Typhon Capital Management, LLC : Mercurio Quantitative Program

Year-to-Date
0.63%
Sep Performance
1.63%
Min Investment
$ 5,000k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
4.14%
Sharpe (RFR=1%)
1.32
CAROR
6.54%
Assets
$ 4.9M
Worst DD
-4.17
S&P Correlation
-0.14

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
1/2015
Mercurio Quantitative Program 1.63 0.62 -0.63 8.46 11.79 - - 35.11
S&P 500 1.72 1.19 18.74 2.15 35.89 - - 47.69
+/- S&P 500 -0.09 -0.57 -19.37 6.32 -24.10 - - -12.58

Strategy Description

Investment Strategy

The Mercurio Quantitative Program is a fully systematic medium-frequency algorithmic program that trades approximately 60 futures markets across asset classes. Mercurio is fully-systematic ,from signal generation to execution, and consists of a portfolio of signals, including... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
30.00%
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
RT/YR/$M
Avg. Margin-to-Equity
10%
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
50.00%
Intraday
50.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Investment Strategy

The Mercurio Quantitative Program is a fully systematic medium-frequency algorithmic program that trades approximately 60 futures markets across asset classes. Mercurio is fully-systematic ,from signal generation to execution, and consists of a portfolio of signals, including mean-reversion, trend-following, and breakouts. Mercurio focuses on market micro-structure such as recurring liquidity events. Mercurio utilizes holding periods ranging from 1minute to 4days. Mercurio is managed by an experienced proprietary trader and his team since 2014, with Mercurio run on a standalone, proprietary basis since January 2015.

   

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
-4.17 3 2 6/1/2018 9/1/2018
-3.24 6 - 2/1/2019 8/1/2019
-1.60 1 4 2/1/2017 3/1/2017
-1.01 2 2 9/1/2017 11/1/2017
-0.86 1 2 11/1/2015 12/1/2015
-0.73 2 1 2/1/2015 4/1/2015
-0.67 1 1 2/1/2018 3/1/2018
-0.41 1 2 5/1/2016 6/1/2016
-0.26 1 1 5/1/2015 6/1/2015
-0.20 2 1 9/1/2016 11/1/2016
-0.08 1 1 7/1/2017 8/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
10.30 5 10/1/2018 2/1/2019
6.92 5 7/1/2015 11/1/2015
5.33 5 1/1/2016 5/1/2016
5.03 2 1/1/2015 2/1/2015
3.43 3 12/1/2016 2/1/2017
3.35 3 7/1/2016 9/1/2016
2.88 3 12/1/2017 2/1/2018
2.08 3 4/1/2018 6/1/2018
1.63 1 9/1/2019 9/1/2019
1.14 1 5/1/2015 5/1/2015
1.12 2 4/1/2017 5/1/2017
0.92 1 7/1/2017 7/1/2017
0.69 1 9/1/2017 9/1/2017
0.53 1 4/1/2019 4/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.17 3 7/1/2018 9/1/2018
-3.18 4 5/1/2019 8/1/2019
-1.60 1 3/1/2017 3/1/2017
-1.01 2 10/1/2017 11/1/2017
-0.86 1 12/1/2015 12/1/2015
-0.73 2 3/1/2015 4/1/2015
-0.67 1 3/1/2018 3/1/2018
-0.59 1 3/1/2019 3/1/2019
-0.41 1 6/1/2016 6/1/2016
-0.26 1 6/1/2015 6/1/2015
-0.20 2 10/1/2016 11/1/2016
-0.13 1 6/1/2017 6/1/2017
-0.08 1 8/1/2017 8/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods57.0055.0052.0046.0040.0034.0022.00
Percent Profitable63.1680.0086.5497.83100.00100.00100.00
Average Period Return0.541.493.116.429.2312.0218.75
Average Gain1.242.233.876.589.2312.0218.75
Average Loss-0.67-1.48-1.79-1.04
Best Period3.119.169.6511.7616.9522.5625.77
Worst Period-1.64-4.17-3.24-1.040.833.0710.94
Standard Deviation1.192.362.843.164.114.534.28
Gain Standard Deviation0.871.952.192.984.114.534.28
Loss Standard Deviation0.521.270.95
Sharpe Ratio (1%)0.380.530.921.721.882.213.67
Average Gain / Average Loss1.861.512.166.32
Profit / Loss Ratio3.196.0313.90284.26
Downside Deviation (10%)0.731.381.721.451.852.001.50
Downside Deviation (5%)0.550.940.900.310.11
Downside Deviation (0%)0.510.850.730.15
Sortino Ratio (10%)0.180.190.370.980.880.881.99
Sortino Ratio (5%)0.831.312.9017.6971.98
Sortino Ratio (0%)1.051.744.2541.76

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.