Rhicon Currency Management : Rhicon Strategic Program

Year-to-Date
3.32%
Apr Performance
-0.40%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
7.09%
Sharpe (RFR=1%)
0.33
CAROR
3.14%
Assets
$ 814.0M
Worst DD
-18.77
S&P Correlation
-0.05

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2004
Rhicon Strategic Program -0.40 -2.94 -3.32 -5.34 -16.65 -3.84 -1.14 60.69
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 157.76
+/- S&P 500 -4.33 -11.88 -20.83 -16.58 -57.85 -58.62 -235.18 -97.07

Strategy Description

Summary

The Rhicon Strategic Program applies a discretionary technical trading methodology to the currency markets to achieve absolute returns. It applies the combined trading approaches of its Investment Managers to capture profits in the intraday, short, and medium term time frames. The... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
450 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
1-30 Days
40.00%
Intraday
60.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The Rhicon Strategic Program applies a discretionary technical trading methodology to the currency markets to achieve absolute returns. It applies the combined trading approaches of its Investment Managers to capture profits in the intraday, short, and medium term time frames. The methodology benefits from a uniquely robust risk management framework, developed and enhanced over years of private and proprietary trading, which enhances capital preservation and upside potential.

Investment Strategy

The investment managers independently generate their own study of the market, a process that benefits from each of their individual expertise. Each manager assesses fundamental, technical and market developments, across their chosen time frame. Whilst there is a strong degree of collaboration and discussion, trading decision-making is entirely autonomous. The approach is applied predominantly to the G-10 currency markets, although liquid emerging market currencies are often traded. Trades are typically implemented via the cash spot market although options can also be used. The managers thus benefit from a broad set of markets and instruments to best implement a trading view to generate absolute returns. The managers trade an entirely distinct style and timeframe, depending on their natural expertise and trading experience. Erik Bjåstad – A short term trader with both a trend following and mean reverting approach. The focus is on establishing a fundamental view based on market research and identifying a technical set-up to dictate entry and exit levels. Maximum 50 trades per month, with between 1 - 4 per day, with positions being held from an intraday basis to intra-week. Christopher Brandon – the emphasis is on identifying strong technical setups using a set of proprietary tools developed over the past decade. These comprise a unique combination of classic technical analysis such as candlesticks and pattern recognition with an array of market specific studies such as oscillator divergence and ichimoku clouds. The focus is on identifying vulnerable points in the market that can lead to a change in short-term sentiment. There are up to 20 trades per month, with positions being held from within an intra-week basis to intra-month. Peter Jacobson – seeks to capture somewhat broader technical set-ups and fundamental developments. The manager benefits from his experience at evaluating investor sentiment and the market’s mis-pricing of potential economic outcomes. Technical analysis is used to judge how best to implement an established view. The technical focus is to find the optimal application of a trade idea – which market instruments to be traded, entry levels, expected profit potential, and most importantly the stage at which a position no longer conforms to the original view. There are a maximum of eight trades per month, with these being held intra-month. An emphasis on a strict and disciplined approach to risk management has always been at the cornerstone of Rhicon’s underlying trading philosophy. Controlling the downside risk on each and every trade provides us with two significant advantages in our strategy. The first is that it enables the managers to focus on selecting trades with high reward/risk ratios. Our unique set of market analysis tools means that is not uncommon for trades to be put on with a potential 12:1 ratio. Strict discipline in respecting both the stop loss level and the take profit target are what determines our success over the medium term. The second advantage is that it ensures capital preservation mandates are respected, crucial to staying in the market over a long period of time. The application of technical analysis with a robust risk management philosophy helps remove the “emotional” pitfalls of trading and means that a strong set-up is traded on its merits alone. The combined skill, and experience of over 40 years between the investment managers, provides effective diversity and the ability to generate absolute returns across varying market conditions. The end result is a distinct lack of correlation with other trading strategies, and in particular to other currency managers.

