Typhon Capital Management, LLC : Chiron Currency Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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=1%) 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 2020 1yr 3yr 5yr 10yr Since2/2008 Chiron Currency Program -0.91 - - - -5.25 -3.46 -5.04 18.44 S&P 500 1.79 - - - 36.22 49.85 251.60 179.36 +/- S&P 500 -2.70 - - - -41.47 -53.31 -256.64 -160.92 Strategy Description SummaryThe 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% Composition Currency FX 100.00% SummaryThe 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 StrategyThe 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 ManagementIndependent 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: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel