Pere Trading Group, LLC : Pere Trading Program

archived programs
Year-to-Date
N / A
Dec Performance
-4.00%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
57.32%
Sharpe (RFR=0.50%)
0.62
CAROR
23.46%
Assets
$ 13.4M
Worst DD
-60.73
S&P Correlation
-0.01

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
6/2005
Pere Trading Program -4.00 -15.49 - -37.39 22.97 14.89 - 510.18
S&P 500 2.36 9.92 - 29.60 46.95 104.60 - 55.13
+/- S&P 500 -6.36 -25.41 - -66.99 -23.98 -89.71 - 455.06

Strategy Description

Summary

The Pere Trading Program analyzes intra-day E-mini SP 500 futures price changes in conjunction with daily price changes over a recent span of days to compute daily trading signals. From this analysis, the Pere Trading model calculates a desired position in the E-mini SP 500 futures... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
20.00%
Average Commission
$7.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
3500 RT/YR/$M
Avg. Margin-to-Equity
19%
Targeted Worst DD
N/A
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
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Pere Trading Program analyzes intra-day E-mini SP 500 futures price changes in conjunction with daily price changes over a recent span of days to compute daily trading signals. From this analysis, the Pere Trading model calculates a desired position in the E-mini SP 500 futures contract and trades this market accordingly. The model is short term in nature, trading as frequently as daily or holding positions as long as two weeks.

   

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=0.50%)
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=0.50%)
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
-60.73 6 51 9/1/2008 3/1/2009
-42.70 4 - 6/1/2013 10/1/2013
-29.98 1 2 12/1/2007 1/1/2008
-26.90 9 3 10/1/2006 7/1/2007
-14.02 1 1 3/1/2008 4/1/2008
-5.61 1 2 10/1/2005 11/1/2005
-3.34 1 1 7/1/2006 8/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
362.56 5 5/1/2008 9/1/2008
104.34 5 8/1/2007 12/1/2007
67.15 4 9/1/2011 12/1/2011
57.11 2 2/1/2008 3/1/2008
45.83 2 4/1/2009 5/1/2009
33.13 8 12/1/2005 7/1/2006
27.84 5 6/1/2012 10/1/2012
26.94 1 6/1/2013 6/1/2013
20.28 1 12/1/2008 12/1/2008
18.35 2 11/1/2009 12/1/2009
14.76 1 2/1/2013 2/1/2013
14.08 3 2/1/2012 4/1/2012
13.38 1 4/1/2013 4/1/2013
12.72 5 6/1/2005 10/1/2005
12.45 2 9/1/2006 10/1/2006
10.63 3 6/1/2010 8/1/2010
10.33 1 7/1/2011 7/1/2011
7.92 2 8/1/2009 9/1/2009
6.56 1 8/1/2013 8/1/2013
6.14 3 12/1/2010 2/1/2011
6.07 1 4/1/2010 4/1/2010
4.80 1 11/1/2013 11/1/2013
4.65 1 10/1/2010 10/1/2010
4.59 1 2/1/2010 2/1/2010
0.86 1 1/1/2007 1/1/2007
0.85 1 12/1/2012 12/1/2012
0.51 1 5/1/2011 5/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-56.11 2 10/1/2008 11/1/2008
-33.89 2 9/1/2013 10/1/2013
-29.98 1 1/1/2008 1/1/2008
-25.60 3 1/1/2009 3/1/2009
-25.10 6 2/1/2007 7/1/2007
-19.54 2 6/1/2009 7/1/2009
-18.66 1 7/1/2013 7/1/2013
-16.31 1 5/1/2013 5/1/2013
-14.88 1 1/1/2013 1/1/2013
-14.02 1 4/1/2008 4/1/2008
-13.63 1 10/1/2009 10/1/2009
-12.42 1 3/1/2010 3/1/2010
-12.12 1 5/1/2012 5/1/2012
-7.69 1 3/1/2013 3/1/2013
-7.65 1 1/1/2012 1/1/2012
-5.91 1 1/1/2010 1/1/2010
-5.66 1 6/1/2011 6/1/2011
-5.61 1 11/1/2005 11/1/2005
-5.57 2 3/1/2011 4/1/2011
-5.29 1 8/1/2011 8/1/2011
-4.24 1 11/1/2010 11/1/2010
-4.00 1 12/1/2013 12/1/2013
-3.96 1 9/1/2010 9/1/2010
-3.34 1 8/1/2006 8/1/2006
-3.24 2 11/1/2006 12/1/2006
-0.83 1 11/1/2012 11/1/2012
-0.37 1 5/1/2010 5/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods103.00101.0098.0092.0086.0080.0068.0056.0044.00
Percent Profitable62.1460.4070.4179.3584.8888.7597.0698.2197.73
Average Period Return3.018.4518.0142.4269.0598.53170.55223.42338.41
Average Gain10.5520.8131.2457.1883.94113.23176.24227.72346.94
Average Loss-9.36-10.39-13.48-14.27-14.55-17.48-17.18-12.63-28.23
Best Period99.87223.41297.71570.52637.07597.72854.87476.21661.50
Worst Period-55.36-47.21-60.73-50.27-56.19-50.81-32.21-12.63-28.23
Standard Deviation16.5530.4343.2779.9398.92104.96135.93117.86151.11
Gain Standard Deviation15.0832.9044.5883.35100.14102.27133.87114.45141.78
Loss Standard Deviation10.2310.2814.2315.3415.2314.5121.26
Sharpe Ratio (1%)0.180.270.400.520.680.921.231.862.21
Average Gain / Average Loss1.132.002.324.015.776.4810.2618.0312.29
Profit / Loss Ratio1.853.055.5115.3932.4151.09338.47991.86528.39
Downside Deviation (10%)8.659.7111.5411.1010.3510.476.214.588.64
Downside Deviation (5%)8.519.2610.759.708.447.994.322.235.03
Downside Deviation (0%)8.479.1410.569.388.027.453.921.694.26
Sortino Ratio (10%)0.300.741.353.375.948.4324.9244.1135.98
Sortino Ratio (5%)0.340.891.634.278.0012.0838.7898.3766.33
Sortino Ratio (0%)0.360.921.704.528.6113.2343.56132.4179.51

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.