Growth of $1,000 VAMI and Monthly Return
Trading Description, Risk Strategy & Background
The Rhicon Strategic program is a short to medium-term discretionary trading strategy focused primarily on currencies. The strategy applies technical analysis to implement fundamental, market or purely technical views. The individual trading approaches of Rhicon's three Investment Managers are combined to capture profits across three different time frames. The methodology benefits from a uniquely robust risk management framework, coupled with diversification over managers and time periods. The investment managers independently generate their own study of the market, a process that benefits from each 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.
Risk is allocated in three ways. It is allocated across the entire portfolio, inside each trading book and within the construction of each individual trade.
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 the short and medium term books have a maximum monthly stop loss of -1.5% and the intra-day book has a monthly maximum stop loss of -1%.
The maximum monthly stop loss for each book and the average number of trades each manager executes per month forms the basis of the consistency of the risk allocated to each and every single trade. The intra-day trading book typically trades up to 50 or 60 times per month, and will generally risk between 0.02%-.04% on any given trade. The short-term book on the other hand trades approximately 20-25 times per month will risk 0.05%-.09% on any given trade. Finally, the medium term trading book which trades on average 10 to 12 times per month will risk .10%-.15% on each trade. This consistent approach to risk allocation per trade in a discretionary strategy is the key to generating steady returns over time.
Within these constraints, the actual risk allocated to each trade is based on its merits. Generally speaking the risk per trade is lower the shorter its time frame. In addition, the strength of the technical setup and fundamental considerations (described in 11) will impact the risk allocated. This combination of a simple yet robust approach is the key to our minimal draw-downs and high risk adjusted returns.
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 on 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
Peter Jacobson is one of the founding principals of the firm. He started his career in foreign exchange in 1993 at Citibank Sydney, and thereafter at Swiss Bank Corporation in Geneva in 1995. From 1996, Peter headed the European currency desk at Goldman Sachs International Finance in London until 1998 when he relocated to expand and develop the JPY currency desk for Goldman Sachs International Bank in Tokyo. Peter co-founded Rhicon in 2000. Paul Liew joined Rhicon in mid 2008 and is the quantitative system programmer and a Portfolio Manager of the Rhicon Systematic Currency Program. He previously worked at Morgan Stanley as a Proprietary Trader where he focused on high frequency algorithmic FX trading, and prior to that was a Quantitative Analyst at Tribeca Global Management (Asia). He holds a Ph.D in Engineering and Bachelor of Engineering (Hons) from the Na! tional University of Singapore.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR (YTD) | Max DD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.23% | -0.33% | -0.05% | -0.69% | -1.29% | -1.29% | ||||||||
| 2025 | 0.13% | 0.07% | -0.07% | 0.11% | -0.07% | -0.15% | -0.13% | -0.57% | 0.03% | -0.22% | 0.79% | 0.04% | -0.05% | -1.11% |
| 2024 | -0.14% | -0.26% | -0.26% | -0.04% | 0.23% | 0.05% | 0.91% | 0.59% | -0.41% | -0.70% | 0.31% | -0.08% | 0.18% | -1.11% |
| 2023 | -0.22% | -0.19% | -0.29% | -0.24% | -0.10% | -0.14% | 0.18% | -0.30% | 0.30% | 0.14% | 0.53% | 0.21% | -0.13% | -1.30% |
| 2022 | -0.34% | -0.48% | -0.18% | 1.76% | 0.29% | -0.16% | 1.23% | 1.78% | 1.62% | 0.21% | 0.01% | 0.57% | 6.44% | -1.00% |
| 2021 | -1.45% | -0.27% | 1.13% | -1.76% | -0.90% | 0.45% | -0.83% | 0.14% | 1.16% | -0.55% | -0.84% | -0.55% | -4.23% | -4.23% |
Track Record Compiled By: N/A
Accounting Notes: Results prior to July 2006 are extrapolated using actual 4% volatility returns. Results after July 2006 are actual 8% volatility returns.
Annual Performance Summary
| Year | Yearly Return | Max Drawdown | Year-End AUM |
|---|---|---|---|
| 2026 | -1.29% | -1.29% | $20,000,000 |
| 2025 | -0.05% | -1.11% | $2,500,000 |
| 2024 | 0.18% | -1.11% | $3,500,000 |
| 2023 | -0.13% | -1.30% | $5,000,000 |
| 2022 | 6.44% | -1.00% | $8,500,000 |
| Year | Yearly Return | Max DD |
|---|---|---|
| 2026 | -1.29% | -1.29% |
| 2025 | -0.05% | -1.11% |
| 2024 | 0.18% | -1.11% |
Accounting Notes:
Results prior to July 2006 are extrapolated using actual 4% volatility returns. Results after July 2006 are actual 8% volatility returns.Risk Disclosure
THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.