Typhon Capital Management, LLC : Chiron Currency Program

archived programs
Year-to-Date
1.89%
Mar Performance
-0.91%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.02%
Sharpe (RFR=1%)
0.13
CAROR
1.53%
Assets
$ 2.0M
Worst DD
-10.69
S&P Correlation
-0.28

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
2/2008
Chiron Currency Program -0.91 -1.89 -1.89 -6.17 -8.95 -7.47 -3.25 18.44
S&P 500 1.79 13.07 13.07 7.33 36.22 49.85 251.60 110.83
+/- S&P 500 -2.70 -14.95 -14.95 -13.50 -45.17 -57.33 -254.85 -92.39

Strategy Description

Summary

The Chiron Currency Program is intraday only and trades G10 currencies. Execution is done in the highly liquid spot market with trades then EFPd into futures contracts so clients do not need dedicated FX accounts. The strategy is almost 100% systematic and acts as a liquidity provider... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
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
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
7.29%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
1.00%
Systematic
99.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The Chiron Currency Program is intraday only and trades G10 currencies. Execution is done in the highly liquid spot market with trades then EFPd into futures contracts so clients do not need dedicated FX accounts. The strategy is almost 100% systematic and acts as a liquidity provider within a clearly defined daily risk budget. The system dynamically applies risk weightings which reduce exposure in adverse market environments. The system trades a diversified basket of currencies based on a quantitatively-determined directional bias with a volatility-based cash management model setting pre-defined entry, exit, and stop levels for each trade within a daily risk budget.

Investment Strategy

The Chiron Currency Program is a quantitative day trading strategy which seeks to determine the highest probability single-day move for a diversified basket of currency pairs. Each currency pair has a set of characteristics that are systematically reviewed, assessed, and weighted on a daily basis and then used to generate a directional bias for the next day’s trading session. Chiron only trades in highly liquid G10 currencies and acts as a provider of liquidity rather than a consumer.

Risk Management

Independent price volatility analysis determines dynamic levels for entry, exit, and stops for each pair within a clearly defined daily risk budget at both the individual pair level and at the portfolio level. All levels are predetermined and are placed in advance and thus, not execution speed dependent. The system also dynamically reduces risk ahead of potential inflection points such as rate announcements, central bank speeches, and economic news releases. All positions are exited daily to avoid any overnight risk.

   

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
-10.69 87 - 12/1/2011 3/1/2019
-7.29 6 14 6/1/2009 12/1/2009
-3.59 2 2 2/1/2009 4/1/2009
-2.23 1 4 5/1/2011 6/1/2011
-0.80 1 1 4/1/2008 5/1/2008
-0.16 1 1 11/1/2008 12/1/2008
-0.13 1 1 9/1/2008 10/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
9.57 4 6/1/2008 9/1/2008
6.04 3 1/1/2016 3/1/2016
5.84 2 5/1/2009 6/1/2009
5.56 2 1/1/2009 2/1/2009
5.35 1 11/1/2008 11/1/2008
5.22 4 5/1/2010 8/1/2010
5.09 7 11/1/2010 5/1/2011
3.42 4 9/1/2016 12/1/2016
2.97 3 10/1/2011 12/1/2011
2.75 3 2/1/2008 4/1/2008
2.63 2 1/1/2018 2/1/2018
2.55 2 5/1/2013 6/1/2013
2.46 2 2/1/2013 3/1/2013
2.25 3 9/1/2014 11/1/2014
2.02 1 4/1/2015 4/1/2015
2.01 1 10/1/2013 10/1/2013
1.86 1 8/1/2015 8/1/2015
1.73 2 7/1/2011 8/1/2011
1.56 2 5/1/2012 6/1/2012
1.51 1 6/1/2015 6/1/2015
1.17 1 2/1/2014 2/1/2014
1.14 3 1/1/2010 3/1/2010
1.13 4 7/1/2017 10/1/2017
1.06 1 2/1/2012 2/1/2012
0.98 1 1/1/2015 1/1/2015
0.87 1 11/1/2012 11/1/2012
0.61 2 8/1/2009 9/1/2009
0.60 1 12/1/2013 12/1/2013
0.58 1 5/1/2014 5/1/2014
0.48 1 9/1/2012 9/1/2012
0.28 1 7/1/2014 7/1/2014
0.25 1 6/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.64 9 7/1/2018 3/1/2019
-5.08 3 7/1/2013 9/1/2013
-4.78 4 9/1/2015 12/1/2015
-4.63 3 10/1/2009 12/1/2009
-3.86 5 4/1/2016 8/1/2016
-3.59 2 3/1/2009 4/1/2009
-3.38 1 7/1/2009 7/1/2009
-3.27 1 5/1/2015 5/1/2015
-2.92 6 1/1/2017 6/1/2017
-2.59 2 7/1/2012 8/1/2012
-2.41 3 3/1/2018 5/1/2018
-2.34 2 2/1/2015 3/1/2015
-2.23 1 6/1/2011 6/1/2011
-1.99 2 3/1/2012 4/1/2012
-1.96 1 4/1/2013 4/1/2013
-1.90 2 12/1/2012 1/1/2013
-1.57 2 11/1/2017 12/1/2017
-1.26 1 1/1/2012 1/1/2012
-1.23 1 7/1/2015 7/1/2015
-1.04 1 6/1/2014 6/1/2014
-0.94 2 3/1/2014 4/1/2014
-0.80 1 5/1/2008 5/1/2008
-0.46 2 9/1/2010 10/1/2010
-0.40 1 9/1/2011 9/1/2011
-0.33 1 12/1/2014 12/1/2014
-0.31 1 4/1/2010 4/1/2010
-0.27 1 11/1/2013 11/1/2013
-0.21 1 8/1/2014 8/1/2014
-0.21 1 10/1/2012 10/1/2012
-0.16 1 12/1/2008 12/1/2008
-0.13 1 10/1/2008 10/1/2008
-0.01 1 1/1/2014 1/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods134.00132.00129.00123.00117.00111.0099.0087.0075.00
Percent Profitable50.7550.0052.7152.0352.9952.2545.4551.7249.33
Average Period Return0.140.410.841.481.722.082.973.163.44
Average Gain1.192.353.404.885.216.069.018.909.91
Average Loss-0.95-1.53-2.01-2.20-2.21-2.28-2.07-2.99-2.85
Best Period5.359.7015.8523.1622.0918.2627.5531.6128.09
Worst Period-3.38-5.08-7.29-6.83-6.45-7.23-8.95-8.20-7.47
Standard Deviation1.452.543.885.705.535.947.978.978.92
Gain Standard Deviation1.142.023.586.005.455.618.349.088.70
Loss Standard Deviation0.791.111.461.671.531.741.742.321.69
Sharpe Ratio (1%)0.040.060.090.080.040.01-0.01-0.10-0.19
Average Gain / Average Loss1.261.541.692.222.362.664.362.983.47
Profit / Loss Ratio1.291.541.882.412.662.923.643.193.38
Downside Deviation (10%)1.102.123.335.567.599.9214.8320.3525.76
Downside Deviation (5%)0.911.482.002.512.773.244.045.255.91
Downside Deviation (0%)0.861.331.711.911.841.971.992.622.35
Sortino Ratio (10%)-0.25-0.38-0.49-0.63-0.77-0.82-0.86-0.90-0.94
Sortino Ratio (5%)0.060.110.170.190.080.02-0.01-0.17-0.28
Sortino Ratio (0%)0.160.310.490.780.941.061.491.211.46

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.