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Proteus Dynamic Volatility Program

Proteus

STRATEGY OVERVIEW

Traditional correlation-based diversification fails when correlations rise, commonly in times of stress. Since its correlation is reliably negative, adding volatility (VIX) exposure can help address this issue. Though gaining exposure to VIX via static approaches is easy to implement, it doesn’t produce the desired portfolio effect. Proteus Dynamic Volatility program may provide a more effective volatility exposure than static VIX approaches, by exploiting the term structure of the VIX to determine a directional position in VIX futures.

RISK MANAGEMENT

Proteus seeks vega/delta-neutral exposure to basis in volatility futures. Basis exposure is typically via a rolling basket of CBOE Volatility Index® (VIX) futures. To achieve market neutrality, the strategy relies on quantitative signals related to current level and recent changes in the slope of the VIX futures curve as well as relative levels of historical volatility and correlations between the S&P 500, the VIX index, VIX futures and other volatility indexes. Depending on intraday market changes, the VIX futures basket is typically adjusted daily at the 3:15pm CDT close.
Typhon continues to conduct research and evaluate investment strategy performance on an ongoing basis. If a market presents a new realization, a rule may be added or updated to incorporate that insight. While the basic trading methodology is intended not to change, the potential benefits of employing more than a few investment factors, or in varying combinations, is a subject of continual testing, review and evaluation.

ABOUT THE MANAGER

Matthew ThompsonPortfolio Manager

Matthew Thompson is currently Co-Head of Typhon Capital’s volatility group where he manages the Proteus Dynamic Volatility Program and Proteus Risk Overlay. Mr. Thompson became a principal of Typhon in November 2013, and in January 2014, he also became an associated person to operate Proteus exclusively for Typhon. In July of 2015 Mr. Thompson took on an additional role at mutual fund manager Kaizen Advisory, LLC to head their strategy research and risk management efforts. Previous to Typhon, Mr. Thompson was a principal at Advocate Asset Management and a proprietary trader for Avalon Trading, a group within the prop trading arm of ED&F Man Ltd.

Earlier in his career, Mr. Thompson was a portfolio manager at Hills Capital Management, a $100MM family office where he co-developed the Proteus strategy. Prior to Hills, Mr. Thompson held business development and strategy research roles at Actuarials Exchange LLC, a startup derivatives exchange in Chicago IL.

Prior to these roles, Mr. Thompson held portfolio analytics and management roles at Northern Trust and a $500MM registered investment advisor in Chicago, IL as well as a portfolio analytics and consulting role at Envestnet, a $3B consultant to registered investment advisors across the US.

Mr. Thompson holds a BS in Economics from the University of Illinois at Urbana/Champaign and has earned the CFA designation. He is currently a member of the CFA Institute and the CFA Society of Chicago.

Michael A. ThompsonPortfolio Manager

Michael Thompson is currently Co-Head of Typhon Capital’s volatility group where he manages the Proteus Dynamic Volatility Program and Proteus Risk Overlay. Mr. Thompson became a principal of Typhon in November 2013, and in January 2014, he also became an associated person to operate Proteus exclusively for Typhon. In July of 2015 Mr. Thompson took on an additional role at mutual fund manager Kaizen Advisory, LLC to head their strategy research and risk management efforts. Previous to Typhon, Mr. Thompson was a principal at Advocate Asset Management and a proprietary trader for Avalon Trading, a group within the prop trading arm of ED&F Man Ltd.

Earlier in his career, Mr. Thompson was a portfolio manager at Hills Capital Management, a $100MM family office in Barrington, IL where he co-developed the Proteus strategy. Prior to Hills, Mr. Thompson held the Chief of Business Development and strategy research roles at Actuarials Exchange LLC, a startup derivatives exchange in Chicago IL.

Mr. Thompson has also held portfolio management roles at a $500MM registered investment advisor and an investment analyst role at William Blair & Company where he developed and implemented an options overlay strategy for a mutual fund and client portfolios. Mr. Thompson began his career at Northern Trust & Co as a performance analytics analyst in the Global Custody department before moving to the Northern Investment Counselor investment group as an Investment Officer.

Mr. Thompson earned a BS in Economics from the University of Illinois at Urbana/Champaign and holds the CFA designation. He is also a member of the CFA Institute and the CFA Society of Chicago.

PROGRAM INFORMATION

TEAR SHEET

TEAR SHEET

DDQ

DDQ

DECK

DECK

ACCOUNT OPENING DOCUMENTS

ADVISOR AGREEMENT

ADVISOR AGREEMENT

DISCLOSURE DOCUMENT

DISCLOSURE DOCUMENT

GROSS DAILY DATA

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Data displayed on the Client Portal is an approximation of the overall gross valuations of the alternative investment vehicles operated by Typhon Capital Management. Data displayed is from live trading accounts controlled by the firm net of commissions but gross of management and incentive fees and fund expenses. Please see each strategy’s one-page performance summary and disclosure documents for performance net of fees and accounting notes. Data may vary from those of client accounts due to variances in commission rates. The data displayed may not reflect trades executed by each vehicle’s respective investment manager and not yet received by the vehicle’s clearing firm and is delayed by at least five minutes. Any data displayed is for informational purposes only. Investment in any Typhon product is limited to Qualified Eligible Participants only. Past performance is not necessarily indicative of future returns.