratio 0.89
Sortino Ratio 1.07
Omega Ratio 0.94
Skewness -2.76
Kurtosis 12.91

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -18.73% 3 5 06/2011 01/2012
2 -18.29% 8 15 08/2015 06/2017
3 -17.76% 2 15 02/2020 06/2021
4 -12.23% 5 16 11/2017 07/2019
5 -6.73% 1 2 05/2010 07/2010

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 8.02%-17.68%0.78%1.40%0.62%79.23%
3 Months 17.62%-18.73%2.36%3.36%2.85%79.01%
6 Months 28.13%-15.84%4.68%5.63%6.30%82.58%
1 Year 43.46%-14.61%9.23%11.52%11.97%78.49%
2 Years 56.94%-12.65%18.14%19.33%22.90%90.63%
3 Years 83.46%-13.73%27.65%21.00%48.93%87.84%
5 Years 114.49%-7.81%45.62%35.85%43.47%91.94%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg9.13%29.83%67.07%170.84%570.66%1471.22%
% Positive79.23%79.01%82.58%78.49%90.63%87.84%
Avg. Pos. Period1.91%4.51%7.53%13.90%20.47%32.38%
Avg. Neg. Period-3.52%-5.74%-8.81%-7.82%-4.38%-6.52%
Sharpe Ratio0.891.482.052.914.194.44
Sortino Ratio1.072.033.557.3035.0933.09
Standard Deviation3.03%5.52%7.93%10.98%14.99%21.59%
Downside Deviation2.37%3.75%4.27%4.11%1.70%2.70%
No data filled

Company Information

Minimum Investment20,000 USD (notional funding: 0.00%)
AUM12,854,069 USD
Management Fee0% to 4%
Performance Fee15% to 35%
Highwater MarkYes
RT per Million4500
Margin to Equity60.00%
Legal StructureManaged Account
Investment RestrictionNone

Company Information

CompanyWhite River Group
PrincipalAndreas Diessbacher
Phone+1-312-612-1080
E-mail[email protected]
License NumberNFA 378844
LocationUnited States
Performance Compiled byDan Scheffel

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.62 0.62
2023 1.44 0.91 0.07 1.44 0.70 0.97 1.14 1.14 0.75 1.43 1.30 0.90 12.89
2022 -3.41 -0.52 2.98 -2.12 2.81 -4.66 2.03 1.50 0.82 2.86 1.69 0.80 4.51
2021 0.44 3.35 4.21 1.64 2.34 2.03 1.39 1.65 1.46 1.62 0.90 2.37 26.01
2020 0.12 -17.68 -0.10 1.98 3.57 -3.23 1.89 0.60 -3.85 0.58 1.92 3.03 -12.40
2019 4.37 1.52 1.40 1.44 -1.53 2.05 1.52 -3.29 2.42 0.53 2.78 0.43 14.28
2018 -7.03 -2.82 -1.52 0.26 2.61 0.85 3.53 1.08 3.05 -2.90 -0.22 -4.88 -8.26
2017 2.45 0.42 0.64 2.23 -0.76 2.38 2.57 0.68 -0.21 0.87 -2.12 0.78 10.27
2016 -9.86 -3.71 -0.31 1.56 3.13 3.46 -1.69 2.79 0.79 1.89 1.67 -0.44 -1.51
2015 2.30 4.38 1.61 1.74 1.20 2.48 1.87 -7.37 2.96 0.21 1.68 -2.82 10.14
2014 -1.37 2.48 2.04 -2.91 4.22 0.71 -3.59 5.09 1.00 -2.24 3.67 -3.14 5.58
2013 0.77 0.50 0.56 -0.41 1.34 -1.95 2.60 2.62 0.20 1.73 4.70 2.86 16.48
2012 3.79 3.75 0.68 4.05 1.10 1.89 -1.94 5.81 -1.27 2.04 0.09 2.25 24.31
2011 2.11 2.37 0.69 2.05 1.96 -3.06 0.12 -16.26 1.16 8.02 4.77 3.93 5.91
2010 1.24 1.10 0.85 0.63 -6.73 3.16 4.16 2.05 1.59 2.14 2.24 1.94 14.89
2009 2.06 1.89 0.46 1.89 1.75 2.01 1.01 1.42 1.74 1.85 1.40 0.88 19.97
2008 0.59 2.80 3.41
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

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.

