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.