Trigon Investment Advisors, LLC : Discretionary Macro Program

Summary

The Discretionary Macro Program (DMP) employs a fundamental global macro investment style to trade themes across fixed income, currency, equity index and commodity positions by using analysis of economic data and market conditions to formulate top-down investment themes expected to materialize over the coming weeks to several months. The DMP began trading in 2007 and utilizes Trigon's two discretionary strategies - the Short-Term Rates Strategy and the Opportunistic Strategy - which have been trading since the firm's inception in 2002. The Short-Term Rates Strategy is a discretionary strategy that aims to profit from trend, counter-trend and relative (spread) movement in the short-term interest rates of the U.S., Canada, Eurozone, United Kingdom, Switzerland, Japan, and Australia. The strategy uses the expertise of the portfolio managers in identifying market themes such as monetary policy easing/tightening cycles and relative behavior of one central bank compared to another. Technical and quantitative analysis, including volatility analysis and valuation screens, also guide positioning. The Opportunistic Strategy is a discretionary strategy that aims to profit from both directional movements as well as mean reversion within equity indices, commodities, currencies and long-term interest rates. The focus is on a set of fundamental themes which are combined with a tactical risk-control framework. This combination results in a distinct difference regarding trade entry and exit relative to Peers. Examples of themes within the Opportunistic Strategy include consistent economic growth in the U.S. and the Eurozone resulting in a normalization of central bank policy from the Federal Reserve and the European Central Bank.

Investment Strategy

The DMP seeks to achieve long-term capital appreciation with less volatility than trend-following CTA’s while exhibiting a low correlation to equity, macro and CTA strategies. The DMP combines a Global Macro investment style with a CTA risk framework that includes risk limits at the portfolio, strategy and position levels. The DMP trades utilizing a low margin-to-equity ratio which provides the framework to be leveraged in a managed account structure to target a higher risk/return objective. The DMP is Trigon’s largest Program with current assets of approximately $396 million. The DMP was chosen as Best New Managed Futures Program Under $100MM by HFMWeek in 2009; Best Macro Program Under $1 Billion by HFMWeek in 2013 and 2015; Best Macro Long-Term Performance (5 Years) Under $1 billion by HFMWeek in 2016; and Best Discretionary Manager by CTA Intelligence in 2014, 2015 and 2016.

Risk Management

Risk Management is centered on Capital-at-Risk.