Witter & Lester, Inc. : Redstone

Year-to-Date
2.69%
May Performance
0.68%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.71%
Sharpe (RFR=1%)
0.51
CAROR
3.33%
Assets
$ 479k
Worst DD
-11.60
S&P Correlation
0.37

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
9/1994
Redstone 0.68 2.51 2.69 0.18 0.29 -0.72 12.41 124.81
S&P 500 -6.58 -1.17 9.77 1.72 29.91 41.62 196.32 488.62
+/- S&P 500 7.26 3.68 -7.08 -1.55 -29.61 -42.33 -183.91 -363.81

Strategy Description

Investment Strategy

Reflects the performance of the REDSTONE PROGRAM, a short-term technical systematic approach based on pattern recognition. Positions are built using a combination of stock index futures and options.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
350 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

Reflects the performance of the REDSTONE PROGRAM, a short-term technical systematic approach based on pattern recognition. Positions are built using a combination of stock index futures and options.

   

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
-11.60 8 34 1/1/2001 9/1/2001
-9.37 11 13 11/1/1996 10/1/1997
-8.75 10 6 12/1/2007 10/1/2008
-7.70 13 - 12/1/2017 1/1/2019
-6.06 3 11 3/1/2010 6/1/2010
-5.89 1 3 6/1/1996 7/1/1996
-2.91 7 14 7/1/2015 2/1/2016
-1.55 1 3 3/1/2000 4/1/2000
-1.52 2 2 9/1/2000 11/1/2000
-1.35 2 2 12/1/1995 2/1/1996
-1.28 6 5 4/1/2009 10/1/2009
-1.15 4 5 9/1/2014 1/1/2015
-1.03 5 7 3/1/2005 8/1/2005
-0.79 1 2 6/1/2011 7/1/2011
-0.73 1 1 12/1/2004 1/1/2005
-0.68 1 2 10/1/1999 11/1/1999
-0.63 1 1 8/1/2004 9/1/2004
-0.58 2 1 6/1/2007 8/1/2007
-0.46 2 1 11/1/2006 1/1/2007
-0.42 1 1 6/1/2014 7/1/2014
-0.33 1 1 6/1/1995 7/1/1995
-0.26 2 1 4/1/2013 6/1/2013
-0.18 1 1 4/1/2006 5/1/2006
-0.17 1 1 10/1/2007 11/1/2007
-0.15 1 1 4/1/1999 5/1/1999
-0.14 1 1 9/1/2012 10/1/2012
-0.07 1 1 1/1/2013 2/1/2013
-0.03 1 1 3/1/2014 4/1/2014
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
19.31 10 9/1/1994 6/1/1995
14.28 25 8/1/2002 8/1/2004
12.68 8 9/1/1998 4/1/1999
11.12 5 8/1/1995 12/1/1995
10.07 6 11/1/2008 4/1/2009
9.97 9 11/1/1997 7/1/1998
9.59 4 8/1/1996 11/1/1996
8.01 14 8/1/2011 9/1/2012
6.93 5 6/1/1999 10/1/1999
6.45 4 3/1/1996 6/1/1996
5.20 15 10/1/2016 12/1/2017
5.00 4 12/1/1999 3/1/2000
4.99 6 10/1/2001 3/1/2002
4.09 4 9/1/2010 12/1/2010
3.65 2 2/1/1997 3/1/1997
3.64 5 2/1/2007 6/1/2007
3.33 3 2/1/2008 4/1/2008
3.03 2 12/1/2000 1/1/2001
2.96 4 2/1/2019 5/1/2019
2.89 3 7/1/2000 9/1/2000
2.44 9 7/1/2013 3/1/2014
2.41 2 8/1/1997 9/1/1997
2.17 3 10/1/2004 12/1/2004
1.93 1 7/1/2010 7/1/2010
1.86 6 6/1/2006 11/1/2006
1.63 3 9/1/2015 11/1/2015
1.43 2 9/1/2007 10/1/2007
1.43 3 11/1/2012 1/1/2013
1.42 3 2/1/2006 4/1/2006
1.35 5 11/1/2009 3/1/2010
1.29 2 2/1/2005 3/1/2005
1.21 3 4/1/2011 6/1/2011
1.15 1 5/1/2000 5/1/2000
1.06 3 7/1/2018 9/1/2018
1.00 3 2/1/2015 4/1/2015
0.97 4 5/1/2016 8/1/2016
0.95 1 12/1/2007 12/1/2007
0.81 2 8/1/2014 9/1/2014
