Typhon Capital Management, LLC : Proteus Dynamic Volatility Program

Year-to-Date
6.07%
Jul Performance
2.58%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.73%
Sharpe (RFR=1%)
0.31
CAROR
2.92%
Assets
$ 3.5M
Worst DD
-10.48
S&P Correlation
0.42

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
10/2011
Proteus Dynamic Volatility Program 2.58 3.96 6.07 3.40 3.91 1.68 - 25.25
S&P 500 1.31 1.17 18.88 5.82 35.72 52.80 - 135.37
+/- S&P 500 1.27 2.79 -12.81 -2.42 -31.81 -51.12 - -110.12

Strategy Description

Summary

The Proteus Dynamic Volatility Program uses the unique properties of exchange-traded volatility to seek positive annual returns in all market environments. This “all weather” portfolio positions in one of three modes based on a systematic determination of the current volatility regime,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
4.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
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
475 RT/YR/$M
Avg. Margin-to-Equity
1%
Targeted Worst DD
Worst Peak-to-Trough
-4.54%
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
20.00%
1-30 Days
79.00%
Intraday
1.00%

Decision-Making

Discretionary
1.00%
Systematic
99.00%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

VIX
100.00%
Composition Pie Chart

Summary

The Proteus Dynamic Volatility Program uses the unique properties of exchange-traded volatility to seek positive annual returns in all market environments. This “all weather” portfolio positions in one of three modes based on a systematic determination of the current volatility regime, producing a “black swan” type exposure during stressed markets while providing a non-cyclical source of alpha during normal markets. Positioning strictly in volatility futures affords Proteus greater flexibility and a more attractive risk/reward profile than options-based approaches.

Investment Strategy

The Proteus Dynamic Volatility Program is an “all weather” volatility trading approach that seeks positive annual returns in all market environments. Based on a proprietary system to determine the current volatility regime, the program rotates between three modes: 1. In normal volatility periods (approx 75% of days), the portfolio seeks to profit from the substantial volatility risk premium in VIX futures. In this mode, the portfolio typically displays positive correlation with the S&P 500 and is insulated from periodic VIX spikes through positioning via constant maturity baskets and/or calendar spreads in VIX futures. 2. In high volatility periods (approx 5% of days), the portfolio seeks to profit from rising volatility and a negative risk premium in VIX futures. In this mode, the portfolio typically displays high negative correlation to the S&P 500. The transition back to normal volatility is managed via position scaling and through positioning via constant maturity baskets and/or calendar spreads in VIX futures. 3. In transition periods (approx 20% of days), the portfolio holds no positions.

Risk Management

Proteus benefits from three layers of risk management, both passive and active: 1. Properties of equity volatility (passive) Equity volatility is a market statistic that has natural upper and lower limits and simply oscillates around a stable long term average. This makes volatility uniquely predictable on longer time frames, providing solid fundamental support for the Proteus approach especially for periods greater than one year. 2. Determination of volatility regime (active) Proteus uses a proprietary systematic reading of market conditions to determine the current volatility regime. Historically, each regime as determined by this system has greatly increased probabilities in favor of certain portfolio biases. 3. Position construction & management (active) Positioning via constant maturity baskets and/or calendar spreads allows the portfolio to align with each volatility regime without being overly exposed to movement in the spot VIX index.

   

