Typhon Capital Management, LLC : Plutus Grain Strategy

Year-to-Date
2.63%
Jun Performance
1.13%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.86%
Sharpe (RFR=1%)
0.60
CAROR
6.08%
Assets
$ 12.8M
Worst DD
-10.13
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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
4/2008
Plutus Grain Strategy 1.13 6.44 2.63 -0.03 6.30 9.38 60.71 94.17
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 110.12
+/- S&P 500 -5.76 2.66 -14.71 -8.24 -32.43 -39.17 -155.97 -15.95

Strategy Description

Summary

The Plutus Grain Strategy is a discretionary, diversified grain strategy that aims to capture returns from the grain markets with a low correlation to traditional assets. This methodology prioritizes capital preservation and seeks to provide returns at a relatively low level of volatility... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
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
1800 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
12.00%
Worst Peak-to-Trough
10.13%
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
25.00%
1-30 Days
75.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
75.00%
Option-purchasing
5.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Grains
100.00%
Composition Pie Chart

Summary

The Plutus Grain Strategy is a discretionary, diversified grain strategy that aims to capture returns from the grain markets with a low correlation to traditional assets. This methodology prioritizes capital preservation and seeks to provide returns at a relatively low level of volatility when compared to most other grain strategies. This strategy became operational on the Typhon platform in September 2010.

Investment Strategy

The Plutus Grain Strategy is a discretionary strategy based on a combination of supply/demand fundamentals and technical analysis which attempts to define trends and/or changes in trends in various agricultural commodity markets. Fundamental analysis incorporates factors such as production, domestic and foreign demand, storage cost and availability, governmental issues, and weather, both in the United States and around the world. PGS primarily trades agricultural futures spreads including but not limited to corn, soybeans, wheat, soybean meal, soy oil, oats, and rice with trade allocations between the commodities based on potential risk vs. reward. Positions taken are primarily spreads: Intra-commodity spreads between calendar months (example: December corn vs. March corn), Inter-commodity spreads between different commodities (example: December soy oil vs. December soybean meal), and Inter-market spreads between markets (example: Chicago December wheat vs. Kansas City December Wheat). Using spreads as the primary source of position in an attempt to minimize the volatility of trading futures. Approximately 90% of the PGS’s positions utilize futures spreads. Additionally, the PGS may take positions in the futures and or options markets when market conditions meet our risk parameters. The PGS does not engage in selling options short.

Risk Management

Positions taken are primarily spreads: Intra-commodity spreads between calendar months (example: December corn vs. March corn), Inter-commodity spreads between different commodities (example: December soy oil vs. December soybean meal), and Inter-market spreads between markets (example: Chicago December wheat vs. Kansas City December Wheat). Using spreads as the primary source of position in an attempt to minimize the volatility of trading futures. Approximately 90% of Plutus’s positions utilize futures spreads. Moreover, the strategy generally maintains a sub-5% margin-to-equity ratio, and never exceeds 10%. Plutus may take positions in the futures and or options markets when market conditions meet our risk parameters. Plutus does not engage in selling options short.

   