Risk Management

At an overall portfolio level, there is maximum monthly stop loss limit for the strategy at -4%. This is then divided between the managers so that Christopher Brandon and Peter Jacobson’s books have a maximum monthly stop loss each of -1.5%, and the intraday book has a maximum monthly stop loss of -1%. The maximum monthly stop loss for each book and the maximum number of trades each manager executes per month forms the basis of the consistency of the risk allocated to each and every single trade. Erik Bjåstad trades up to 50 times per month, risking 0.015% on each trade. Christopher Brandon trades up to 20 times per month and will risk 0.08% on any given trade, and finally, Peter Jacobson trades a maximum of 8 times per month and will risk 0.20% on each trade. This consistent approach to risk allocation per trade in a discretionary strategy is the key to generating steady returns over time. Risk is monitored in real time, with daily snapshots provided to our investors. If the maximum monthly stop loss is hit in any book in any month (which has not come close to occurring) the manager must cease to trade. If this were the case three months running, an objective assessment would be carried out internally (and with communication to our investors) as to that manager’s viability within the overall portfolio

   

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
-18.77 38 - 2/1/2016 4/1/2019
-8.57 13 3 5/1/2013 6/1/2014
-8.37 12 1 1/1/2015 1/1/2016
-6.37 4 5 9/1/2004 1/1/2005
-5.41 22 25 12/1/2008 10/1/2010
-5.07 3 8 12/1/2005 3/1/2006
-2.94 3 1 1/1/2013 4/1/2013
-2.14 1 1 9/1/2005 10/1/2005
-1.36 2 2 11/1/2006 1/1/2007
-1.34 1 1 5/1/2004 6/1/2004
-1.24 1 2 9/1/2014 10/1/2014
-1.04 2 2 4/1/2008 6/1/2008
-0.80 1 1 10/1/2008 11/1/2008
-0.79 1 1 2/1/2008 3/1/2008
-0.54 1 1 1/1/0001 1/1/2004
-0.25 1 1 8/1/2008 9/1/2008
-0.17 2 1 4/1/2007 6/1/2007
-0.08 1 1 12/1/2007 1/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
12.88 4 2/1/2004 5/1/2004
12.43 3 7/1/2014 9/1/2014
11.44 5 5/1/2005 9/1/2005
10.22 1 2/1/2016 2/1/2016
9.14 6 7/1/2007 12/1/2007
8.80 3 11/1/2012 1/1/2013
8.67 3 7/1/2004 9/1/2004
7.33 2 7/1/2008 8/1/2008
6.86 2 10/1/2006 11/1/2006
6.60 3 11/1/2014 1/1/2015
5.56 2 4/1/2018 5/1/2018
4.61 2 2/1/2005 3/1/2005
4.53 1 5/1/2013 5/1/2013
4.16 2 11/1/2005 12/1/2005
4.05 2 8/1/2012 9/1/2012
3.24 1 4/1/2006 4/1/2006
3.22 2 1/1/2018 2/1/2018
3.00 1 2/1/2008 2/1/2008
2.92 3 2/1/2007 4/1/2007
2.89 4 9/1/2011 12/1/2011
2.68 1 4/1/2008 4/1/2008
2.55 2 7/1/2015 8/1/2015
2.37 1 4/1/2017 4/1/2017
2.05 1 10/1/2017 10/1/2017
2.03 1 10/1/2008 10/1/2008
1.90 1 7/1/2017 7/1/2017
1.87 1 5/1/2009 5/1/2009
1.66 1 11/1/2010 11/1/2010
1.56 2 6/1/2006 7/1/2006
1.55 1 1/1/2011 1/1/2011
1.51 1 12/1/2008 12/1/2008
1.50 1 5/1/2010 5/1/2010
1.27 1 5/1/2014 5/1/2014
1.20 1 5/1/2011 5/1/2011
0.85 1 5/1/2012 5/1/2012
0.71 1 4/1/2015 4/1/2015
0.66 1 8/1/2018 8/1/2018
0.64 2 8/1/2010 9/1/2010
0.59 1 10/1/2015 10/1/2015
0.52 1 10/1/2018 10/1/2018
0.50 1 9/1/2009 9/1/2009
0.42 1 11/1/2004 11/1/2004
0.36 2 1/1/2010 2/1/2010
0.10 1 7/1/2013 7/1/2013
0.03 1 12/1/2013 12/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.04 13 3/1/2016 3/1/2017
-5.52 6 11/1/2018 4/1/2019
-5.07 3 1/1/2006 3/1/2006
-4.26 1 4/1/2005 4/1/2005
-4.22 3 11/1/2015 1/1/2016
-4.18 4 1/1/2014 4/1/2014
