Typhon Capital Management, LLC : Tauros Livestock Strategy

archived programs
Year-to-Date
N / A
Nov Performance
1.52%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
11.19%
Sharpe (RFR=1%)
1.04
CAROR
12.65%
Assets
$ 4.3M
Worst DD
-15.26
S&P Correlation
0.07

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
7/2009
Tauros Livestock Strategy 1.52 - - - - -10.10 59.05 141.96
S&P 500 3.42 - - - - 76.33 56.96 250.81
+/- S&P 500 -1.90 - - - - -86.42 2.09 -108.85

Strategy Description

Summary

The Tauros Livestock Strategy is managed by the manager of the Plutus Grain Strategy, and combines fundamental analysis with technical entries and exits. The Tauros Livestock Strategy is predominantly a livestock spread scalping strategy, but it also periodically incorporates seasonal... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $7.50
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 15%
Targeted Worst DD
Worst Peak-to-Trough -3.23%
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

Momentum
2.00%
Option-purchasing
2.00%
Spreading/hedging
96.00%
Strategy Pie Chart

Composition

Livestock
90.00%
Grains
5.00%
Interest Rates
5.00%
Composition Pie Chart

Summary

The Tauros Livestock Strategy is managed by the manager of the Plutus Grain Strategy, and combines fundamental analysis with technical entries and exits. The Tauros Livestock Strategy is predominantly a livestock spread scalping strategy, but it also periodically incorporates seasonal and momentum trades. It also may hedge its livestock positions using grains, financials, or other commodities and occasionally incorporates long options and spreads. It is never net short option premium. The majority of the trades are not held overnight, but it will sometimes take seasonal spread positions overnight from a few days to a few weeks. Performance is proprietary pro forma for fees.

Investment Strategy

Tauros is primarily a livestock futures trading strategy with a small grain and treasury component. It also will employ energy, soft commodities, and options on occasion. Tauros mostly uses scalping strategies to exploit short-term market aberrations, in addition to some seasonal and momentum trades. Tauros uses fundamental analysis for trade conceptualization coupled with technical analysis to determine entry and exit points. Exit levels are determined before the trade is entered. The Program aims to "hit and run," taking small chunks from the market many times, only when there are readily defined trading opportunities with high probability of profit. The holding period for seasonal spread strategies ranges from a few days to a few weeks with hold times in excess of a month being rare. Flat price trades are typically entered and exited intraday, with the occasional overnight hold usually lasting less than 4 days.

Risk Management

Tauros sets entry and exit points with clearly defined risk before a trade is entered. Often, the Program initially enters a trade with a partial position, then adds exposure as the trade progresses. Much of Tauros’s trading is intraday scalping, meaning the Program is not in the market for a long period of time. The risk/reward on these trades are usually not as high as those of longer-term trades, but Tauros executes only the highest probability trades to try and maximize the win rate. Tauros is also frequently flat ahead of major fundamental reports, and subsequently makes momentum trades following the reports. This greatly reduces the substantial risk of a unfavorable gap against the Program that could occur due to a surprise, adverse report. Tauros is never a net seller of options.

   

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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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
-15.26 19 12 9/1/2012 4/1/2014
-12.25 14 - 7/1/2015 9/1/2016
-4.22 3 2 12/1/2011 3/1/2012
-3.23 1 3 4/1/2010 5/1/2010
-2.02 1 1 10/1/2009 11/1/2009
-0.50 2 1 4/1/2015 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
74.50 17 8/1/2010 12/1/2011
31.23 5 12/1/2009 4/1/2010
15.98 4 7/1/2009 10/1/2009
14.83 4 5/1/2014 8/1/2014
10.04 6 4/1/2012 9/1/2012
8.45 2 10/1/2013 11/1/2013
7.44 4 10/1/2014 1/1/2015
6.13 2 3/1/2015 4/1/2015
3.01 1 7/1/2013 7/1/2013
2.42 1 6/1/2010 6/1/2010
1.56 2 10/1/2016 11/1/2016
0.95 1 7/1/2015 7/1/2015
0.90 1 8/1/2016 8/1/2016
0.79 1 2/1/2012 2/1/2012
0.35 1 6/1/2016 6/1/2016
0.13 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.34 5 12/1/2013 4/1/2014
-10.78 10 8/1/2015 5/1/2016
-7.92 1 9/1/2014 9/1/2014
-6.20 6 10/1/2012 3/1/2013
-5.57 2 8/1/2013 9/1/2013
-3.64 1 3/1/2012 3/1/2012
-3.23 1 5/1/2010 5/1/2010
-2.30 1 9/1/2016 9/1/2016
-2.02 1 11/1/2009 11/1/2009
-1.96 1 7/1/2010 7/1/2010
-1.38 1 1/1/2012 1/1/2012
-1.31 2 5/1/2013 6/1/2013
-0.75 1 2/1/2015 2/1/2015
-0.58 1 7/1/2016 7/1/2016
-0.50 2 5/1/2015 6/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods89.0087.0084.0078.0072.0066.0054.0042.0030.00
Percent Profitable59.5560.9260.7162.8265.2871.2162.9678.5790.00
Average Period Return1.053.146.4813.4321.5128.7635.4243.5164.62
Average Gain2.947.3213.5124.8135.8242.3757.3856.9472.10
Average Loss-1.74-3.38-4.38-5.79-5.38-4.90-1.92-5.76-2.70
Best Period9.4922.6036.5962.8594.52131.09154.40147.06139.88
Worst Period-8.46-12.76-12.52-10.98-15.10-10.40-7.16-10.62-3.15
Standard Deviation3.237.0211.8921.8632.7442.9749.4347.5846.84
Gain Standard Deviation2.455.5110.0520.1032.2344.1250.7945.0343.20
Loss Standard Deviation1.962.952.923.535.033.521.813.680.72
Sharpe Ratio (1%)0.300.410.500.570.610.620.660.831.27
Average Gain / Average Loss1.692.173.094.286.668.6429.819.8826.73
Profit / Loss Ratio2.493.384.777.2312.5121.3850.6836.24240.58
Downside Deviation (10%)1.843.414.687.008.449.0211.8314.7112.88
Downside Deviation (5%)1.692.913.554.654.994.163.214.902.64
Downside Deviation (0%)1.652.793.284.124.303.211.593.110.87
Sortino Ratio (10%)0.350.560.861.201.652.051.661.492.87
Sortino Ratio (5%)0.570.991.692.674.016.4310.098.0522.57
Sortino Ratio (0%)0.631.131.983.265.008.9622.3113.9874.04

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.