Witter & Lester : Redstone Institutional Program

archived programsClosed to new investments
Year-to-Date
N / A
Oct Performance
-14.00%
Min Investment
$ 2,500k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
9.94%
Sharpe (RFR=1%)
-0.06
CAROR
-0.14%
Assets
$ 5.0M
Worst DD
-27.06
S&P Correlation
0.55

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2002
Redstone Institutional Program -14.00 - - - - - - -0.93
S&P 500 -16.94 - - - - - - 203.26
+/- S&P 500 2.94 - - - - - - -204.18

Strategy Description

Summary

-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.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Summary

-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
-27.06 10 - 12/1/2007 10/1/2008
-6.28 3 5 1/1/0001 7/1/2002
-2.87 2 1 6/1/2007 8/1/2007
-2.36 5 8 3/1/2005 8/1/2005
-1.59 1 1 12/1/2004 1/1/2005
-1.40 1 1 8/1/2004 9/1/2004
-0.95 1 1 12/1/2002 1/1/2003
-0.82 1 1 12/1/2006 1/1/2007
-0.80 2 1 9/1/2007 11/1/2007
-0.74 1 1 4/1/2006 5/1/2006
-0.28 1 1 3/1/2003 4/1/2003
-0.09 1 1 4/1/2004 5/1/2004
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Consecutive Gains

Run-up Length (Mos.) Start End
9.29 5 2/1/2007 6/1/2007
7.09 12 5/1/2003 4/1/2004
6.86 5 8/1/2002 12/1/2002
4.72 5 6/1/2006 10/1/2006
4.24 1 4/1/2008 4/1/2008
3.92 1 9/1/2007 9/1/2007
3.79 3 10/1/2004 12/1/2004
3.74 3 2/1/2006 4/1/2006
3.72 1 2/1/2008 2/1/2008
3.39 3 6/1/2004 8/1/2004
2.80 2 2/1/2003 3/1/2003
2.32 1 12/1/2007 12/1/2007
2.22 2 2/1/2005 3/1/2005
2.01 1 8/1/2008 8/1/2008
1.50 2 9/1/2005 10/1/2005
0.55 2 5/1/2005 6/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.08 2 9/1/2008 10/1/2008
-12.67 1 1/1/2008 1/1/2008
-6.28 3 5/1/2002 7/1/2002
-2.87 2 7/1/2007 8/1/2007
-2.66 3 5/1/2008 7/1/2008
-1.94 2 7/1/2005 8/1/2005
-1.59 1 1/1/2005 1/1/2005
-1.40 1 9/1/2004 9/1/2004
-1.17 3 11/1/2005 1/1/2006
-0.97 1 4/1/2005 4/1/2005
-0.95 1 1/1/2003 1/1/2003
-0.82 3 11/1/2006 1/1/2007
-0.80 2 10/1/2007 11/1/2007
-0.74 1 5/1/2006 5/1/2006
-0.28 1 4/1/2003 4/1/2003
-0.15 1 3/1/2008 3/1/2008
-0.09 1 5/1/2004 5/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods77.0076.0073.0067.0061.0055.0043.0031.00
Percent Profitable63.6476.3278.0879.1093.4494.5595.3593.55
Average Period Return0.030.641.884.327.309.5013.6519.60
Average Gain1.252.544.046.808.5510.7714.7721.39
Average Loss-2.18-5.47-5.81-5.07-10.55-12.46-9.17-6.34
Best Period4.2423.7232.5735.8325.2419.4522.3329.99
Worst Period-14.00-20.52-22.63-25.75-21.17-18.99-13.66-12.52
Standard Deviation2.875.316.237.326.916.746.859.65
Gain Standard Deviation1.063.264.304.924.774.034.576.76
Loss Standard Deviation3.766.076.027.418.716.896.358.75
Sharpe Ratio (1%)-0.020.070.220.450.841.111.551.61
Average Gain / Average Loss0.570.460.691.340.810.861.613.38
Profit / Loss Ratio1.041.502.475.0811.5614.9833.0148.95
Downside Deviation (10%)2.674.364.795.805.595.896.798.83
Downside Deviation (5%)2.564.004.024.293.643.632.823.07
Downside Deviation (0%)2.543.913.854.003.323.192.202.25
Sortino Ratio (10%)-0.14-0.13-0.12-0.12-0.05-0.13-0.31-0.22
Sortino Ratio (5%)-0.020.100.340.771.592.073.775.06
Sortino Ratio (0%)0.010.160.491.082.202.986.208.71

Top Performer Badges

Index Award Type Rank Performance Period

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