Rhicon Currency Management : Rhicon Systematic Currency Program

Year-to-Date
0.00%
Oct Performance
0.00%
Min Investment
$ 3,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
9.38%
Sharpe (RFR=1%)
0.44
CAROR
N/A
Assets
$ 0k
Worst DD
-22.15
S&P Correlation
-0.03

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
1/2004
Rhicon Systematic Currency Program 0.00 0.00 0.00 - - 27.69 21.45 120.18
S&P 500 2.04 1.92 21.16 - - 48.99 190.12 165.77
+/- S&P 500 -2.04 -1.92 -21.16 - - -21.30 -168.67 -45.58

Strategy Description

Summary

The Rhicon Systematic Currency Program is a short-term systematic strategy which focuses solely on currencies. The strategy aims to generate pure alpha through the combination of four distinct quantitative sub-systems covering the following strategies – short-term mean reverting, revision... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
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
1500 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
-10.94%
Sector Focus
Currency Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Momentum
25.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The Rhicon Systematic Currency Program is a short-term systematic strategy which focuses solely on currencies. The strategy aims to generate pure alpha through the combination of four distinct quantitative sub-systems covering the following strategies – short-term mean reverting, revision to trend, trend following and break out - each with its own trading mandate that utilises technical indicators to dictate entry, profit and stop levels. The strategy benefits from the combination of the four non correlated sub-systems, each looking for a different type of market. This has the overall effect of lowering volatility whilst still providing a robust return profile. The Rhicon Systematic Currency Program targets annual returns of 10-12%, with a volatility of 8-10%. The program started trading 'live' from November 2010; returns prior to that are based on back-tested data.

Investment Strategy

The Rhicon Systematic Currency Program is a short-term systematic strategy which focuses solely on currencies. The strategy generates pure alpha through the combination of 4 distinct quantitative sub-systems, each with its own trading mandate. The approach in developing the investment program is based on the following concepts: Utilise expertise in quantitative programming with technical analysis and risk management Breakdown market into different types – assemble styles of trading based on market type that combined as a portfolio produce consistent performance over time Minimize optimization – keep rule set as limited and simple as possible to avoid curve fitting As such, the competitive advantages that the Rhicon Systematic Currency Program offers are: Greater diversification of returns – Four individually tailored sub-systems blended to create a portfolio with consistent absolute returns and low downside risk Flexibility – Simplifying rule set enables performance in broader market conditions Lower volatility – Four different styles of trading coupled with conservative technical parameters Historically, the firm has placed a strong emphasis on utilising technically analysis as a tool to implement trade ideas across its various trading strategies. The Rhicon Systematic Currency Program achieves it objectives by capitalising on this experience, by bringing together the FX market/trading experience of one of the firm’s principals (Peter Jacobson) with dedicated quantitative resources (Paul Liew). DESCRIPTION OF EACH SUB-SYSTEM System 1 (MR) System 1 looks at overbought and oversold levels of the Relative Strength Index (RSI) with a trend filter to stop trading when the market is trending. It uses a Wilder Parabolic SAR (Parabolic) to trail profitable trades as well as a daily average true range (ATR) stop loss. System 2 (MR) System 2 is an Intraday Swing system that trades based on reversion towards a trend. Trend is identified by a Parabolic curve and entry signals occur when there is a greater than 2 standard deviation move in price delta normalized by the ATR, against the direction of the trend. Profits and losses are determined by the level of the Parabolic curve. System 3 (BO) The Breakout trader goes long a currency pair based on higher lows and higher closes, in the direction of the Parabolic. Shorts are based on lower closes after prior higher highs also in the direction of the Parabolic. Profits are managed based on the Parabolic curve, while stops are determined by 1) parabolic curve, but if there is none, then 2) daily ATRs. System 4 (Trend) This system looks for a series of higher highs and higher lows to initiate longs, and lower highs and lower lows to open shorts. Stop losses and take profits are managed by minimum and maximum values depending on direction of trade. OTHER CHARACTERISTICS Holding period – intra-day to weekly Trading instruments – Spot Foreign Exchange – EURUSD, USDJPY, GBPUSD, USDCHF, EURJPY, GBPJPY Risk management – pre-determined stop losses associated to each trade. Maximum leverage of ~2.5x AUM, with an average of ~1.25x AUM

Risk Management

A strict monthly maximum stop loss of 10% is imposed at the portfolio level. Further to this, risk is also monitored separately for each individual sub-system and for every single trade. Details are as follows: – System 1 (MR) - Maximum loss is 1 daily ATR from entry price System 2 (MR) - Constant risk of 0.015% of AUM per trade System 3 (BO) - Maximum loss is 1 daily ATR from entry price System 4 (Trend) - Maximum loss is 1 daily ATR from entry price Risk is monitored in real time, with daily snapshots provided to our investors. If the maximum monthly stop loss is triggered at any point in time, all positions will be closed out and trading will cease for the entire program for the remainder of the month.

