Witter & Lester, Inc. : Stock Index Futures Trading Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Sep Performance 1.85% Min Investment $ 400k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 18.19% Sharpe (RFR=1%) 0.52 CAROR 9.16% Assets $ 0k Worst DD -43.18 S&P Correlation 0.17 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since1/1988 Stock Index Futures Trading Program 1.85 - - - - - 13.83 1,038.12 S&P 500 -2.64 - - - - - 56.23 1,414.90 +/- S&P 500 4.49 - - - - - -42.39 -376.78 Strategy Description SummaryThe Investment Methodology currently used by the Advisor has been consistently applied since the mid 1970's. As Trust Investment Officers at First Alabama Bank, Mr. Witter and Mr. Lester recognized that equity investments over time have provided superior returns. The challenge was... Read More Account & Fees Type Managed Account Minimum Investment $ 400k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark No Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 600 RT/YR/$M Avg. Margin-to-Equity 25% Targeted Worst DD Worst Peak-to-Trough 0% 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 30.00% Systematic 70.00% Strategy Composition Stock Indices 100.00% SummaryThe Investment Methodology currently used by the Advisor has been consistently applied since the mid 1970's. As Trust Investment Officers at First Alabama Bank, Mr. Witter and Mr. Lester recognized that equity investments over time have provided superior returns. The challenge was to produce consistent total returns despite the volatility associated with equity investments. With that in mind, the Advisors developed a warning system designed to identify any potential for a sharp stock market decline. The following criteria proved to have the highest correlation with changes in market direction: (1) Momentum - Prior to a short term change in the direction of stock prices, the momentum of the existing trend will slow perceptibly. In other words, before a market declines, it must stop going up. Momentum is measured by mathematical relationships involving the daily number of stocks that advance and decline, the number of issues making new highs and new lows, and divergences among the numerous market indices. (2) Volume - Price movements in a stock are often preceded by a change in the daily trading volume of its shares. Using the Dow 30 Stocks as a market proxy, the Advisor believes that changes of volume patterns in the Dow stocks indicate a future change in the direction of stock prices in general. (3) Inventory Accumulation and Liquidation - Inventory control is essential to any business, and the stock market is no different. Professional traders are keenly aware of trading conditions and the supply-demand factors affecting the market place on any given day. An analysis of each day's trading volume gives information as to whether this knowledgeable group of investors is accumulating or distributing shares. The first application of the Advisor's methodology was a simple mutual fund timing strategy. Begun in 1979 while the Advisors were serving as Trust Investment Officers at First Alabama Bank, this program was designed for the conservative investor whose risk tolerance is very small. Unleveraged "long" positions were taken only in market environments that the Advisor judged to be free of potential weakness. "Cash" positions were held in all other environments. Since then, the Advisor's trading methodology has been applied to a variety of different strategies. STOCK INDEX FUTURES TRADING PROGRAM In 1982, the Stock Index Futures Trading Program was created by applying the Advisor's traditional market analysis to the newly created Stock Index Futures market. Utilizing the added liquidity of the futures contract, the program is designed to more aggressively seek above average total returns. In addition to "long" and "cash" positions, the Stock Index Futures Trading Program offers the opportunity to profit from market declines. The prudent use of leverage may also serve to enhance returns. The Advisor started trading client funds in September 1983. From 1983 to March 1988 the Advisor was exempt from registration under Section 4.(M) of the regulations. Registration as a CTA was effective in March of 1988. INTERMEDIATE TRADING PROGRAM With the Stock Index Futures Program approaching capacity, the Advisor began to explore new applications for the market timing model. The Intermediate Trading Program combines the most successful elements of the Advisor's existing programs into a single, dynamic strategy. The Intermediate Trading Program takes both "long" and "short" positions by focusing on a 2-3 week stock market outlook. Daily indicators aid in order entry and risk control. Options are used to soften volatility while providing an element of yield enhancement. Leverage has been adjusted to produce an optimum risk/reward profile.The Intermediate Trading Program is currently closed to new investors. THE REDSTONE PROGRAM The Redstone Program stems from a research effort begun in 1993 to automate the interpretation of traditional Witter & Lester market analysis. This effort was guided by Lon Witter with the assistance of Wayne Whaley. After the initial exercise was completed, Mr. Whaley used computer optimization to incorporate several additional indicators that had been used successfully in his own personal trading since 1988. The resulting stock market model is based on pattern recognition of the following nine indicators: 1) Candlestick theory 6) Put/Call ratio 2) Climax Indicator 7) Seasonal variable 3) Volume trends 8) TRIN 4) Momentum 9) Valuation/Sentiment 5) New high / lows Each day the market timing model produces a rating between 0 and 100 where a rating above 52.5 is bullish and a rating below 47.5 is bearish. This daily analysis drives the degree of long or short exposure taken in the program each day. Positions are built using a combination of stock index futures and options. REDSTONE INSTITUTIONAL PROGRAM The Redstone Institutional Program was created at the request of a client. The program is traded parallel with the Redstone Trading Program with 2X leverage. 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 -43.18 18 43 1/1/2001 7/1/2002 -33.04 6 10 7/1/1988 1/1/1989 -25.69 2 5 7/1/1990 9/1/1990 -18.72 13 6 6/1/1996 7/1/1997 -18.23 4 6 7/1/1991 11/1/1991 -17.42 5 12 9/1/2007 2/1/2008 -15.51 2 10 1/1/1994 3/1/1994 -15.31 9 8 6/1/1992 3/1/1993 -13.08 16 35 4/1/2009 8/1/2010 -11.90 1 1 4/1/1990 5/1/1990 -8.30 5 2 1/1/1999 6/1/1999 -8.30 1 1 1/1/1988 2/1/1988 -7.40 1 3 3/1/1991 4/1/1991 -6.08 16 3 2/1/2014 6/1/2015 -4.61 1 2 10/1/1999 11/1/1999 -4.22 1 2 10/1/2000 11/1/2000 -4.20 1 2 12/1/1989 1/1/1990 -3.15 1 1 5/1/2000 6/1/2000 -2.77 1 2 2/1/2007 3/1/2007 -2.37 1 1 2/1/1998 3/1/1998 -2.01 2 1 11/1/2006 1/1/2007 -1.18 1 2 7/1/2013 8/1/2013 -1.13 1 1 7/1/1998 8/1/1998 -0.93 1 1 12/1/2013 1/1/2014 -0.66 1 1 9/1/1995 10/1/1995 -0.14 1 1 1/1/1995 2/1/1995 -0.10 1 1 8/1/2000 9/1/2000 Show More Consecutive Gains Run-up Length (Mos.) Start End 51.47 5 8/1/1989 12/1/1989 41.17 8 11/1/1995 6/1/1996 38.11 6 10/1/1990 3/1/1991 35.61 2 2/1/1989 3/1/1989 33.18 9 12/1/2003 8/1/2004 31.89 6 11/1/2008 4/1/2009 26.33 2 6/1/1990 7/1/1990 26.10 7 8/1/1997 2/1/1998 24.04 2 6/1/1988 7/1/1988 23.22 7 3/1/1995 9/1/1995 23.21 6 12/1/1999 5/1/2000 21.13 4 12/1/1991 3/1/1992 20.56 3 2/1/1990 4/1/1990 19.46 6 4/1/2007 9/1/2007 19.16 10 2/1/2006 11/1/2006 17.30 5 8/1/2002 12/1/2002 15.77 5 9/1/1998 1/1/1999 15.37 2 3/1/1988 4/1/1988 15.01 4 7/1/1999 10/1/1999 14.83 4 4/1/1993 7/1/1993 14.60 1 6/1/1989 6/1/1989 14.53 2 3/1/2008 4/1/2008 13.41 3 10/1/2004 12/1/2004 12.41 4 4/1/1998 7/1/1998 12.34 1 4/1/2001 4/1/2001 11.38 2 9/1/1994 10/1/1994 10.15 2 5/1/1992 6/1/1992 9.62 1 8/1/2008 8/1/2008 9.60 2 7/1/2000 8/1/2000 9.48 2 4/1/1994 5/1/1994 9.00 1 7/1/1991 7/1/1991 8.65 3 1/1/2012 3/1/2012 7.78 4 9/1/2010 12/1/2010 7.32 3 3/1/1997 5/1/1997 7.29 3 7/1/2015 9/1/2015 7.20 5 1/1/2013 5/1/2013 6.76 4 5/1/2003 8/1/2003 6.62 3 11/1/1993 1/1/1994 6.50 2 12/1/2000 1/1/2001 5.82 2 12/1/1994 1/1/1995 5.60 1 5/1/1991 5/1/1991 5.05 2 2/1/2005 3/1/2005 4.93 2 8/1/1992 9/1/1992 4.86 4 9/1/2013 12/1/2013 4.72 1 3/1/2002 3/1/2002 4.70 2 9/1/2005 10/1/2005 4.57 3 8/1/2011 10/1/2011 4.40 1 9/1/1993 9/1/1993 4.25 1 12/1/2007 12/1/2007 4.09 1 2/1/2007 2/1/2007 3.60 1 12/1/1988 12/1/1988 3.45 1 10/1/2003 10/1/2003 3.44 1 3/1/2003 3/1/2003 3.40 1 1/1/1993 1/1/1993 3.20 1 1/1/1988 1/1/1988 2.67 1 10/1/2000 10/1/2000 2.64 1 2/1/2011 2/1/2011 2.60 2 5/1/2005 6/1/2005 2.49 1 2/1/2010 2/1/2010 2.47 1 10/1/1996 10/1/1996 2.40 1 7/1/2013 7/1/2013 2.37 1 7/1/2010 7/1/2010 2.31 1 4/1/1999 4/1/1999 2.07 2 7/1/2012 8/1/2012 2.05 2 11/1/2014 12/1/2014 1.92 1 4/1/2011 4/1/2011 1.89 1 7/1/1994 7/1/1994 1.85 1 9/1/2009 9/1/2009 1.83 2 8/1/2014 9/1/2014 1.80 1 10/1/1991 10/1/1991 1.76 1 7/1/2001 7/1/2001 1.62 2 10/1/2001 11/1/2001 1.25 1 8/1/1996 8/1/1996 1.18 2 2/1/2015 3/1/2015 1.01 1 2/1/2014 2/1/2014 1.00 1 12/1/2009 12/1/2009 0.87 1 10/1/2012 10/1/2012 0.60 1 10/1/1988 10/1/1988 0.53 1 12/1/2005 12/1/2005 0.34 1 6/1/2014 6/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -25.69 2 8/1/1990 9/1/1990 -22.61 4 4/1/2002 7/1/2002 -20.80 1 1/1/1989 1/1/1989 -19.17 2 2/1/2001 3/1/2001 -19.10 1 7/1/1989 7/1/1989 -17.67 2 4/1/1989 5/1/1989 -15.80 2 8/1/2001 9/1/2001 -15.51 2 2/1/1994 3/1/1994 -15.39 2 6/1/1997 7/1/1997 -12.61 2 1/1/2008 2/1/2008 -11.90 1 5/1/1990 5/1/1990 -11.05 2 8/1/1991 9/1/1991 -10.30 1 11/1/1988 11/1/1988 -9.81 2 9/1/2008 10/1/2008 -9.78 3 10/1/1992 12/1/1992 -9.70 1 11/1/1991 11/1/1991 -9.56 2 8/1/1988 9/1/1988 -9.35 2 10/1/2007 11/1/2007 -8.54 2 1/1/2003 2/1/2003 -8.30 1 2/1/1988 2/1/1988 -7.92 1 7/1/1996 7/1/1996 -7.40 1 4/1/1991 4/1/1991 -7.17 2 2/1/1993 3/1/1993 -6.80 1 7/1/1992 7/1/1992 -6.39 2 2/1/1999 3/1/1999 -6.31 4 5/1/2009 8/1/2009 -6.22 3 5/1/2011 7/1/2011 -6.12 3 12/1/2001 2/1/2002 -5.91 4 11/1/1996 2/1/1997 -5.80 1 4/1/1992 4/1/1992 -5.64 4 3/1/2010 6/1/2010 -5.53 2 5/1/2001 6/1/2001 -4.61 1 11/1/1999 11/1/1999 -4.52 3 4/1/2012 6/1/2012 -4.48 3 5/1/2008 7/1/2008 -4.26 2 5/1/1999 6/1/1999 -4.22 1 11/1/2000 11/1/2000 -4.20 1 1/1/1990 