Witter & Lester, Inc. : Diversified Trading Program

Year-to-Date: 4.47%
Jun Performance: -2.40%

Min Investment: $ 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 8.67%
Sharpe (RFR=1%): 0.23
CAROR: 2.62%

Assets: $ 394k
Worst DD: -13.84
S&P Correlation: 0.05

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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	Jun	Qtr	2019	1yr	3yr	5yr	10yr	Since 4/2013
Diversified Trading Program	-2.40	-5.53	-4.47	-3.96	-12.55	-3.63	-	17.55
S&P 500	6.89	3.78	17.34	8.21	38.73	48.55	-	84.66
+/- S&P 500	-9.29	-9.32	-21.81	-12.16	-51.28	-52.17	-	-67.11

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 100k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 2.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $15.00
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: 800 RT/YR/$M
Avg. Margin-to-Equity: 10%
Targeted Worst DD: -10.00%
Worst Peak-to-Trough: -4.67%
Sector Focus: Diversified Traders

Holding Periods

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

Summary

In 2010, we began the process of sifting through our S&P evaluation software with the idea of evaluating the practicality of using a subset of 20 years of S&P research to analyze any 30 years of daily closing prices for any market of interest. We have taken six of our favorite S&P models and added two models to form the basis of our Diversified Trading Program (DTP). We began the trading of this program on Oct 23, 2012 with the intent of documenting the first 100 trades. As of two years later, it has 209 trades under its belt and is now being offered to interest clients. The program trades in $100,000 denominations, with the philosophy of focusing on those 7-8 high probability trades each month in which one of the 14 candidate markets which we evaluate grades out extremely well across the eight different evaluation criteria.

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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

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-13.84	34	-	8/1/2016	6/1/2019
-6.84	2	9	9/1/2015	11/1/2015
-4.78	1	3	5/1/2015	6/1/2015
-4.67	1	2	4/1/2013	5/1/2013
-4.64	1	2	9/1/2014	10/1/2014
-2.91	1	2	12/1/2014	1/1/2015
-1.87	3	1	12/1/2013	3/1/2014
-1.48	1	1	4/1/2014	5/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
21.06	7	6/1/2013	12/1/2013
6.65	2	11/1/2014	12/1/2014
6.57	2	7/1/2016	8/1/2016
6.17	1	9/1/2015	9/1/2015
5.49	4	6/1/2014	9/1/2014
5.40	4	2/1/2015	5/1/2015
5.24	2	12/1/2015	1/1/2016
4.89	1	7/1/2015	7/1/2015
3.43	6	3/1/2017	8/1/2017
2.85	1	3/1/2016	3/1/2016
2.70	3	9/1/2018	11/1/2018
2.44	1	4/1/2013	4/1/2013
2.29	1	4/1/2014	4/1/2014
1.86	2	11/1/2017	12/1/2017
1.35	2	12/1/2016	1/1/2017
1.23	1	4/1/2019	4/1/2019
1.21	1	2/1/2014	2/1/2014
1.03	2	2/1/2018	3/1/2018
0.79	1	1/1/2019	1/1/2019
0.04	1	7/1/2018	7/1/2018

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-8.79	3	9/1/2016	11/1/2016
-6.84	2	10/1/2015	11/1/2015
-5.53	2	5/1/2019	6/1/2019
-4.87	1	2/1/2016	2/1/2016
-4.78	1	6/1/2015	6/1/2015
-4.67	1	5/1/2013	5/1/2013
-4.64	1	10/1/2014	10/1/2014
-4.27	3	4/1/2018	6/1/2018
-4.19	2	9/1/2017	10/1/2017
-2.91	1	1/1/2015	1/1/2015
-1.79	1	1/1/2014	1/1/2014
-1.48	1	5/1/2014	5/1/2014
-1.45	1	12/1/2018	12/1/2018
-1.31	3	4/1/2016	6/1/2016
-1.28	1	3/1/2014	3/1/2014
-0.89	2	2/1/2019	3/1/2019
-0.66	1	8/1/2018	8/1/2018
-0.65	1	8/1/2015	8/1/2015
-0.46	1	1/1/2018	1/1/2018
-0.18	1	2/1/2017	2/1/2017

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	75.00	73.00	70.00	64.00	58.00	52.00	40.00	28.00
Percent Profitable	60.00	58.90	60.00	56.25	53.45	57.69	65.00	71.43
Average Period Return	0.25	0.85	1.68	2.53	3.43	4.46	5.95	8.16
Average Gain	1.79	3.11	4.54	6.73	9.34	10.51	11.69	12.35
Average Loss	-2.07	-2.40	-2.63	-2.87	-3.36	-3.79	-4.70	-2.34
Best Period	6.17	11.27	19.44	21.29	26.71	31.43	32.16	29.71
Worst Period	-6.50	-8.79	-7.72	-6.63	-7.50	-10.88	-9.88	-6.16
Standard Deviation	2.50	3.72	5.04	6.47	8.27	9.95	11.63	10.58
Gain Standard Deviation	1.58	2.89	4.39	5.65	7.03	8.85	10.49	9.64
Loss Standard Deviation	1.72	1.90	1.92	1.59	1.90	2.94	2.49	1.86
Sharpe Ratio (1%)	0.07	0.16	0.23	0.24	0.23	0.25	0.25	0.39
Average Gain / Average Loss	0.87	1.29	1.73	2.34	2.78	2.77	2.49	5.27
Profit / Loss Ratio	1.30	1.86	2.60	3.01	3.19	3.78	4.62	13.19
Downside Deviation (10%)	1.90	2.63	3.51	5.52	7.94	10.10	14.18	16.80
Downside Deviation (5%)	1.73	2.08	2.31	2.76	3.57	4.24	4.83	3.66
Downside Deviation (0%)	1.69	1.95	2.05	2.16	2.62	3.09	3.12	1.56
Sortino Ratio (10%)	-0.08	-0.15	-0.23	-0.45	-0.52	-0.57	-0.69	-0.80
Sortino Ratio (5%)	0.09	0.29	0.51	0.55	0.54	0.58	0.61	1.12
Sortino Ratio (0%)	0.15	0.43	0.82	1.17	1.31	1.44	1.91	5.23

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Discretionary Trader Index	Month	8	2.37	7/2017
Diversified Trader Index	Month	7	1.50	8/2016
Discretionary Trader Index	Month	4	5.00	7/2016
IASG CTA Index	Month	8	5.00	7/2016
Diversified Trader Index	Month	9	5.00	7/2016
Discretionary Trader Index	Month	4	2.86	3/2016
Discretionary Trader Index	Month	9	2.43	1/2016
Discretionary Trader Index	Month	5	2.74	12/2015
Diversified Trader Index	Month	7	2.74	12/2015
IASG CTA Index	Month	9	2.74	12/2015
Discretionary Trader Index	Month	6	6.17	9/2015
Discretionary Trader Index	Month	5	4.31	12/2014

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

DISCRETIONARY TRADER INDEX

JULY
2017

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Witter & Lester, Inc. : Diversified Trading Program

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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