Witter & Lester, Inc. : Diversified Trading Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A 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 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since4/2013 Diversified Trading Program -2.40 - - - -9.36 -8.30 - 17.55 S&P 500 6.89 - - - 38.73 48.55 - 102.67 +/- S&P 500 -9.29 - - - -48.10 -56.85 - -85.12 Strategy Description SummaryIn 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... Read More 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% Decision-Making Discretionary 90.00% Systematic 10.00% Strategy Pattern Recognition 60.00% Seasonal/cyclical 30.00% Technical 10.00% Composition Currency FX 30.00% Grains 20.00% Stock Indices 20.00% Currency Futures 10.00% Interest Rates 10.00% Precious Metals 5.00% Energy 5.00% SummaryIn 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. 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods75.0073.0070.0064.0058.0052.0040.0028.00 Percent Profitable60.0058.9060.0056.2553.4557.6965.0071.43 Average Period Return0.250.851.682.533.434.465.958.16 Average Gain1.793.114.546.739.3410.5111.6912.35 Average Loss-2.07-2.40-2.63-2.87-3.36-3.79-4.70-2.34 Best Period6.1711.2719.4421.2926.7131.4332.1629.71 Worst Period-6.50-8.79-7.72-6.63-7.50-10.88-9.88-6.16 Standard Deviation2.503.725.046.478.279.9511.6310.58 Gain Standard Deviation1.582.894.395.657.038.8510.499.64 Loss Standard Deviation1.721.901.921.591.902.942.491.86 Sharpe Ratio (1%)0.070.160.230.240.230.250.250.39 Average Gain / Average Loss0.871.291.732.342.782.772.495.27 Profit / Loss Ratio1.301.862.603.013.193.784.6213.19 Downside Deviation (10%)1.902.633.515.527.9410.1014.1816.80 Downside Deviation (5%)1.732.082.312.763.574.244.833.66 Downside Deviation (0%)1.691.952.052.162.623.093.121.56 Sortino Ratio (10%)-0.08-0.15-0.23-0.45-0.52-0.57-0.69-0.80 Sortino Ratio (5%)0.090.290.510.550.540.580.611.12 Sortino Ratio (0%)0.150.430.821.171.311.441.915.23 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. x {{title}} x {{title}} Add Cancel