Plotinus Asset Management, LLC : Plotinus 2π Index Hunter

Year-to-Date
6.09%
Jul Performance
1.88%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.01%
Sharpe (RFR=1%)
0.52
CAROR
5.40%
Assets
$ 480k
Worst DD
-7.98
S&P Correlation
0.53

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
6/2018
Plotinus 2π Index Hunter 1.88 3.14 6.09 9.84 - - - 12.08
S&P 500 5.51 12.32 1.25 9.76 - - - 28.76
+/- S&P 500 -3.63 -9.17 4.84 0.09 - - - -16.68

Strategy Description

Summary

Plotinus 2π Index Hunter – An Artificial Intelligence Decision-Based Trading Strategy The Plotinus 2π Index Hunter is a managed futures investment in the S&P 500 Index that seeks to deliver market-like returns with below market volatility. The Plotinus strategy is designed to be... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.50
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 3

Trading

Trading Frequency 1800 RT/YR/$M
Avg. Margin-to-Equity 1%
Targeted Worst DD -10.00%
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 15.00%
Intraday 85.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Plotinus 2π Index Hunter – An Artificial Intelligence Decision-Based Trading Strategy The Plotinus 2π Index Hunter is a managed futures investment in the S&P 500 Index that seeks to deliver market-like returns with below market volatility. The Plotinus strategy is designed to be used as a satellite allocation in conjunction with an investor’s core passive or active S&P 500 exposure, offering the potential to achieve a better risk-adjusted total return to this core equity market holding. Plotinus employs its proprietary model to generate derived data from the price of E-mini S&P 500 futures contracts (ticker: ES) and from that produce what it believes are better or more informed signals on which to trade.indices futures.

Investment Strategy

The program is opportunistic seeking to "hunt' equity indices, It uses three distinct A.I. decision streams for long and for short positions which determine the entry and exit from the market. It aims to limit risk, reduce volatility and offer diversification benefits as it has a uniqueness which is illustrated by its low correlation to benchmark indices and other CTA programs.

Risk Management

To reduce risk, the program has clearly defined trading limits and trade duration. The program has a "Weekend -Go Flat" policy which means that No Positions Are Held over Weekends. It also has firm margin thresholds which enable it to maintain a low average margin to equity. It deploys risk assessed position limits, reducing and scaling accordingly.

   

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
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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
-7.98 12 5 9/1/2018 9/1/2019
-4.38 1 3 2/1/2020 3/1/2020
-0.04 1 1 6/1/2018 7/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
9.02 5 10/1/2019 2/1/2020
7.21 4 4/1/2020 7/1/2020
5.57 1 6/1/2019 6/1/2019
5.52 2 8/1/2018 9/1/2018
4.46 1 11/1/2018 11/1/2018
3.33 1 6/1/2018 6/1/2018
0.39 2 2/1/2019 3/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.25 3 7/1/2019 9/1/2019
-4.60 1 10/1/2018 10/1/2018
-4.38 1 3/1/2020 3/1/2020
-3.84 2 4/1/2019 5/1/2019
-3.35 2 12/1/2018 1/1/2019
-0.04 1 7/1/2018 7/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods26.0024.0021.0015.009.00
Percent Profitable61.5458.3361.9060.0088.89
Average Period Return0.471.011.200.782.32
Average Gain2.183.403.683.603.12
Average Loss-2.27-2.33-2.83-3.46-4.08
Best Period5.576.758.617.236.77
Worst Period-4.60-6.25-6.70-7.98-4.08
Standard Deviation2.603.533.954.203.00
Gain Standard Deviation1.402.262.442.001.93
Loss Standard Deviation1.401.772.132.69
Sharpe Ratio (1%)0.150.220.18-0.050.27
Average Gain / Average Loss0.961.461.301.040.77
Profit / Loss Ratio1.542.042.111.566.12
Downside Deviation (10%)1.852.553.575.825.98
Downside Deviation (5%)1.671.992.403.221.92
Downside Deviation (0%)1.631.852.142.681.36
Sortino Ratio (10%)0.03-0.09-0.36-0.73-0.88
Sortino Ratio (5%)0.230.380.29-0.070.43
Sortino Ratio (0%)0.290.550.560.291.71

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 9 1.88 7/2020
Stock Index Trader Index Month 8 1.89 5/2020

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