Typhon Capital Management, LLC : Leeward Pointe - Natural Gas Strategy

archived programs
Year-to-Date
N / A
Mar Performance
-5.13%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.67%
Sharpe (RFR=1%)
-1.02
CAROR
-
Assets
$ 1.8M
Worst DD
-8.22
S&P Correlation
-0.20

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
11/2013
Leeward Pointe - Natural Gas Strategy -5.13 - - - - - - -6.78
S&P 500 -1.74 - - - - - - 98.51
+/- S&P 500 -3.39 - - - - - - -105.30

Strategy Description

Summary

The Leeward Pointe Natural Gas Strategy is managed by Adam O'Shay and Melvin Bacani who joined Typhon in April 2014 after prior service at e360 Power, Optiver, Citadel, and Risk Management Solutions for Adam, and Citadel, Morgan Stanley, and Data Mining Systems/Deutsche Bank for Melvin.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 7500 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 25.00%
1-30 Days 45.00%
Intraday 30.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
90.00%
Option-purchasing
5.00%
Option-spreads
5.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

The Leeward Pointe Natural Gas Strategy is managed by Adam O'Shay and Melvin Bacani who joined Typhon in April 2014 after prior service at e360 Power, Optiver, Citadel, and Risk Management Solutions for Adam, and Citadel, Morgan Stanley, and Data Mining Systems/Deutsche Bank for Melvin.

Investment Strategy

Leeward seeks to capitalize on directional, relative value and delta-neutral opportunities identified through extensive fundamental analysis of the energy markets, specifically targeting a low-volatility return profile. Investment decisions are based on extensive research & statistical modeling/analytics that leverages proprietary demand-modeling inputs from EarthRisk Technologies to quantify weather risk, historical, current and expected coupled Supply/Demand situations, cross-commodity relationships and correlations, technical indicators across the forward curves, physical player motivations and psychology, and regional/global regulatory factors.

   

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
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Risk
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Loss Deviation:
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Sharpe Ratio: (RF=1%)
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Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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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
-8.22 13 - 2/1/2014 3/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
2.88 2 12/1/2014 1/1/2015
1.57 4 11/1/2013 2/1/2014
0.71 1 7/1/2014 7/1/2014
0.01 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.91 2 2/1/2015 3/1/2015
-5.00 4 8/1/2014 11/1/2014
-0.52 1 6/1/2014 6/1/2014
-0.39 2 3/1/2014 4/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable47.0640.0041.67
Average Period Return-0.40-0.66-1.92
Average Gain0.641.260.56
Average Loss-1.33-1.95-3.69
Best Period1.822.041.17
Worst Period-5.13-4.20-4.83
Standard Deviation1.642.052.30
Gain Standard Deviation0.610.610.47
Loss Standard Deviation1.731.580.87
Sharpe Ratio (1%)-0.29-0.44-1.05
Average Gain / Average Loss0.480.650.15
Profit / Loss Ratio0.430.430.11
Downside Deviation (10%)1.742.734.91
Downside Deviation (5%)1.572.053.26
Downside Deviation (0%)1.531.902.89
Sortino Ratio (10%)-0.46-0.69-0.89
Sortino Ratio (5%)-0.31-0.44-0.74
Sortino Ratio (0%)-0.26-0.35-0.67

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.