Witter & Lester, Inc. : Stock Index Futures Trading Program

archived programs
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

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 Since
1/1988
Stock Index Futures Trading Program 1.85 1.85 - 2.42 12.55 15.70 76.97 1,038.12
S&P 500 -2.64 -6.94 - -2.65 33.27 68.22 56.23 708.74
+/- S&P 500 4.49 8.79 - 5.07 -20.72 -52.52 20.74 329.39

Strategy Description

Summary

The 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%
Composition Pie Chart

Summary

The 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.

   

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
-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
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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
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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
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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 Rolling 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 Year Rolling 4 44.04 2003 - 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.