Risk
Limits set before the trade.
Risk is managed by rule. Limits on exposure, a portfolio-level stop and a drawdown brake are part of the model, and the partners supervise every session.
Controls
Several layers, one portfolio.
These controls limit exposure. They do not remove the risk of loss.
Position sizing
The weight of each position is set by rule when the portfolio is built.
Value-at-risk limit
Total exposure is scaled against a one-day 99% value-at-risk limit. The limit in force on 2 Oct 2026 was 4.00%.
Global Stop
A stop at the level of the whole portfolio, which cuts exposure when losses reach a set threshold.
Drawdown brake
Reduces exposure while the model is in a drawdown.
Bear-regime scaling
When the market regime turns bearish, long exposure is scaled down.
Supervision
The system runs under automatic surveillance, and the partners can stop orders from being sent at any moment.
Model · 2 Oct 2026
Where the controls stood.
The state of the model's risk controls at the close of 2 Oct 2026, from its Daily Closing Report.
- Global Stop triggered on the day
- No
- Global Stop events, 2026 to date
- 4
- Drawdown brake active
- No
- Bear-regime scaling active
- No
- Drawdown from the 2026 peak
- 0.35%
- Value-at-risk limit, 99% one day
- 4.00%
2026 to date
Risk, measured.
Model figures for 2026 up to 2 Oct 2026, over 189 trading days, as published in the Daily Closing Report.
- Annualized volatility
- 25.21%
- Standard deviation of daily returns, expressed per year.
- Largest drawdown
- −11.43%
- The deepest fall from a previous peak. Recovery: 30 days.
- Value at risk, 95% historical
- −1.963%
- The daily loss that was exceeded on 5% of days.
- Value at risk, 99% historical
- −3.626%
- The daily loss that was exceeded on 1% of days.
- Expected shortfall, 95%
- −3.284%
- The average loss on the days beyond the 95% value at risk.
- Expected shortfall, 99%
- −5.101%
- The average loss on the days beyond the 99% value at risk.
- Skewness
- 0.188
- Above zero, large gains were more frequent than large losses of the same size.
- Excess kurtosis
- 2.101
- Above zero, extreme days were more frequent than in a normal distribution.
- Correlation with SPY
- 0.530
- Correlation of daily returns.
Since 2017
The largest drawdown.
| 30 Dec 2016 – 2 Oct 2026 | Athena RCR | SPY |
|---|---|---|
| Largest drawdown | −18.77% | −33.72% |
| Peak | 18 Feb 2025 | 19 Feb 2020 |
| Trough | 9 Apr 2025 | 23 Mar 2020 |
| Back above the peak | 15 Oct 2025 | 10 Aug 2020 |
| Annualized volatility | 20.59% | 18.12% |
Model results, not client account results. They show what the Athena RCR model portfolio returned over the period, and they are not a guarantee or a forecast of what any investor will earn.
Period: 30 Dec 2016 to 2 Oct 2026. Benchmark: SPY (SPDR S&P 500 ETF). How the figures are calculated
Ask about the risk rules.
A partner can explain each control, how it is calibrated and how it behaved in past drawdowns.