Rhicon Currency Management : Rhicon Currency Alpha Strategy

Year-to-Date
1.06%
Oct Performance
0.33%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
1.21%
Sharpe (RFR=1%)
0.54
CAROR
1.66%
Assets
$ 40.0M
Worst DD
-0.55
S&P Correlation
0.06

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2018
Rhicon Currency Alpha Strategy 0.33 0.19 1.06 0.66 - - - 3.49
S&P 500 -2.77 -0.04 1.21 7.65 - - - 20.58
+/- S&P 500 3.10 0.22 -0.15 -6.99 - - - -17.08

Strategy Description

Summary

The Rhicon Currency Alpha Strategy (RCAS) was launched in October 2018, and seeks to capitalise on identified market trading opportunities in G10 currencies. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission
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 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
20.00%
Momentum
20.00%
Technical
10.00%
Other
50.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The Rhicon Currency Alpha Strategy (RCAS) was launched in October 2018, and seeks to capitalise on identified market trading opportunities in G10 currencies.

Investment Strategy

Applying a conviction based fundamental and discretionary approach, the investment process focuses on six trading input factors that are reviewed on a daily basis. The strategy aims to deliver strong risk adjusted returns with low drawdowns.

Risk Management

The portfolio's monthly stop loss limit is 1.75%. Every trade has a pre-determined stop loss and take profit (in the market at all times) with 2:1 to 3:1 risk/reward per trade.

   

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
-0.55 3 3 9/1/2019 12/1/2019
-0.42 4 2 4/1/2020 8/1/2020
-0.37 1 1 1/1/0001 10/1/2018
-0.31 2 1 5/1/2019 7/1/2019
-0.02 1 1 11/1/2018 12/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
2.43 5 1/1/2019 5/1/2019
1.04 4 1/1/2020 4/1/2020
0.65 2 8/1/2019 9/1/2019
0.58 1 11/1/2018 11/1/2018
0.44 2 9/1/2020 10/1/2020
0.14 1 7/1/2020 7/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.55 3 10/1/2019 12/1/2019
-0.37 1 10/1/2018 10/1/2018
-0.31 2 5/1/2020 6/1/2020
-0.31 2 6/1/2019 7/1/2019
-0.25 1 8/1/2020 8/1/2020
-0.02 1 12/1/2018 12/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods25.0023.0020.0014.008.00
Percent Profitable60.0073.9190.00100.00100.00
Average Period Return0.140.420.811.392.33
Average Gain0.350.670.921.392.33
Average Loss-0.18-0.26-0.15
Best Period1.101.722.973.203.86
Worst Period-0.37-0.55-0.240.180.88
Standard Deviation0.350.650.900.971.15
Gain Standard Deviation0.290.580.880.971.15
Loss Standard Deviation0.100.180.13
Sharpe Ratio (1%)0.160.270.350.400.72
Average Gain / Average Loss1.942.586.08
Profit / Loss Ratio2.917.3054.68
Downside Deviation (10%)0.411.011.873.735.37
Downside Deviation (5%)0.180.280.280.310.27
Downside Deviation (0%)0.130.160.06
Sortino Ratio (10%)-0.66-0.79-0.89-0.97-0.98
Sortino Ratio (5%)0.310.621.121.253.12
Sortino Ratio (0%)1.062.7114.61

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.