Welcome to Typhon Capital Management, a registered CTA.

Mercurio Quantitative Program

Strategy Overview

Mercurio is a medium-frequency program and trades approximately 60 futures markets across asset classes. It is fully-systematic, from signal generation to execution, and utilizes a portfolio of signals, including mean-reversion, trend-following, and breakouts.

Mercurio focuses on market micro-structures such as recurring liquidity events. Its holding periods range from 1 minute to 4 days.

The program is operated by an experienced proprietary trader and his team since 2014 and on a standalone basis since January 2015.

Protection is a key element in generating returns – robust risk management is at the core of this protection. We believe that associated costs are more than compensated for in times of market stress, and the strategy generates good positive returns in rising markets.

Risk is actively managed through strict risk budget limits at portfolio and individual metals levels, with drawdown limits.

Roberto Vernazza – Portfolio Manager

Roberto Vernazza joined Typhon Capital Management in May 2019 as the Portfolio Manager of the Mercurio Group.

Since January 2014, Roberto has been an independent prop trader focused on the Mercurio program, first at Pyne Trading (now part of Tower Trading) and then at Vega Capital.

From January 2006 to May 2013, he was Head Trader & Partner at Quantmetrics Capital Management, a quantitative hedge fund based in London. He was responsible for the execution and risk management of trading strategies spanning a majority of liquid futures from all asset classes, spot FX, and cash equities.

From January 2004 to October 2006, Roberto was a prop trader with Pelican West in London, focusing on intraday futures strategies with an emphasis on European interest rates and equity index futures.

In 2002 Roberto graduated from the University of Cambridge with a degree in Economics. Before being hired by Pelican West, he worked a variety of temporary positions related to the trading industry, such as desk assistant on the European Equities desk at Gartmore and an accounts payable assistant at Bloomberg.

SMA TEAR SHEET

SMA TEAR SHEET

DECK

DECK