Plotinus Asset Management, LLC : Plotinus 2π Index Hunter

Year-to-Date
4.79%
Oct Performance
1.53%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.85%
Sharpe (RFR=1%)
0.07
CAROR
-
Assets
$ 420k
Worst DD
-7.98
S&P Correlation
0.49

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
6/2018
Plotinus 2π Index Hunter 1.53 -3.30 -4.79 -2.07 - - - 1.82
S&P 500 2.04 1.92 21.16 12.01 - - - 11.73
+/- S&P 500 -0.51 -5.22 -25.95 -14.08 - - - -9.91

Strategy Description

Summary

The Plotinus 2π Index Hunter is an Artificial Intelligence Strategy. It is uniquely designed as an active alternative to passive investment and can act to complement investment in e.g. indices trackers. By being directionally agnostic it is not dependent on an ascending market which... 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
1900 RT/YR/$M
Avg. Margin-to-Equity
5%
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

The Plotinus 2π Index Hunter is an Artificial Intelligence Strategy. It is uniquely designed as an active alternative to passive investment and can act to complement investment in e.g. indices trackers. By being directionally agnostic it is not dependent on an ascending market which can offer diversification benefits. It is fully systematic, trading equity 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
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
-7.98 12 - 9/1/2018 9/1/2019
-0.04 1 1 6/1/2018 7/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
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
1.53 1 10/1/2019 10/1/2019
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
-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 Month
Number of Periods17.0015.0012.00
Percent Profitable47.0653.3341.67
Average Period Return0.14-0.11-0.61
Average Gain2.592.412.82
Average Loss-2.03-2.98-3.05
Best Period5.576.758.61
Worst Period-4.60-6.25-6.70
Standard Deviation2.843.434.03
Gain Standard Deviation1.942.343.52
Loss Standard Deviation1.261.752.19
Sharpe Ratio (1%)0.02-0.10-0.27
Average Gain / Average Loss1.280.810.92
Profit / Loss Ratio1.130.920.66
Downside Deviation (10%)1.973.094.60
Downside Deviation (5%)1.762.473.13
Downside Deviation (0%)1.712.322.80
Sortino Ratio (10%)-0.13-0.43-0.67
Sortino Ratio (5%)0.03-0.14-0.35
Sortino Ratio (0%)0.08-0.05-0.22

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.