0.80 2 5/1/2014 6/1/2014
0.79 1 8/1/2008 8/1/2008
0.74 2 9/1/2005 10/1/2005
0.71 1 9/1/2009 9/1/2009
0.67 2 6/1/2015 7/1/2015
0.60 1 2/1/2011 2/1/2011
0.49 1 11/1/2014 11/1/2014
0.46 2 3/1/2013 4/1/2013
0.42 1 3/1/2016 3/1/2016
0.41 2 5/1/2005 6/1/2005
0.37 1 3/1/2018 3/1/2018
0.34 1 5/1/2001 5/1/2001
0.29 1 7/1/2001 7/1/2001
0.04 1 6/1/2009 6/1/2009
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-8.51 3 2/1/2001 4/1/2001
-7.63 2 12/1/1996 1/1/1997
-6.77 2 9/1/2008 10/1/2008
-6.06 3 4/1/2010 6/1/2010
-5.89 1 7/1/1996 7/1/1996
-5.15 4 4/1/1997 7/1/1997
-5.00 1 1/1/2008 1/1/2008
-4.85 2 1/1/2018 2/1/2018
-4.29 4 4/1/2002 7/1/2002
-3.98 2 8/1/2001 9/1/2001
-3.58 4 10/1/2018 1/1/2019
-3.21 1 8/1/1998 8/1/1998
-2.58 1 8/1/2015 8/1/2015
-2.54 1 10/1/1997 10/1/1997
-1.93 3 12/1/2015 2/1/2016
-1.55 1 4/1/2000 4/1/2000
-1.52 2 10/1/2000 11/1/2000
-1.35 2 1/1/1996 2/1/1996
-1.07 3 5/1/2008 7/1/2008
-0.89 1 10/1/2014 10/1/2014
-0.88 2 7/1/2005 8/1/2005
-0.82 3 4/1/2018 6/1/2018
-0.79 1 7/1/2011 7/1/2011
-0.78 1 10/1/2009 10/1/2009
-0.75 2 12/1/2014 1/1/2015
-0.73 1 1/1/2005 1/1/2005
-0.68 1 11/1/1999 11/1/1999
-0.63 1 5/1/2009 5/1/2009
-0.63 1 9/1/2004 9/1/2004
-0.62 2 7/1/2009 8/1/2009
-0.58 2 7/1/2007 8/1/2007
-0.56 1 4/1/2005 4/1/2005
-0.46 2 12/1/2006 1/1/2007
-0.44 1 1/1/2011 1/1/2011
-0.42 1 7/1/2014 7/1/2014
-0.40 3 11/1/2005 1/1/2006
-0.33 1 7/1/1995 7/1/1995
-0.31 1 8/1/2010 8/1/2010
-0.26 2 5/1/2013 6/1/2013
-0.24 1 9/1/2016 9/1/2016
-0.22 1 3/1/2011 3/1/2011
-0.18 1 5/1/2006 5/1/2006
-0.17 1 11/1/2007 11/1/2007
-0.15 1 5/1/1999 5/1/1999
-0.14 1 10/1/2012 10/1/2012
-0.07 1 2/1/2013 2/1/2013
-0.03 1 5/1/2015 5/1/2015
-0.03 1 4/1/2014 4/1/2014
-0.01 1 4/1/2016 4/1/2016
-0.01 1 6/1/2001 6/1/2001
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods297.00295.00292.00286.00280.00274.00262.00250.00238.00
Percent Profitable71.7272.5472.2674.8375.3681.7585.5094.0097.48
Average Period Return0.280.821.593.124.576.018.8712.0715.19
Average Gain0.821.873.145.226.947.9610.6412.9415.63
Average Loss-1.11-1.94-2.47-3.10-2.69-2.71-1.56-1.55-1.71
Best Period4.137.2812.6022.0930.3633.5736.1138.0763.85
Worst Period-6.45-8.51-7.94-10.31-11.17-9.49-4.06-3.07-2.36
Standard Deviation1.362.483.535.607.077.938.529.7411.72
Gain Standard Deviation0.791.692.654.696.447.407.959.3911.55
Loss Standard Deviation1.552.061.992.742.492.450.880.940.73
Sharpe Ratio (1%)0.150.230.310.380.430.500.690.820.86
Average Gain / Average Loss0.740.971.271.682.582.946.828.379.15
Profit / Loss Ratio1.922.553.315.007.9013.1840.21131.13353.78
Downside Deviation (10%)1.142.012.924.726.237.5210.1412.9715.93
Downside Deviation (5%)1.021.571.882.472.442.301.881.551.35
Downside Deviation (0%)1.001.481.672.071.811.550.680.440.29
Sortino Ratio (10%)-0.11-0.20-0.30-0.40-0.49-0.56-0.68-0.73-0.78
Sortino Ratio (5%)0.190.370.580.861.261.743.115.167.47
Sortino Ratio (0%)0.280.560.951.512.523.8713.0627.4752.17