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
-10.48 13 - 10/1/2015 11/1/2016
-5.59 2 7 11/1/2014 1/1/2015
-4.54 4 4 1/1/2012 5/1/2012
-3.13 4 3 4/1/2013 8/1/2013
-2.31 1 1 11/1/2012 12/1/2012
-2.12 1 1 10/1/2011 11/1/2011
-2.05 2 3 1/1/2014 3/1/2014
-1.46 1 1 8/1/2015 9/1/2015
-0.95 1 1 9/1/2012 10/1/2012
-0.44 1 1 8/1/2014 9/1/2014
-0.35 1 1 11/1/2013 12/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
8.76 2 12/1/2011 1/1/2012
8.42 4 1/1/2013 4/1/2013
7.40 4 6/1/2012 9/1/2012
6.35 5 3/1/2019 7/1/2019
6.22 6 7/1/2017 12/1/2017
5.29 6 12/1/2016 5/1/2017
4.51 3 9/1/2013 11/1/2013
4.03 2 10/1/2014 11/1/2014
3.90 2 5/1/2018 6/1/2018
3.46 4 2/1/2015 5/1/2015
3.40 5 4/1/2014 8/1/2014
3.05 1 10/1/2011 10/1/2011
2.81 2 7/1/2015 8/1/2015
2.28 1 3/1/2016 3/1/2016
2.15 1 11/1/2012 11/1/2012
2.03 1 10/1/2015 10/1/2015
1.99 2 5/1/2016 6/1/2016
1.67 1 7/1/2013 7/1/2013
1.65 2 9/1/2016 10/1/2016
1.26 2 8/1/2018 9/1/2018
0.99 1 3/1/2012 3/1/2012
0.65 1 1/1/2019 1/1/2019
0.60 1 1/1/2014 1/1/2014
0.12 1 1/1/2016 1/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.68 4 1/1/2018 4/1/2018
-6.18 2 11/1/2015 12/1/2015
-5.59 2 12/1/2014 1/1/2015
-5.41 1 11/1/2016 11/1/2016
-4.13 2 4/1/2012 5/1/2012
-3.73 3 10/1/2018 12/1/2018
-2.74 2 5/1/2013 6/1/2013
-2.48 1 4/1/2016 4/1/2016
-2.31 1 12/1/2012 12/1/2012
-2.12 1 11/1/2011 11/1/2011
-2.05 2 2/1/2014 3/1/2014
-2.03 1 8/1/2013 8/1/2013
-1.56 1 2/1/2016 2/1/2016
-1.46 1 9/1/2015 9/1/2015
-1.40 1 2/1/2012 2/1/2012
-1.04 2 7/1/2016 8/1/2016
-0.96 1 7/1/2018 7/1/2018
-0.95 1 10/1/2012 10/1/2012
-0.91 1 2/1/2019 2/1/2019
-0.44 1 9/1/2014 9/1/2014
-0.38 1 6/1/2015 6/1/2015
-0.35 1 12/1/2013 12/1/2013
-0.24 1 6/1/2017 6/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods94.0092.0089.0083.0077.0071.0059.0047.0035.00
Percent Profitable63.8360.8759.5563.8661.0456.3462.7165.9674.29
Average Period Return0.260.681.082.072.743.544.154.626.88
Average Gain1.372.613.555.036.747.938.258.399.85
Average Loss-1.70-2.34-2.56-3.16-3.51-2.12-2.74-2.70-1.67
Best Period6.507.3911.7413.9219.0420.9827.2226.4921.83
Worst Period-5.41-7.62-7.77-8.39-7.83-9.97-6.20-6.46-3.29
Standard Deviation1.943.083.855.156.476.808.507.977.44
Gain Standard Deviation1.301.902.573.784.945.968.277.266.26
Loss Standard Deviation1.201.902.102.262.161.751.721.701.22
Sharpe Ratio (1%)0.090.140.150.210.190.230.130.070.24
Average Gain / Average Loss0.811.121.391.591.923.743.013.115.89
Profit / Loss Ratio1.421.742.042.813.014.835.066.0317.01
Downside Deviation (10%)1.452.533.545.397.549.2014.1818.6622.00
Downside Deviation (5%)1.292.002.352.843.412.973.814.233.81
Downside Deviation (0%)1.241.872.102.322.561.801.961.841.03
Sortino Ratio (10%)-0.10-0.22-0.39-0.54-0.64-0.73-0.82-0.91-0.94
Sortino Ratio (5%)0.140.210.250.380.360.510.290.130.47
Sortino Ratio (0%)0.210.360.510.891.071.962.122.506.69

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 7 3.61 5/2018

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