Typhon Capital Management, LLC : Chiron Currency Program

Year-to-Date: N / A
Mar Performance: -0.91%

Min Investment: $ 250k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 5.02%
Sharpe (RFR=0%): 0.13
CAROR: 1.53%

Assets: $ 2.0M
Worst DD: -10.69
S&P Correlation: -0.28

Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page

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	-	-	-	-6.17	-6.11	-1.75	18.44
S&P 500	1.79	-	-	-	36.22	49.85	251.60	126.42
+/- S&P 500	-2.70	-	-	-	-42.39	-55.97	-253.35	-107.99

Strategy Description

Summary

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%

Composition

Currency FX: 100.00%

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.

Compare to:

{{result.name}} {{result.description}}

Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	134.00	132.00	129.00	123.00	117.00	111.00	99.00	87.00	75.00
Percent Profitable	50.75	50.00	52.71	52.03	52.99	52.25	45.45	51.72	49.33
Average Period Return	0.14	0.41	0.84	1.48	1.72	2.08	2.97	3.16	3.44
Average Gain	1.19	2.35	3.40	4.88	5.21	6.06	9.01	8.90	9.91
Average Loss	-0.95	-1.53	-2.01	-2.20	-2.21	-2.28	-2.07	-2.99	-2.85
Best Period	5.35	9.70	15.85	23.16	22.09	18.26	27.55	31.61	28.09
Worst Period	-3.38	-5.08	-7.29	-6.83	-6.45	-7.23	-8.95	-8.20	-7.47
Standard Deviation	1.45	2.54	3.88	5.70	5.53	5.94	7.97	8.97	8.92
Gain Standard Deviation	1.14	2.02	3.58	6.00	5.45	5.61	8.34	9.08	8.70
Loss Standard Deviation	0.79	1.11	1.46	1.67	1.53	1.74	1.74	2.32	1.69
Sharpe Ratio (1%)	0.04	0.06	0.09	0.08	0.04	0.01	-0.01	-0.10	-0.19
Average Gain / Average Loss	1.26	1.54	1.69	2.22	2.36	2.66	4.36	2.98	3.47
Profit / Loss Ratio	1.29	1.54	1.88	2.41	2.66	2.92	3.64	3.19	3.38
Downside Deviation (10%)	1.10	2.12	3.33	5.56	7.59	9.92	14.83	20.35	25.76
Downside Deviation (5%)	0.91	1.48	2.00	2.51	2.77	3.24	4.04	5.25	5.91
Downside Deviation (0%)	0.86	1.33	1.71	1.91	1.84	1.97	1.99	2.62	2.35
Sortino Ratio (10%)	-0.25	-0.38	-0.49	-0.63	-0.77	-0.82	-0.86	-0.90	-0.94
Sortino Ratio (5%)	0.06	0.11	0.17	0.19	0.08	0.02	-0.01	-0.17	-0.28
Sortino Ratio (0%)	0.16	0.31	0.49	0.78	0.94	1.06	1.49	1.21	1.46

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.

Get Free Research Report on This CTA

Get additional information on Typhon Capital Management, LLC, including performance, charts, statistics, ratios, and more.

First Name is required.

Last Name is required.

Email is required. This is not a valid email.

Phone is required.

* Required fields

More Programs by Typhon Capital Management, LLC

Program Name	CAROR
Vulcan Metals Strategy	11.99%
Zephyrus Livestock Strategy	11.79%
Mercurio Quantitative Program	8.61%
Leonidas Energy Program	5.66%
Plutus Grain Strategy	5.66%
Leonidas Macro Fund	4.29%
Proteus Dynamic Volatility Program	3.59%
Helios Deutsche	2.69%
Leonidas Cryptocurrency Program	0.69%

IASG Activity

Blends 16
Portfolios 11
Watchlists 19

Account Log In

Reset Password

Register for an Account

Thank You

Find the right managed futures programs for you with our comprehensive free CTA database.

Typhon Capital Management, LLC : Chiron Currency Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

{{title}}

{{title}}

Connect With Us for Latest CTA News & Rankings

Get the Full Picture

Register now to access our complete CTA database: