Autumn Gold Retail Report
Report Start Date: Aug-2021 - Report End Date: Oct-2025
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Rhicon Currency Mgt (UK) Ltd - Third Wave Systematic Strategy
Trading Strategy: Short Term / FX and Precious Metals
Investment Restrictions: 4.7 Exempt - QEPs Only
| Performance Since August 2021 | Please See Accounting Notes |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR* | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -1.78% | -3.00% | 1.14% | 2.41% | 0.28% | 2.31% | 1.14% | -1.80% | 4.58% | 3.27% | – | – | 8.55% | -4.73% |
| 2024 | -0.77% | 3.05% | 2.89% | 1.85% | 4.18% | -1.35% | 0.61% | -4.00% | 2.05% | 1.10% | 0.36% | 0.99% | 10.96% | -4.72% |
| 2023 | 2.96% | -1.29% | 1.55% | 2.24% | -0.75% | -0.44% | 0.73% | 1.02% | 0.02% | -1.27% | 4.10% | 3.62% | 12.49% | -1.29% |
| 2022 | 3.52% | 10.65% | 4.89% | 2.78% | 0.12% | -1.86% | 1.17% | 0.28% | 0.01% | 5.30% | -0.23% | 3.06% | 29.69% | -1.86% |
| 2021 | – | – | – | – | – | – | – | 9.13% | 5.29% | 5.05% | 1.21% | -3.28% | 17.40% | -3.28% |
* ROR is non-compounded (sum of monthly returns).
Program Description: The Rhicon Third Wave Systematic Strategy is a short-term trading strategy that seeks to generate consistent risk-adjusted returns through an uncorrelated stream of alpha drivers. The strategy utilizes an all-weather approach to trading a portfolio of highly liquid instruments across the FX and precious metals on the long and short side. Using a combination of trend-following and mean-reverting strategies, the portfolio is well-diversified and provides investors with a de-correlated stream of returns to overlay a traditional 60/40 portfolio allocation. The strategy employs a proprietary risk management process engineered to adjust position sizes to prevailing market conditions that
enhances the strategy's overall risk-adjusted return profile.
enhances the strategy's overall risk-adjusted return profile.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -5.07% |
| From May 2024 to Feb 2025 | |
| Worst Month (Aug 2024) | -4.00% |
| Current Losing Streak | 0% |
| Average Monthly Return | 1.55% |
| Annualized Performance |
|
| Compound ROR (1) | 19.72% |
| Standard Deviation | 9.83% |
| Sharpe Ratio | 1.85 |
| Sterling Ratio | 0.88 |
| Calmar Ratio (3) | 2.36 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
