T24 Capital : T24 Capital II

Year-to-Date
16.32%
Sep Performance
18.87%
Min Investment
$ 5,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
36.07%
Sharpe (RFR=1%)
0.86
CAROR
29.26%
Assets
$ 45.0M
Worst DD
-35.41
S&P Correlation
0.40

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
8/2015
T24 Capital II 18.87 18.87 16.32 13.85 44.00 161.93 - 276.68
S&P 500 -3.92 8.47 4.09 12.98 32.33 73.37 - 81.77
+/- S&P 500 22.79 10.40 12.22 0.88 11.67 88.56 - 194.91

Strategy Description

Investment Strategy

t24 CAPITAL PARTNERS MASTER FUND II's primary investment objective is to generate capital appreciation through use of the T24 price prediction and portfolio optimization complex. The T24 Complex is a proprietary artificial intelligence (AI) system developed by Dr. Desmond... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 3800 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Investment Strategy

t24 CAPITAL PARTNERS MASTER FUND II's primary investment objective is to generate capital appreciation through use of the T24 price prediction and portfolio optimization complex. The T24 Complex is a proprietary artificial intelligence (AI) system developed by Dr. Desmond Lun. This AI system consists of two modules: a prediction module, which produces a multidimensional probability density function ("pdf") of future prices, and an allocation module, which produces a portfolio allocation using the pdf of future prices. The T24 Complex expresses its investment thesis using listed futures contracts. More specifically, a tradeable universe that typically falls in the range of 20 to 50 different contracts, generally financial futures. The primary instruments used are futures on equity indices or government interest rates, although there are from time to time investments in other futures contracts that are common to hedging of financial risk such as precious metals or non-government interest rate markets such as LIBOR. *T24 Capital Partners Master Fund II, LP, runs at approximately 60% higher gross leverage to its equity capital relative to Master Fund I.

   

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
-35.41 2 6 1/1/2020 3/1/2020
-21.74 3 2 1/1/2016 4/1/2016
-18.62 4 6 8/1/2018 12/1/2018
-13.91 2 3 3/1/2018 5/1/2018
-9.12 1 1 12/1/2017 1/1/2018
-7.39 3 1 9/1/2016 12/1/2016
-5.70 3 1 2/1/2017 5/1/2017
-3.44 2 4 7/1/2019 9/1/2019
-2.93 2 1 8/1/2017 10/1/2017
-2.78 1 1 10/1/2015 11/1/2015
-2.21 1 1 6/1/2017 7/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
88.78 5 5/1/2016 9/1/2016
47.92 3 8/1/2015 10/1/2015
33.80 3 7/1/2020 9/1/2020
32.17 2 4/1/2020 5/1/2020
22.83 3 1/1/2019 3/1/2019
18.53 3 6/1/2018 8/1/2018
18.28 2 2/1/2018 3/1/2018
17.57 2 6/1/2019 7/1/2019
15.63 2 1/1/2017 2/1/2017
11.54 1 11/1/2018 11/1/2018
11.48 2 12/1/2015 1/1/2016
7.79 1 1/1/2020 1/1/2020
7.26 1 6/1/2017 6/1/2017
6.39 2 11/1/2017 12/1/2017
3.56 2 10/1/2019 11/1/2019
2.52 1 8/1/2017 8/1/2017
2.04 1 11/1/2016 11/1/2016
0.91 1 4/1/2017 4/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-35.41 2 2/1/2020 3/1/2020
-21.74 3 2/1/2016 4/1/2016
-16.62 2 9/1/2018 10/1/2018
-13.91 2 4/1/2018 5/1/2018
-12.50 1 12/1/2018 12/1/2018
-9.12 1 1/1/2018 1/1/2018
-5.53 1 6/1/2020 6/1/2020
-4.83 1 12/1/2016 12/1/2016
-4.64 1 10/1/2016 10/1/2016
-4.27 1 3/1/2017 3/1/2017
-3.44 2 8/1/2019 9/1/2019
-3.37 2 4/1/2019 5/1/2019
-2.93 2 9/1/2017 10/1/2017
-2.78 1 11/1/2015 11/1/2015
-2.38 1 5/1/2017 5/1/2017
-2.21 1 7/1/2017 7/1/2017
-2.12 1 12/1/2019 12/1/2019
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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 Profitable59.6868.3370.1882.3593.3397.4496.30100.00
Average Period Return2.687.0011.9024.8634.6641.9564.54116.79
Average Gain8.6014.4920.6431.6737.6743.6167.29116.79
Average Loss-6.09-9.15-8.66-6.92-7.56-21.03-7.13
Best Period40.0757.0282.19102.37142.60150.86167.53230.85
Worst Period-29.69-30.37-29.42-22.58-14.26-21.03-7.1345.77
Standard Deviation10.4117.1223.4031.6437.2641.1346.1455.03
Gain Standard Deviation8.1415.0022.4530.6936.7140.3444.7355.03
Loss Standard Deviation6.487.616.967.096.71
Sharpe Ratio (1%)0.250.390.490.750.890.971.332.05
Average Gain / Average Loss1.411.582.384.584.982.079.44
Profit / Loss Ratio2.093.425.6121.3669.7778.81245.35
Downside Deviation (10%)5.777.187.115.794.345.244.56
Downside Deviation (5%)5.626.746.224.352.743.691.96
Downside Deviation (0%)5.596.636.004.042.413.371.37
Sortino Ratio (10%)0.390.801.333.436.246.0410.71
Sortino Ratio (5%)0.461.001.835.4812.1210.8331.45
Sortino Ratio (0%)0.481.061.986.1514.3812.4647.03

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.