1/1/1990 -4.12 1 6/1/1994 6/1/1994 -3.82 1 9/1/2004 9/1/2004 -3.67 2 7/1/2005 8/1/2005 -3.52 2 10/1/2009 11/1/2009 -3.47 1 11/1/2003 11/1/2003 -3.43 1 10/1/2014 10/1/2014 -3.32 1 4/1/2003 4/1/2003 -3.23 2 11/1/2012 12/1/2012 -3.15 1 6/1/2000 6/1/2000 -3.14 3 4/1/2015 6/1/2015 -3.10 1 8/1/2010 8/1/2010 -3.00 1 6/1/1991 6/1/1991 -2.81 1 1/1/2011 1/1/2011 -2.77 1 3/1/2007 3/1/2007 -2.74 1 1/1/2015 1/1/2015 -2.56 1 1/1/2010 1/1/2010 -2.53 1 3/1/2011 3/1/2011 -2.40 1 8/1/1994 8/1/1994 -2.37 1 3/1/1998 3/1/1998 -2.01 2 12/1/2006 1/1/2007 -2.01 1 4/1/2005 4/1/2005 -1.98 1 11/1/1994 11/1/1994 -1.90 1 8/1/1993 8/1/1993 -1.50 3 3/1/2014 5/1/2014 -1.41 1 9/1/2003 9/1/2003 -1.18 1 8/1/2013 8/1/2013 -1.13 1 8/1/1998 8/1/1998 -0.96 1 1/1/2005 1/1/2005 -0.93 1 1/1/2014 1/1/2014 -0.93 2 11/1/2011 12/1/2011 -0.66 1 7/1/2014 7/1/2014 -0.66 1 10/1/1995 10/1/1995 -0.59 1 11/1/2005 11/1/2005 -0.50 1 1/1/2006 1/1/2006 -0.42 1 9/1/1996 9/1/1996 -0.32 1 9/1/2012 9/1/2012 -0.19 1 6/1/2013 6/1/2013 -0.14 1 2/1/1995 2/1/1995 -0.10 1 9/1/2000 9/1/2000 -0.10 1 10/1/1993 10/1/1993 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods333.00331.00328.00322.00316.00310.00298.00286.00274.00 Percent Profitable62.1663.1464.3373.6079.1182.5887.5888.8197.45 Average Period Return0.872.575.0610.1716.0622.2534.1346.2160.13 Average Gain3.697.2111.4217.0723.1229.6841.2353.3261.82 Average Loss-3.80-5.39-6.43-9.04-10.65-12.97-16.00-10.17-4.41 Best Period22.4040.7047.1994.70101.54106.59109.15132.31170.53 Worst Period-20.80-26.40-33.04-34.91-43.18-39.44-32.81-18.06-11.01 Standard Deviation5.258.5711.8517.4622.3825.8532.5737.2444.30 Gain Standard Deviation3.706.479.2914.4819.1221.4427.9933.2743.60 Loss Standard Deviation3.985.235.758.2010.5012.4312.094.794.18 Sharpe Ratio (1%)0.150.270.380.530.650.780.951.131.24 Average Gain / Average Loss0.971.341.781.892.172.292.585.2414.03 Profit / Loss Ratio1.612.293.215.268.2210.8518.1841.62535.25 Downside Deviation (10%)3.545.116.338.449.7711.1512.5211.779.72 Downside Deviation (5%)3.404.665.376.657.328.097.915.021.73 Downside Deviation (0%)3.364.555.146.266.817.467.033.750.94 Sortino Ratio (10%)0.130.260.410.610.871.081.472.103.34 Sortino Ratio (5%)0.230.500.851.381.992.503.938.4031.84 Sortino Ratio (0%)0.260.560.981.632.362.984.8512.3264.16 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 5 4.54 8/2015 Stock Index Trader Index Month 6 2.68 3/2013 Stock Index Trader Index Month 7 3.01 1/2013 Stock Index Trader Index Month 9 3.72 2/2012 Stock Index Trader Index Month 9 1.11 8/2011 Stock Index Trader Index Month 8 1.92 4/2011 Systematic Trader Index Month 8 3.25 11/2010 Stock Index Trader Index Month 3 3.25 11/2010 Stock Index Trader Index Month 10 1.85 9/2009 Stock Index Trader Index Month 8 3.70 4/2009 IASG CTA Index Month 4 11.07 3/2009 Systematic Trader Index Month 1 11.07 3/2009 Stock Index Trader Index Month 1 11.07 3/2009 Stock Index Trader Index Month 6 4.64 2/2009 Systematic Trader Index Month 5 4.64 2/2009 Stock Index Trader Index Month 8 2.88 1/2009 Stock Index Trader Index Month 6 4.56 12/2008 Stock Index Trader Index Month 6 1.73 11/2008 Stock Index Trader Index Month 1 9.62 8/2008 Stock Index Trader Index Month 1 11.22 4/2008 IASG CTA Index Month 2 11.22 4/2008 Systematic Trader Index Month 1 11.22 4/2008 Stock Index Trader Index Month 6 2.98 3/2008 Stock Index Trader Index Month 7 4.25 12/2007 Stock Index Trader Index