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
-10.13 2 3 1/1/2009 3/1/2009
-7.78 4 12 12/1/2013 4/1/2014
-7.30 10 5 3/1/2016 1/1/2017
-7.04 1 1 11/1/2009 12/1/2009
-6.93 21 - 6/1/2017 3/1/2019
-6.21 1 4 6/1/2010 7/1/2010
-5.12 3 6 1/1/2012 4/1/2012
-4.30 1 2 6/1/2009 7/1/2009
-1.81 1 1 7/1/2011 8/1/2011
-1.53 1 1 4/1/2010 5/1/2010
-1.34 1 1 5/1/2015 6/1/2015
-0.85 1 1 11/1/2011 12/1/2011
-0.78 1 1 1/1/2010 2/1/2010
-0.76 1 3 8/1/2015 9/1/2015
-0.59 1 3 10/1/2012 11/1/2012
-0.56 1 1 5/1/2013 6/1/2013
-0.51 2 1 8/1/2008 10/1/2008
-0.21 2 1 9/1/2013 11/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
19.39 12 8/1/2010 7/1/2011
15.10 3 4/1/2009 6/1/2009
14.03 5 4/1/2008 8/1/2008
11.74 1 1/1/2010 1/1/2010
11.08 4 8/1/2009 11/1/2009
8.79 5 2/1/2017 6/1/2017
7.71 5 5/1/2014 9/1/2014
7.32 1 6/1/2010 6/1/2010
7.16 2 3/1/2010 4/1/2010
6.44 3 4/1/2019 6/1/2019
6.00 6 5/1/2012 10/1/2012
4.59 3 9/1/2011 11/1/2011
4.31 2 7/1/2015 8/1/2015
4.07 3 11/1/2014 1/1/2015
3.71 3 3/1/2015 5/1/2015
3.51 4 2/1/2013 5/1/2013
3.50 4 3/1/2018 6/1/2018
2.96 3 11/1/2008 1/1/2009
2.49 6 10/1/2015 3/1/2016
1.83 1 1/1/2012 1/1/2012
1.70 3 7/1/2013 9/1/2013
1.50 4 9/1/2017 12/1/2017
1.44 2 6/1/2016 7/1/2016
1.30 1 9/1/2018 9/1/2018
0.88 1 12/1/2013 12/1/2013
0.84 2 11/1/2016 12/1/2016
0.41 1 12/1/2018 12/1/2018
0.13 1 9/1/2016 9/1/2016
0.08 1 12/1/2012 12/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.13 2 2/1/2009 3/1/2009
-7.78 4 1/1/2014 4/1/2014
-7.04 1 12/1/2009 12/1/2009
-6.35 2 4/1/2016 5/1/2016
-6.21 1 7/1/2010 7/1/2010
-5.16 1 10/1/2014 10/1/2014
-5.12 3 2/1/2012 4/1/2012
-5.02 2 7/1/2017 8/1/2017
-4.30 1 7/1/2009 7/1/2009
-3.58 3 1/1/2019 3/1/2019
-2.81 2 10/1/2018 11/1/2018
-1.98 1 8/1/2016 8/1/2016
-1.81 1 8/1/2011 8/1/2011
-1.53 1 5/1/2010 5/1/2010
-1.47 2 7/1/2018 8/1/2018
-1.34 1 6/1/2015 6/1/2015
-1.13 1 1/1/2017 1/1/2017
-0.85 1 12/1/2011 12/1/2011
-0.78 1 2/1/2010 2/1/2010
-0.76 1 9/1/2015 9/1/2015
-0.68 2 1/1/2018 2/1/2018
-0.59 1 11/1/2012 11/1/2012
-0.56 1 6/1/2013 6/1/2013
-0.51 2 9/1/2008 10/1/2008
-0.46 1 2/1/2015 2/1/2015
-0.29 1 10/1/2016 10/1/2016
-0.21 2 10/1/2013 11/1/2013
-0.03 1 1/1/2013 1/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods135.00133.00130.00124.00118.00112.00100.0088.0076.00
Percent Profitable68.1570.6870.0078.2378.8187.5088.0097.73100.00
Average Period Return0.521.382.645.528.8611.9217.0821.6426.45
Average Gain1.633.165.157.9611.8113.8219.6222.1626.45
Average Loss-1.88-2.90-3.22-3.22-2.09-1.36-1.53-0.44
Best Period11.7415.1025.5533.2240.1549.8360.4468.5476.92
Worst Period-7.66-8.95-7.92-6.47-4.97-2.96-6.14-0.583.13
Standard Deviation2.563.975.437.9610.7613.6018.3120.1121.61
Gain Standard Deviation1.993.004.377.2510.2613.5118.0820.0521.61
Loss Standard Deviation1.972.442.072.061.400.751.680.20
Sharpe Ratio (1%)0.170.290.390.570.680.730.770.870.99
Average Gain / Average Loss0.871.091.602.475.6410.1412.8250.14
Profit / Loss Ratio1.902.623.738.8620.9870.9694.022156.15
Downside Deviation (10%)1.682.613.354.345.216.129.3711.2314.08
Downside Deviation (5%)1.542.152.322.201.781.261.760.740.39
Downside Deviation (0%)1.512.042.091.781.150.550.770.07
Sortino Ratio (10%)0.070.060.050.120.240.270.140.01-0.08
Sortino Ratio (5%)0.290.530.922.064.137.898.0023.7955.31
Sortino Ratio (0%)0.350.681.263.117.7021.8622.18309.97

