Typhon Capital Management LLC – Travinci
Trevinci Liquid Ag Strategy
Methodology: Discretionary
Strategy: Fundamental / Macro
Sub-Strategy: N/A
Market Focus: Agricultural
Strategy Description
The Trevinci Liquid Ag Strategy is a discretionary fundamental agricultural trading program, focusing exclusively on grains and related commodities. The portfolio manager leverages extensive commercial relationships, including thousands of farmers, in conjunction with a variety of proprietary models in order to forecast grain markets and spread relationships. Approximately 80% of trades are expected to be spread/relationship driven, while 20% are expected to be more directional in nature.
Risk Management
The strategy targets a maximum daily loss of 3% and a long-term annualized standard deviation of 12%. The manager utilizes a risk based sizing system, with most trades receiving a single risk unit allocation at initiation, but may be added to depending upon the manager’s conviction and/or the success of the trade. While no hard limit exists, historically the largest risk unit allocation to a single trade was 10 units. Portfolio level drawdown limits are also in place, with a 3% intra-month loss triggering a review by Typhon’s risk committee, and a 5% intra-month loss resulting in no additional risk being taken for the month.
General Information
Management Fee: 2.00% Typical Trade Duration: 3-7 Days
Performance Fee: 20.00% Round Turns per Million: 4,800
Manager Assets: $90,000,000 Typical Margin‐to‐Equity: 5-10%
Strategy Assets: $0 Managed Account Minimum: $250,000
Performance Statistics
Date Range: 02/12 – 12/16 Maximum Drawdown: -16.80%
Annualized ROR: 4.76% Sharpe Ratio (0% RFR): 0.45
Standard Deviation: 10.60% Correlation to S&P 500: 0.15
Disclosures
This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.
Coquest Strategy Summary · Typhon Capital Management LLP
Coquest Advisors · 12222 Merit Dr. Suite 1130 · Dallas, TX 75251 · coquestadvisors.com · October 2019
This material is provided as is for informational purposes only and may contain opinions which are solely those of its author. This material is not a solicitation, nor an offer to sell or a recommendation to buy a security. Past performance is not necessarily indicative of future results.