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 9 0.68 5/2019
Stock Index Trader Index Month 9 1.48 9/2010
Stock Index Trader Index Month 5 2.06 3/2009
Stock Index Trader Index Month 8 4.13 12/2008
Stock Index Trader Index Month 10 -3.20 9/2008
Stock Index Trader Index Month 10 0.08 3/2008
Stock Index Trader Index Month 10 1.43 2/2008
Stock Index Trader Index Month 7 -5.00 1/2008
Stock Index Trader Index Month 10 0.95 12/2007
Stock Index Trader Index Month 10 -0.17 11/2007
Stock Index Trader Index Month 9 1.42 9/2007
Stock Index Trader Index Month 8 -0.34 7/2007
Stock Index Trader Index Month 9 1.16 5/2007
Stock Index Trader Index Month 4 0.55 4/2007
Stock Index Trader Index Month 7 0.17 3/2007
Stock Index Trader Index Month 8 0.60 2/2007
Stock Index Trader Index Month 10 0.23 10/2006
Stock Index Trader Index Month 9 0.34 7/2006
Stock Index Trader Index Month 9 0.59 6/2006
Stock Index Trader Index Month 6 -0.18 5/2006
Stock Index Trader Index Month 10 0.44 4/2006
Stock Index Trader Index Month 9 0.54 3/2006
Stock Index Trader Index Month 9 0.43 2/2006
Stock Index Trader Index Month 8 -0.17 1/2006
Stock Index Trader Index Month 9 -0.18 12/2005
Stock Index Trader Index Month 6 -0.05 11/2005
Stock Index Trader Index Month 8 0.35 10/2005
Stock Index Trader Index Month 9 0.39 9/2005
Stock Index Trader Index Month 8 -0.62 8/2005
Stock Index Trader Index Month 5 -0.26 7/2005
Stock Index Trader Index Month 7 0.17 6/2005
Stock Index Trader Index Month 9 0.24 5/2005
Stock Index Trader Index Month 8 -0.56 4/2005
Stock Index Trader Index Month 8 0.13 3/2005
Stock Index Trader Index Month 7 1.16 2/2005
Stock Index Trader Index Month 8 -0.73 1/2005
Stock Index Trader Index Month 8 0.15 12/2004
Stock Index Trader Index Month 4 0.89 11/2004
Stock Index Trader Index Month 6 1.12 10/2004
Stock Index Trader Index Month 8 -0.63 9/2004
Stock Index Trader Index Month 7 1.26 8/2004
Stock Index Trader Index Month 9 0.41 7/2004
Stock Index Trader Index Month 7 0.36 6/2004
Stock Index Trader Index Month 8 0.06 5/2004
Stock Index Trader Index Month 9 0.44 4/2004
Stock Index Trader Index Month 8 0.91 3/2004
Stock Index Trader Index Month 9 0.13 2/2004
Stock Index Trader Index Month 6 0.96 1/2004
Stock Index Trader Index Month 4 0.22 12/2003
Stock Index Trader Index Month 6 0.70 11/2003