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 4 4.98 5/2019
Discretionary Trader Index Month 5 4.98 5/2019
Agricultural Trader Index Month 10 0.27 4/2019
Agricultural Trader Index Month 5 0.41 12/2018
Agricultural Trader Index Month 6 1.30 9/2018
Agricultural Trader Index Month 6 1.30 9/2018
Agricultural Trader Index Month 9 0.17 6/2018
Agricultural Trader Index Month 9 0.49 5/2018
Agricultural Trader Index Month 7 0.59 4/2018
Agricultural Trader Index Month 7 0.59 4/2018
Agricultural Trader Index Month 5 2.22 3/2018
Agricultural Trader Index Month 10 0.30 12/2017
Agricultural Trader Index Month 8 0.50 10/2017
Agricultural Trader Index Month 7 0.65 9/2017
Agricultural Trader Index Month 5 4.41 6/2017
IASG CTA Index Month 6 4.41 6/2017
Discretionary Trader Index Month 4 4.41 6/2017
Agricultural Trader Index Month 10 0.73 5/2017
Agricultural Trader Index Month 1 1.58 4/2017
Agricultural Trader Index Month 10 0.79 3/2017
Agricultural Trader Index Month 4 1.03 2/2017
Agricultural Trader Index Month 9 0.71 12/2016
Agricultural Trader Index Month 8 0.50 3/2016
Agricultural Trader Index Month 5 0.65 1/2016
Agricultural Trader Index Month 10 0.41 11/2015
Agricultural Trader Index Month 9 0.16 10/2015
Agricultural Trader Index Month 8 0.84 8/2015
Agricultural Trader Index Month 5 3.51 7/2015
Agricultural Trader Index Month 7 0.94 5/2015
Agricultural Trader Index Month 10 0.65 4/2015
Agricultural Trader Index Month 6 1.95 3/2015
Agricultural Trader Index Month 8 0.96 12/2014
Agricultural Trader Index Month 4 2.25 11/2014
Agricultural Trader Index Month 8 3.42 6/2014
Agricultural Trader Index Month 10 1.45 5/2014
Agricultural Trader Index Month 6 0.88 12/2013
Agricultural Trader Index Month 3 1.57 5/2013
Agricultural Trader Index Month 7 0.45 3/2013
Agricultural Trader Index Month 10 0.05 12/2012
Agricultural Trader Index Month 6 1.41 10/2012
Agricultural Trader Index Month 9 0.95 5/2012
Agricultural Trader Index Month 6 1.83 1/2012
Agricultural Trader Index Month 10 1.07 11/2011
Agricultural Trader Index Month 3 2.22 9/2011
Agricultural Trader Index Month 2 2.66 6/2011
Agricultural Trader Index Month 7 1.57 5/2011
Agricultural Trader Index Month 7 2.56 3/2011
Agricultural Trader Index Month 5 1.02 11/2010
Agricultural Trader Index Month 10 1.79 8/2010
Discretionary Trader Index Month 3 7.32 6/2010
Agricultural Trader Index Month 2 7.32 6/2010
Agricultural Trader Index Month 4 6.14 4/2010
Discretionary Trader Index Month 6 6.14 4/2010
Agricultural Trader Index Month 8 0.96 3/2010
Agricultural Trader Index Month 10 -0.78 2/2010
Agricultural Trader Index Month 2 11.74 1/2010
IASG CTA Index Month 2 11.74 1/2010
Discretionary Trader Index Month 2 11.74 1/2010
Agricultural Trader Index Month 4 1.31 11/2009
Agricultural Trader Index Month 3 4.46 10/2009
Discretionary Trader Index Month 10 4.46 10/2009
Agricultural Trader Index Month 8 1.42 9/2009
Agricultural Trader Index Month 8 3.49 8/2009
Agricultural Trader Index Month 4 7.04 6/2009
Discretionary Trader Index Month 7 7.04 6/2009
Agricultural Trader Index Month 5 6.01 5/2009
Agricultural Trader Index Month 8 1.43 4/2009
Agricultural Trader Index Month 8 1.32 1/2009
Agricultural Trader Index Month 9 0.07 12/2008
Agricultural Trader Index Month 6 1.55 11/2008
Agricultural Trader Index Month 10 -0.48 10/2008
Agricultural Trader Index Month 6 -0.03 9/2008
Agricultural Trader Index Month 10 0.57 8/2008
Agricultural Trader Index Month 5 0.76 7/2008
Agricultural Trader Index Month 4 4.05 5/2008
Discretionary Trader Index Month 10 4.05 5/2008
Agricultural Trader Index Month 10 0.00 4/2008

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