Trigon Investment Advisors, LLC : Discretionary Macro Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.84% Nov Performance -0.44% Min Investment $ 10,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 5.88% Sharpe (RFR=1%) -0.01 CAROR 0.79% Assets $ 229.3M Worst DD -16.94 S&P Correlation 0.12 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Nov Qtr 2020 1yr 3yr 5yr 10yr Since8/2007 Discretionary Macro Program -0.44 -0.35 -0.84 -0.84 -6.39 -15.48 -5.12 11.11 S&P 500 10.75 3.47 12.10 15.30 40.10 72.31 203.60 152.19 +/- S&P 500 -11.19 -3.82 -12.94 -16.15 -46.49 -87.79 -208.72 -141.08 Strategy Description SummaryThe 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... Read More Account & Fees Type Managed Account Minimum Investment $ 10,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 1.00 Management Fee 1.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1000 RT/YR/$M Avg. Margin-to-Equity 4% Targeted Worst DD Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 100.00% Systematic 0% Strategy Fundamental 100.00% Composition Currency Futures 40.00% Interest Rates 40.00% Industrial Metals 5.00% Precious Metals 5.00% Energy 5.00% Stock Indices 5.00% SummaryThe 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 StrategyThe 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 $338 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 ManagementRisk Management is centered on Capital-at-Risk. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -16.94 59 - 3/1/2015 2/1/2020 -13.08 27 25 5/1/2010 8/1/2012 -4.27 11 1 1/1/0001 6/1/2008 -2.75 3 7 7/1/2009 10/1/2009 -0.81 1 1 1/1/2015 2/1/2015 -0.72 1 1 5/1/2009 6/1/2009 -0.69 1 2 12/1/2008 1/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 18.74 7 7/1/2014 1/1/2015 13.92 6 7/1/2008 12/1/2008 7.86 3 10/1/2016 12/1/2016 7.68 4 2/1/2009 5/1/2009 7.56 6 9/1/2017 2/1/2018 7.46 4 3/1/2013 6/1/2013 4.44 4 12/1/2011 3/1/2012 3.72 3 11/1/2012 1/1/2013 3.10 1 7/1/2009 7/1/2009 2.80 1 11/1/2015 11/1/2015 2.45 1 3/1/2015 3/1/2015 2.38 3 10/1/2010 12/1/2010 2.07 2 2/1/2010 3/1/2010 1.93 2 3/1/2008 4/1/2008 1.85 2 11/1/2009 12/1/2009 1.71 1 5/1/2010 5/1/2010 1.69 1 7/1/2015 7/1/2015 1.48 1 9/1/2007 9/1/2007 1.42 1 5/1/2016 5/1/2016 1.32 1 3/1/2014 3/1/2014 1.25 6 3/1/2020 8/1/2020 1.21 1 11/1/2013 11/1/2013 0.97 1 5/1/2011 5/1/2011 0.95 1 5/1/2015 5/1/2015 0.82 1 9/1/2012 9/1/2012 0.81 2 4/1/2018 5/1/2018 0.63 1 11/1/2007 11/1/2007 0.58 1 12/1/2019 12/1/2019 0.55 1 8/1/2016 8/1/2016 0.51 1 9/1/2019 9/1/2019 0.43 1 2/1/2017 2/1/2017 0.41 1 9/1/2018 9/1/2018 0.18 1 5/1/2014 5/1/2014 0.09 1 10/1/2020 10/1/2020 0.05 1 6/1/2017 6/1/2017 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.53 11 10/1/2018 8/1/2019 -7.35 5 12/1/2015 4/1/2016 -5.87 6 6/1/2011 11/1/2011 -5.16 4 1/1/2011 4/1/2011 -5.15 2 6/1/2016 7/1/2016 -5.05 4 6/1/2010 9/1/2010 -5.02 5 4/1/2012 8/1/2012 -3.30 1 8/1/2007 8/1/2007 -2.97 4 7/1/2013 10/1/2013 -2.96 3 8/1/2015 10/1/2015 -2.81 3 3/1/2017 5/1/2017 -2.79 2 5/1/2008 6/1/2008 -2.75 3 8/1/2009 10/1/2009 -2.60 1 1/1/2017 1/1/2017 -2.54 2 7/1/2017 8/1/2017 -2.27 3 12/1/2013 2/1/2014 -2.22 1 6/1/2015 6/1/2015 -2.02 1 4/1/2014 4/1/2014 -1.96 3 6/1/2018 8/1/2018 -1.76 1 9/1/2016 9/1/2016 -1.67 1 1/1/2010 1/1/2010 -1.65 1 3/1/2018 3/1/2018 -1.51 1 6/1/2014 6/1/2014 -1.41 3 12/1/2007 2/1/2008 -1.24 2 1/1/2020 2/1/2020 -1.22 1 4/1/2015 4/1/2015 -0.81 1 2/1/2015 2/1/2015 -0.76 1 10/1/2007 10/1/2007 -0.72 1 6/1/2009 6/1/2009 -0.69 1 1/1/2009 1/1/2009 -0.51 2 10/1/2019 11/1/2019 -0.49 1 9/1/2020 9/1/2020 -0.44 1 11/1/2020 11/1/2020 -0.19 1 4/1/2010 4/1/2010 -0.14 1 10/1/2012 10/1/2012 -0.04 1 2/1/2013 2/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods160.00158.00155.00149.00143.00137.00125.00113.00101.00 Percent Profitable46.8846.8447.7450.3448.9548.9147.2056.6476.24 Average Period Return0.080.290.631.351.772.032.553.245.03 Average Gain1.372.844.737.379.8211.3611.9710.839.56 Average Loss-1.07-1.96-3.11-4.74-5.96-6.90-5.88-6.69-9.51 Best Period8.6612.2016.9920.9523.5022.7525.8624.8422.69 Worst Period-4.10-5.90-9.67-11.09-12.92-11.97-11.62-15.63-16.85 Standard Deviation1.703.255.087.619.3710.4510.8110.389.39 Gain Standard Deviation1.492.874.095.746.336.598.235.924.13 Loss Standard Deviation0.851.332.182.993.322.903.155.276.12 Sharpe Ratio (1%)0.000.010.030.050.030.00-0.04-0.08-0.01 Average Gain / Average Loss1.281.451.521.551.651.652.041.621.00 Profit / Loss Ratio1.141.281.391.571.581.581.822.123.22 Downside Deviation (10%)1.242.544.387.3510.1712.6716.8821.0224.45 Downside Deviation (5%)1.041.883.044.565.836.696.897.907.75 Downside Deviation (0%)0.991.722.743.954.875.344.845.595.48 Sortino Ratio (10%)-0.26-0.37-0.42-0.50-0.57-0.65-0.78-0.87-0.92 Sortino Ratio (5%)0.000.020.040.080.050.00-0.07-0.10-0.01 Sortino Ratio (0%)0.080.170.230.340.360.380.530.580.92 Top Performer Badges Index Award Type Rank Performance Period Discretionary Trader Index Month 9 3.99 1/2018 Discretionary Trader Index Month 9 5.94 11/2016 Diversified Trader Index Month 10 1.42 5/2016 Discretionary Trader Index Month 8 2.80 11/2015 Discretionary Trader Index Month 9 4.13 5/2013 Diversified Trader Index Month 8 4.77 7/2008 Discretionary Trader Index Month 5 4.77 7/2008 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel