Typhon Capital Management, LLC : Metis Momentum Macro Program

archived programsClosed to new investments
Year-to-Date
N / A
Nov Performance
0.45%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.29%
Sharpe (RFR=1%)
0.42
CAROR
5.92%
Assets
$ 10.0M
Worst DD
-10.81
S&P Correlation
-0.04

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
4/2013
Metis Momentum Macro Program 0.45 0.43 - 2.02 38.42 - - 23.46
S&P 500 3.42 1.28 - 5.69 21.76 - - 37.63
+/- S&P 500 -2.97 -0.85 - -3.67 16.66 - - -14.17

Strategy Description

Summary

The Metis Momentum Macro Program is managed by Mark Aune who joined Typhon in December 2014 after prior service at Meritage Capital and Centennial Partners. Metis is a systematic macro program that selectively trades long and short global macro trends across 24 markets in 7 sectors.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
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
1200 RT/YR/$M
Avg. Margin-to-Equity
15%
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
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
100.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Industrial Metals
20.00%
Interest Rates
20.00%
Energy
10.00%
Grains
10.00%
Livestock
10.00%
Softs
10.00%
Composition Pie Chart

Summary

The Metis Momentum Macro Program is managed by Mark Aune who joined Typhon in December 2014 after prior service at Meritage Capital and Centennial Partners. Metis is a systematic macro program that selectively trades long and short global macro trends across 24 markets in 7 sectors. Metis identifies those markets which exhibit the strongest momentum in each sector, to both the upside and down side, and constructs a diversified portfolio of those positions which are re-balanced monthly. Metis employs stringent risk management,with defined stops on each position along with oversight by two senior risk managers. Metis did not trade in January 2015 during its transition from Meritage to Typhon.

   

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
-10.81 8 7 1/1/0001 11/1/2013
-6.86 7 - 1/1/2015 8/1/2015
-5.37 1 1 9/1/2014 10/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
37.61 4 6/1/2014 9/1/2014
11.07 3 12/1/2013 2/1/2014
9.22 2 11/1/2014 12/1/2014
2.52 1 4/1/2016 4/1/2016
2.44 6 9/1/2015 2/1/2016
0.83 1 3/1/2015 3/1/2015
0.52 1 9/1/2013 9/1/2013
0.45 1 11/1/2016 11/1/2016
0.33 1 9/1/2016 9/1/2016
0.23 1 5/1/2013 5/1/2013
0.06 1 6/1/2016 6/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.68 3 6/1/2013 8/1/2013
-8.47 3 3/1/2014 5/1/2014
-6.71 5 4/1/2015 8/1/2015
-5.37 1 10/1/2014 10/1/2014
-1.21 2 10/1/2013 11/1/2013
-0.99 2 1/1/2015 2/1/2015
-0.88 2 7/1/2016 8/1/2016
-0.87 1 5/1/2016 5/1/2016
-0.87 1 3/1/2016 3/1/2016
-0.79 1 4/1/2013 4/1/2013
-0.35 1 10/1/2016 10/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable50.0054.7658.9766.6770.3790.48
Average Period Return0.551.774.2911.2018.2723.68
Average Gain2.775.8510.5618.8127.3226.36
Average Loss-1.75-3.18-4.73-4.01-3.23-1.70
Best Period14.1923.7939.3142.0242.9136.70
Worst Period-7.18-9.68-10.30-8.82-4.40-2.25
Standard Deviation3.847.1011.2416.7716.8411.79
Gain Standard Deviation3.986.8610.4715.6410.838.68
Loss Standard Deviation2.023.193.522.261.180.78
Sharpe Ratio (1%)0.120.210.340.611.001.84
Average Gain / Average Loss1.581.842.234.708.4615.51
Profit / Loss Ratio1.662.233.219.3920.09147.34
Downside Deviation (10%)2.023.635.135.535.933.93
Downside Deviation (5%)1.863.114.003.152.651.16
Downside Deviation (0%)1.822.993.732.631.860.55
Sortino Ratio (10%)0.070.150.361.121.803.42
Sortino Ratio (5%)0.250.490.953.246.3418.73
Sortino Ratio (0%)0.300.591.154.279.8342.93

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.