Return Statistics

Last Month -
Year To Date 0.62%
3 Month ROR 2.85%
12 Months ROR 11.97%
36 Month ROR 48.93%
Total Return Cumulative 279.21%
Total Return Annualized 9.13%
Best Month 8.02%
Winning Months (%) 79.23%
Gain Deviation 1.27

Risk Statistics

Standard Deviation Annualized 10.49%
Max Drawdown (Monthly) -18.73%
Max Drawdown Length 8
Worst Month -17.68%
Losing Months (%) 20.77%
Average Losing Month -3.52%
Loss Deviation 3.83
Correlation vs S&P 500 0.42
Correlation vs DJ/CS MF 0.03

Risk/Reward Statistics

Sharpe Ratio 0.89
Sortino Ratio 1.07
Omega Ratio 0.94
Skewness -2.76
Kurtosis 12.91

Performance (VAMI)

Fund Manager

Mr. Diessbacher became registered with the CFTC as an associated person of Professional Market Brokerage Inc, a Future Commission Merchant (FCM), in April 1999. During his employment he established and managed a trading desk supporting German speaking clients. In November of 2001, Refco LLC (FCM) acquired the business of Professional Market Brokerage Inc and Mr. Diessbacher became an Associated Person with Refco LLC. He continued to manage a trading desk and introduced Foreign Exchange Trading to existing clients and Introducing Brokers (IB). In November 2001, Mr. Diessbacher also registered as an associated person with Marblehead Financial Group Inc., a commodity trading advisor (CTA). He had no duties while being registered with Marblehead Financial Group Inc. Refco LLC was purchased in November 2005 by Man Financial, Inc., at which point Mr. Diessbacher became an Associate Person of Man Financial, Inc. (FCM). While at Man Financial Inc. he served as a liaison for Introducing Brokers (IB) and started trading customer accounts. In January 2007, Mr. Diessbacher deregistered his associated person status with Marblehead Financial Group Inc. In July 2007, Man Financial was spun off by its parent company Man Group, Inc (a UK based hedge fund) and made an initial public offering on the New York Stock Exchange as MF Global (NYSE Listed MF). His function at MF Global Inc. remained unchanged to his duties at Man Financial Inc. In April 2011, Mr. Diessbacher left MF Global Inc. to form Andreas Diessbacher (sole proprietorship), a guaranteed introducing broker of MF Global Inc. Mr. Diessbacher became listed as a principal and registered as an Associated Person of Andreas Diessbacher (sole proprietorship) in April 2011. As a guaranteed introducing broker of MF Global Inc., Mr. Diessbacher continued to introduce and service customer accounts with MF Global Inc. In November 2011, Andreas Diessbacher (sole proprietorship) ceased to be a guaranteed introducing broker of MF Global Inc. and became a guaranteed introducing broker for RJ O’Brien Associates LLC. Mr. Diessbacher introduced and serviced customer accounts with RJ O’Brien Associates LLC. In May 2012 Mr. Diessbacher withdrew his sole proprietorship and guaranteed introducing brokerage status with RJ O’Brien Associates LLC and purely concentrates on his CTA business.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -18.73% 3 5 06/2011 01/2012
2 -18.29% 8 15 08/2015 06/2017
3 -17.76% 2 15 02/2020 06/2021
4 -12.23% 5 16 11/2017 07/2019
5 -6.73% 1 2 05/2010 07/2010

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 8.02%-17.68%0.78%1.40%0.62%79.23%
3 Months 17.62%-18.73%2.36%3.36%2.85%79.01%
6 Months 28.13%-15.84%4.68%5.63%6.30%82.58%
1 Year 43.46%-14.61%9.23%11.52%11.97%78.49%
2 Years 56.94%-12.65%18.14%19.33%22.90%90.63%
3 Years 83.46%-13.73%27.65%21.00%48.93%87.84%
5 Years 114.49%-7.81%45.62%35.85%43.47%91.94%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg9.13%29.83%67.07%170.84%570.66%1471.22%
% Positive79.23%79.01%82.58%78.49%90.63%87.84%
Avg. Pos. Period1.91%4.51%7.53%13.90%20.47%32.38%
Avg. Neg. Period-3.52%-5.74%-8.81%-7.82%-4.38%-6.52%
Sharpe Ratio0.891.482.052.914.194.44
Sortino Ratio1.072.033.557.3035.0933.09
Standard Deviation3.03%5.52%7.93%10.98%14.99%21.59%
Downside Deviation2.37%3.75%4.27%4.11%1.70%2.70%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.