Parrot Trading Partners : Investment Program

archived programs
Year-to-Date
N / A
May Performance
-3.27%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
28.93%
Sharpe (RFR=1%)
0.67
CAROR
17.54%
Assets
$ 4.0M
Worst DD
-33.35
S&P Correlation
0.02

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
4/2004
Investment Program -3.27 - - - - - - 130.45
S&P 500 5.31 - - - - - - 212.85
+/- S&P 500 -8.58 - - - - - - -82.39

Strategy Description

Summary

-Results prior to May 2004 are from accounts under management prior to the formation of Parrot Trading Partners. PTPâ??s Strategy Distinction The â??Calendar Condorâ?? strategy employed by PTP allows it to take advantage of certain market inefficiencies in the pricing of options as... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
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

Summary

-Results prior to May 2004 are from accounts under management prior to the formation of Parrot Trading Partners. PTPâ??s Strategy Distinction The â??Calendar Condorâ?? strategy employed by PTP allows it to take advantage of certain market inefficiencies in the pricing of options as well as the natural tendency of options to decrease in value over time. We identify a range of market activity and establish short option positions to be profitable in the ensuing 2-6 week period. We hedge these short positions with long option positions in the deferred months to mitigate our risk. This strategy, employed consistently, attempts to provide better than average returns over time. More importantly, this strategy does not correlate to the S&P 500 or other more typical equity indices because of its negative beta. Additionally, PTPâ??s managing partner, Jes Santaularia, invests a significant amount of his personal liquidity in the fund. Decision Making Process We evaluate the market at the beginning and end of each day based on the following: 1. Market position within its current trend or trading range 2. Size of account and status of contributions and withdrawals 3. Delta neutrality 4. Vega and Gamma risk 5. Number of days to expiration of short option positions Utilizing these factors, we adjust our position to maintain an appropriate risk/reward parameter, which will generate a consistent series of positive returns over a 60-90 day horizon. Risk Quantification We quantify risk by measuring Delta, Vega, and Gamma relative to the present market position. We manage our risk by maintaining Delta neutral and managing our positions on a daily basis. When necessary, we adjust to movements in the market for 2-3 week trends so that we do not have to trade intraday.

   

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
-33.35 9 - 8/1/2008 5/1/2009
-20.46 7 7 7/1/2004 2/1/2005
-20.16 4 3 12/1/2006 4/1/2007
-11.49 1 1 12/1/2007 1/1/2008
-10.57 1 2 9/1/2006 10/1/2006
-9.19 1 4 12/1/2005 1/1/2006
-5.64 1 1 3/1/2008 4/1/2008
-4.75 1 1 8/1/2007 9/1/2007
-3.92 2 1 9/1/2005 11/1/2005
-0.32 1 1 4/1/2004 5/1/2004
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Consecutive Gains

Run-up Length (Mos.) Start End
47.15 3 10/1/2007 12/1/2007
45.90 4 5/1/2007 8/1/2007
34.92 4 5/1/2008 8/1/2008
32.91 2 2/1/2008 3/1/2008
21.76 8 2/1/2006 9/1/2006
21.36 2 3/1/2005 4/1/2005
18.48 2 6/1/2004 7/1/2004
14.73 2 8/1/2005 9/1/2005
13.72 2 11/1/2006 12/1/2006
7.47 1 12/1/2005 12/1/2005
7.31 1 12/1/2004 12/1/2004
5.95 3 12/1/2008 2/1/2009
4.37 1 6/1/2005 6/1/2005
2.13 1 4/1/2004 4/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-29.17 3 9/1/2008 11/1/2008
-20.16 4 1/1/2007 4/1/2007
-16.68 4 8/1/2004 11/1/2004
-11.49 1 1/1/2008 1/1/2008
-11.19 3 3/1/2009 5/1/2009
-11.04 2 1/1/2005 2/1/2005
-10.57 1 10/1/2006 10/1/2006
-9.19 1 1/1/2006 1/1/2006
-7.83 1 5/1/2005 5/1/2005
-5.64 1 4/1/2008 4/1/2008
-5.22 1 7/1/2005 7/1/2005
-4.75 1 9/1/2007 9/1/2007
-3.92 2 10/1/2005 11/1/2005
-0.32 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 Periods62.0060.0057.0051.0045.0039.0027.0015.00
Percent Profitable58.0663.3357.8984.3186.6797.44100.00100.00
Average Period Return1.705.4511.6130.3349.5064.64101.49154.36
Average Gain7.1414.5627.0937.7257.6666.42101.49154.36
Average Loss-5.84-10.31-9.69-9.40-3.50-3.03
Best Period19.8547.1581.01157.74176.82148.90200.96191.70
Worst Period-23.05-29.17-25.56-22.40-5.91-3.0310.55104.62
Standard Deviation8.3515.4125.5343.8448.4546.3657.5126.29
Gain Standard Deviation5.5310.6722.5343.8746.9645.6157.5126.29
Loss Standard Deviation5.057.527.986.652.06
Sharpe Ratio (1%)0.190.340.440.670.991.351.715.72
Average Gain / Average Loss1.221.412.804.0116.4621.92
Profit / Loss Ratio1.692.443.8521.57107.01832.91
Downside Deviation (10%)5.168.289.386.294.222.221.13
Downside Deviation (5%)5.007.798.334.801.950.81
Downside Deviation (0%)4.967.668.074.461.450.49
Sortino Ratio (10%)0.250.510.974.029.9324.4875.59
Sortino Ratio (5%)0.320.671.336.1124.5877.60
Sortino Ratio (0%)0.340.711.446.7934.10133.21

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.