Stock Index Trader Index Month 8 0.39 10/2003
Stock Index Trader Index Month 6 0.25 9/2003
Stock Index Trader Index Month 7 0.14 8/2003
Stock Index Trader Index Month 6 0.05 7/2003
Stock Index Trader Index Month 7 0.10 6/2003
Stock Index Trader Index Month 7 0.40 5/2003
Stock Index Trader Index Month 4 0.50 4/2003
Stock Index Trader Index Month 6 0.89 3/2003
Systematic Trader Index Month 9 0.89 3/2003
Stock Index Trader Index Month 4 1.09 2/2003
Stock Index Trader Index Month 5 0.27 1/2003
Stock Index Trader Index Month 5 1.23 12/2002
Stock Index Trader Index Month 4 0.45 11/2002
Stock Index Trader Index Month 3 0.30 10/2002
Systematic Trader Index Month 7 0.30 10/2002
Stock Index Trader Index Month 5 1.81 9/2002
Stock Index Trader Index Month 5 0.09 8/2002
Stock Index Trader Index Month 2 -3.58 7/2002
Stock Index Trader Index Month 2 -0.37 6/2002
Stock Index Trader Index Month 5 0.00 5/2002
Stock Index Trader Index Month 4 -0.37 4/2002
Stock Index Trader Index Month 4 0.64 3/2002
Stock Index Trader Index Month 4 1.51 2/2002
Systematic Trader Index Month 6 1.51 2/2002
IASG CTA Index Month 10 1.51 2/2002
Stock Index Trader Index Month 5 0.06 1/2002
Stock Index Trader Index Month 5 0.92 12/2001
Stock Index Trader Index Month 4 1.41 11/2001
Systematic Trader Index Month 4 1.41 11/2001
IASG CTA Index Month 7 1.41 11/2001
Stock Index Trader Index Month 6 0.36 10/2001
Stock Index Trader Index Month 2 -3.01 9/2001
Stock Index Trader Index Month 5 -1.00 8/2001
Stock Index Trader Index Month 5 0.29 7/2001
Stock Index Trader Index Month 4 -0.01 6/2001
Stock Index Trader Index Month 5 0.34 5/2001
Stock Index Trader Index Month 4 -0.12 4/2001
Systematic Trader Index Month 9 -0.12 4/2001
Stock Index Trader Index Month 5 -3.96 3/2001
Stock Index Trader Index Month 4 -4.62 2/2001
Stock Index Trader Index Month 5 1.97 1/2001
Stock Index Trader Index Month 5 1.04 12/2000
Stock Index Trader Index Month 4 -1.00 11/2000
Stock Index Trader Index Month 5 -0.53 10/2000
Stock Index Trader Index Month 4 0.34 9/2000
Stock Index Trader Index Month 5 1.11 8/2000
Stock Index Trader Index Month 4 1.42 7/2000
Systematic Trader Index Month 8 1.42 7/2000
Stock Index Trader Index Month 5 0.00 6/2000
Stock Index Trader Index Month 4 1.15 5/2000

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.