Trigon Investment Advisors, LLC : Discretionary Macro Program

Year-to-Date
2.60%
Jan Performance
-2.60%
Min Investment
$ 10,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
6.61%
Sharpe (RFR=1%)
0.20
CAROR
2.11%
Assets
$ 440.0M
Worst DD
-13.08
S&P Correlation
0.12

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
8/2007
Discretionary Macro Program -2.60 4.58 -2.60 -4.55 6.21 13.66 - 21.89
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 - 54.58
+/- S&P 500 -4.39 -2.60 -4.39 -22.00 -21.63 -59.98 - -32.69

Strategy Description

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... 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
N/A
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%
Strategy Pie Chart

Composition

Currency Futures
40.00%
Interest Rates
40.00%
Precious Metals
5.00%
Industrial Metals
5.00%
Energy
5.00%
Stock Indices
5.00%
Composition Pie Chart

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 U.S. economic outperformance relative to abroad and decelerating growth from China.

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 $440 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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-13.08 27 25 5/1/2010 8/1/2012
-12.92 18 - 3/1/2015 9/1/2016
-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
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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
7.46 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
1.21 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
0.63 1 11/1/2007 11/1/2007
0.55 1 8/1/2016 8/1/2016
0.18 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-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
-2.79 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
-2.27 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
-1.76 1 9/1/2016 9/1/2016
-1.67 1 1/1/2010 1/1/2010
-1.51 1 6/1/2014 6/1/2014
-1.41 3 12/1/2007 2/1/2008
-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
-0.19 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods114.00112.00109.00103.0097.0091.0079.0067.0055.00
Percent Profitable48.2553.5754.1355.3463.9267.0365.8267.1690.91
Average Period Return0.190.681.282.874.495.936.787.649.01
Average Gain1.653.155.139.1010.7112.1412.7012.6310.32
Average Loss-1.19-2.18-3.28-4.85-6.53-6.69-4.61-2.55-4.07
Best Period8.6612.2016.9920.9523.5022.7525.8624.8422.69
Worst Period-4.10-5.90-9.67-11.09-12.92-10.71-11.62-6.93-6.12
Standard Deviation1.913.565.488.309.8310.4410.998.615.65
Gain Standard Deviation1.572.984.355.496.126.388.495.683.94
Loss Standard Deviation0.931.392.202.903.192.844.011.822.24
Sharpe Ratio (1%)0.060.120.140.230.300.380.340.420.69
Average Gain / Average Loss1.391.451.571.881.641.822.754.942.54
Profit / Loss Ratio1.321.671.852.322.903.695.3010.1125.37
Downside Deviation (10%)1.322.524.226.968.9110.1613.8316.3219.44
Downside Deviation (5%)1.121.902.954.365.185.245.093.982.86
Downside Deviation (0%)1.081.752.663.774.354.163.541.781.37
Sortino Ratio (10%)-0.16-0.22-0.28-0.31-0.35-0.42-0.65-0.85-0.96
Sortino Ratio (5%)0.100.220.260.430.580.750.740.901.37
Sortino Ratio (0%)0.180.380.480.761.031.431.914.286.59

Top Performer Badges

Index Award Type Rank Performance Period
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
Discretionary Trader Index Month 5 4.77 7/2008
Diversified Trader Index Month 8 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.