Month 10 1.24 9/2007 Stock Index Trader Index Month 10 1.07 8/2007 Stock Index Trader Index Month 2 2.84 7/2007 Stock Index Trader Index Month 2 6.22 6/2007 Stock Index Trader Index Month 2 4.48 5/2007 Stock Index Trader Index Month 3 2.29 4/2007 Stock Index Trader Index Month 1 4.09 2/2007 Systematic Trader Index Month 9 4.09 2/2007 IASG CTA Index 3 Year 9 79.02 2003 - 2006 Stock Index Trader Index Month 5 1.38 10/2006 Stock Index Trader Index Month 7 1.07 9/2006 Stock Index Trader Index Month 7 2.44 8/2006 Stock Index Trader Index Month 10 0.15 7/2006 Stock Index Trader Index Month 10 0.20 6/2006 Stock Index Trader Index Month 2 2.65 5/2006 Stock Index Trader Index Month 5 2.42 4/2006 Stock Index Trader Index Month 3 3.61 3/2006 Systematic Trader Index Month 3 3.80 2/2006 Stock Index Trader Index Month 2 3.80 2/2006 IASG CTA Index Month 7 3.80 2/2006 Stock Index Trader Index Month 6 0.53 12/2005 Stock Index Trader Index Month 8 -0.59 11/2005 IASG CTA Index Month 9 3.37 10/2005 Systematic Trader Index Month 8 3.37 10/2005 Stock Index Trader Index Month 2 3.37 10/2005 Stock Index Trader Index Month 6 1.29 9/2005 Stock Index Trader Index Month 9 -2.37 8/2005 Stock Index Trader Index Month 8 -1.33 7/2005 Stock Index Trader Index Month 4 1.74 6/2005 Stock Index Trader Index Month 7 0.85 5/2005 Stock Index Trader Index Month 9 -2.01 4/2005 Stock Index Trader Index Month 3 1.35 3/2005 Stock Index Trader Index Month 3 3.65 2/2005 Stock Index Trader Index Month 9 -0.96 1/2005 Systematic Trader Index Month 10 2.78 12/2004 IASG CTA Index Annual 4 44.04 2004 Stock Index Trader Index Month 2 2.78 12/2004 Stock Index Trader Index Month 1 4.12 11/2004 Stock Index Trader Index Month 1 5.98 10/2004 Stock Index Trader Index Month 10 -3.82 9/2004 Stock Index Trader Index Month 2 7.10 8/2004 IASG CTA Index Month 7 7.10 8/2004 Systematic Trader Index Month 4 7.10 8/2004 Stock Index Trader Index Month 2 3.90 7/2004 Systematic Trader Index Month 10 3.90 7/2004 IASG CTA Index Month 10 2.61 6/2004 Stock Index Trader Index Month 4 2.61 6/2004 Systematic Trader Index Month 5 2.61 6/2004 Stock Index Trader Index Month 7 0.32 5/2004 Systematic Trader Index Month 7 2.49 4/2004 Stock Index Trader Index Month 6 2.49 4/2004 Stock Index Trader Index Month 1 4.15 3/2004 Stock Index Trader Index Month 6 2.23 2/2004 IASG CTA Index Month 7 5.64 1/2004 Stock Index Trader Index Month 1 5.64 1/2004 Systematic Trader Index Month 4 5.64 1/2004 Stock Index Trader Index Month 3 0.86 12/2003 Stock Index Trader Index Month 8 -3.47 11/2003 Stock Index Trader Index Month 4 3.45 10/2003 Stock Index Trader Index Month 8 -1.41 9/2003 Stock Index Trader Index Month 5 0.51 8/2003 Stock Index Trader Index Month 4 0.20 7/2003 Stock Index Trader Index Month 5 0.86 6/2003 Stock Index Trader Index Month 2 5.10 5/2003 Stock Index Trader Index Month 8 -3.32 4/2003 Systematic Trader Index Month 4 3.44 3/2003 Stock Index Trader Index Month 4 3.44 3/2003 IASG CTA Index Month 7 3.44 3/2003 Stock Index Trader Index Month 5 -4.03 2/2003 Stock Index Trader Index Month 6 -4.70 1/2003 Stock Index Trader Index Month 4 1.60 12/2002 Systematic Trader Index Month 4 4.18 11/2002 Stock Index Trader Index Month 3 4.18 11/2002 IASG CTA Index Month 8 4.18 11/2002 Systematic Trader Index Month 3 3.20 10/2002 Stock Index Trader Index Month 2 3.20 10/2002 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