   

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
-22.15 51 46 5/1/2010 8/1/2014
-9.88 1 5 10/1/2008 11/1/2008
-8.14 6 3 6/1/2009 12/1/2009
-5.78 9 5 5/1/2004 2/1/2005
-5.37 3 2 4/1/2008 7/1/2008
-4.96 5 3 7/1/2006 12/1/2006
-3.48 1 2 4/1/2007 5/1/2007
-2.29 2 3 10/1/2005 12/1/2005
-2.26 2 1 8/1/2007 10/1/2007
-1.27 1 1 4/1/2006 5/1/2006
-1.12 1 1 4/1/2009 5/1/2009
-1.03 1 2 7/1/2005 8/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
32.75 52 9/1/2014 12/1/2018
22.33 5 1/1/2004 5/1/2004
19.13 5 1/1/2010 5/1/2010
18.75 3 8/1/2008 10/1/2008
15.62 6 11/1/2007 4/1/2008
13.91 2 3/1/2009 4/1/2009
7.48 3 6/1/2007 8/1/2007
7.45 3 5/1/2005 7/1/2005
7.29 2 12/1/2008 1/1/2009
6.59 4 1/1/2006 4/1/2006
6.47 3 1/1/2007 3/1/2007
4.90 1 3/1/2011 3/1/2011
4.75 2 1/1/2013 2/1/2013
4.54 1 6/1/2009 6/1/2009
3.90 2 6/1/2006 7/1/2006
3.88 5 9/1/2010 1/1/2011
3.70 1 4/1/2013 4/1/2013
3.61 5 11/1/2011 3/1/2012
2.46 1 5/1/2012 5/1/2012
1.87 1 6/1/2008 6/1/2008
1.50 1 1/1/2014 1/1/2014
1.36 1 12/1/2004 12/1/2004
1.25 2 9/1/2005 10/1/2005
1.21 1 3/1/2005 3/1/2005
1.06 1 11/1/2012 11/1/2012
0.88 2 10/1/2006 11/1/2006
0.81 1 7/1/2011 7/1/2011
0.40 3 8/1/2004 10/1/2004
0.36 1 3/1/2014 3/1/2014
0.23 1 10/1/2013 10/1/2013
0.19 1 7/1/2012 7/1/2012
0.18 1 7/1/2013 7/1/2013
0.16 1 5/1/2014 5/1/2014
0.04 1 9/1/2011 9/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.63 3 6/1/2010 8/1/2010
-9.88 1 11/1/2008 11/1/2008
-8.14 6 7/1/2009 12/1/2009
-6.33 1 10/1/2011 10/1/2011
-6.10 1 8/1/2011 8/1/2011
-5.38 3 4/1/2011 6/1/2011
-4.43 2 1/1/2005 2/1/2005
-4.10 1 2/1/2009 2/1/2009
-3.99 2 5/1/2013 6/1/2013
-3.62 1 7/1/2008 7/1/2008
-3.62 1 5/1/2008 5/1/2008
-3.48 2 4/1/2007 5/1/2007
-3.15 1 2/1/2014 2/1/2014
-3.08 3 8/1/2012 10/1/2012
-3.00 2 6/1/2004 7/1/2004
-2.97 1 12/1/2006 12/1/2006
-2.91 2 8/1/2006 9/1/2006
-2.38 1 2/1/2011 2/1/2011
-2.29 2 11/1/2005 12/1/2005
-2.26 2 9/1/2007 10/1/2007
-2.25 2 8/1/2013 9/1/2013
-2.09 3 6/1/2014 8/1/2014
-1.48 1 6/1/2012 6/1/2012
-1.27 1 12/1/2012 12/1/2012
-1.27 1 5/1/2006 5/1/2006
-1.13 1 4/1/2014 4/1/2014
-1.12 1 5/1/2009 5/1/2009
-1.07 1 4/1/2012 4/1/2012
-1.03 1 8/1/2005 8/1/2005
-0.37 2 11/1/2013 12/1/2013
-0.31 1 4/1/2005 4/1/2005
-0.24 1 3/1/2013 3/1/2013
-0.12 1 11/1/2004 11/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods141.00188.00185.00179.00173.00167.00155.00143.00131.00
Percent Profitable53.9041.4943.2454.7551.4549.1047.7451.0554.96
Average Period Return0.432.114.056.847.257.558.018.443.81
Average Gain2.198.7714.8819.6125.3730.8941.3247.7938.88
Average Loss-1.97-5.05-7.60-15.84-18.93-21.21-26.70-33.08-38.98
Best Period8.91120.18120.18120.18120.18120.18120.18120.1880.07
Worst Period-9.88-42.29-42.29-43.18-43.70-45.85-45.85-50.63-53.06
Standard Deviation2.7116.5323.2630.7433.2135.8941.7748.2342.56
Gain Standard Deviation1.9522.7630.5034.6734.8935.0834.0433.3019.40
Loss Standard Deviation1.919.0611.8416.1517.1917.7016.9816.4214.50
Sharpe Ratio (1%)0.130.110.150.190.170.150.120.09-0.03
Average Gain / Average Loss1.111.741.961.241.341.461.551.441.00
Profit / Loss Ratio1.572.372.702.762.251.991.681.531.22
Downside Deviation (10%)1.886.078.7613.2817.8022.0330.7239.8646.07
Downside Deviation (5%)1.735.757.9911.5114.7417.4622.6528.1831.12
Downside Deviation (0%)1.695.687.8311.1514.0916.5020.9125.6227.88
Sortino Ratio (10%)0.010.140.180.14-0.02-0.12-0.25-0.33-0.52
Sortino Ratio (5%)0.200.320.440.510.390.320.220.16-0.04
Sortino Ratio (0%)0.250.370.520.610.510.460.380.330.14

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 8 4.54 6/2009
Systematic Trader Index Month 6 8.37 4/2009
IASG CTA Index Month 10 8.37 4/2009
Systematic Trader Index Month 5 5.11 3/2009
Systematic Trader Index Month 9 1.81 7/2006
IASG CTA Index Sharpe 6 1.99 2003 - 2004
Systematic Trader Index Month 6 2.72 4/2004

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