-3.90 1 10/1/2004 10/1/2004
-3.84 2 6/1/2018 7/1/2018
-3.58 4 8/1/2013 11/1/2013
-3.40 2 5/1/2015 6/1/2015
-3.13 2 5/1/2017 6/1/2017
-2.98 2 12/1/2004 1/1/2005
-2.94 3 2/1/2013 4/1/2013
-2.88 2 2/1/2015 3/1/2015
-2.73 2 6/1/2012 7/1/2012
-2.58 2 8/1/2017 9/1/2017
-2.49 4 1/1/2009 4/1/2009
-2.41 2 11/1/2017 12/1/2017
-2.31 3 6/1/2009 8/1/2009
-2.22 1 6/1/2014 6/1/2014
-2.14 1 10/1/2005 10/1/2005
-1.98 1 5/1/2006 5/1/2006
-1.96 3 10/1/2009 12/1/2009
-1.84 1 9/1/2015 9/1/2015
-1.78 1 10/1/2010 10/1/2010
-1.59 4 1/1/2012 4/1/2012
-1.36 2 12/1/2006 1/1/2007
-1.34 1 6/1/2004 6/1/2004
-1.33 1 9/1/2018 9/1/2018
-1.32 1 3/1/2018 3/1/2018
-1.24 1 10/1/2014 10/1/2014
-1.24 2 8/1/2006 9/1/2006
-1.22 3 6/1/2011 8/1/2011
-1.20 2 3/1/2010 4/1/2010
-1.11 1 10/1/2012 10/1/2012
-1.04 2 5/1/2008 6/1/2008
-0.98 3 2/1/2011 4/1/2011
-0.80 1 11/1/2008 11/1/2008
-0.79 1 3/1/2008 3/1/2008
-0.56 2 6/1/2010 7/1/2010
-0.54 1 1/1/2004 1/1/2004
-0.44 1 12/1/2010 12/1/2010
-0.25 1 9/1/2008 9/1/2008
-0.19 1 6/1/2013 6/1/2013
-0.17 2 5/1/2007 6/1/2007
-0.08 1 1/1/2008 1/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods184.00182.00179.00173.00167.00161.00149.00137.00125.00
Percent Profitable44.0253.8559.7868.7970.6670.8175.1780.2984.80
Average Period Return0.280.851.623.154.796.2810.0814.3417.53
Average Gain1.993.214.666.518.9411.3615.5419.3921.36
Average Loss-1.07-1.91-2.90-4.27-5.21-6.04-6.45-6.25-3.82
Best Period10.2212.4317.0117.3125.7232.3035.6546.7266.69
Worst Period-4.26-6.11-8.44-14.53-15.45-14.13-17.45-16.11-6.55
Standard Deviation2.053.475.036.778.7610.4913.2015.2415.74
Gain Standard Deviation1.862.934.004.996.557.6910.0712.4013.95
Loss Standard Deviation0.801.392.203.474.034.275.454.831.66
Sharpe Ratio (1%)0.100.170.220.320.380.410.530.670.79
Average Gain / Average Loss1.861.681.601.521.721.882.413.105.59
Profit / Loss Ratio1.471.962.383.364.144.567.2912.6331.17
Downside Deviation (10%)1.262.353.765.867.739.6712.8315.0017.07
Downside Deviation (5%)1.051.742.573.524.234.925.465.063.60
Downside Deviation (0%)1.001.602.313.063.553.984.193.481.62
Sortino Ratio (10%)-0.10-0.16-0.23-0.32-0.36-0.41-0.44-0.48-0.59
Sortino Ratio (5%)0.190.340.440.610.780.871.292.033.46
Sortino Ratio (0%)0.280.530.701.031.351.582.414.1210.84

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 8 4.53 5/2013
Discretionary Trader Index Month 1 5.51 12/2012
Discretionary Trader Index Month 9 2.03 10/2008
Discretionary Trader Index Month 7 6.23 8/2008
Discretionary Trader Index Month 6 3.07 7/2007
Discretionary Trader Index Month 3 2.55 3/2007
Discretionary Trader Index Month 10 5.52 11/2006
Discretionary Trader Index Month 10 1.34 7/2006
Discretionary Trader Index Month 10 1.36 12/2005
Discretionary Trader Index Month 5 2.76 11/2005
Discretionary Trader Index Month 7 2.42 7/2005
Discretionary Trader Index Month 4 4.52 6/2005
Discretionary Trader Index Month 7 3.48 5/2005
Discretionary Trader Index Month 10 0.72 3/2005
Discretionary Trader Index Month 5 3.86 2/2005
Discretionary Trader Index Month 8 2.86 8/2004
IASG CTA Index Month 10 5.06 7/2004
Discretionary Trader Index Month 2 5.06 7/2004
Discretionary Trader Index Month 6 1.38 5/2004
Discretionary Trader Index Month 7 2.12 4/2004
Discretionary Trader Index Month 6 5.84 3/2004

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.