Trigon Investment Advisors, LLC : Foreign Exchange Program

Year-to-Date
8.45%
Apr Performance
-0.42%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
11.20%
Sharpe (RFR=1%)
0.15
CAROR
2.13%
Assets
$ 3.3M
Worst DD
-26.57
S&P Correlation
-0.19

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
8/2000
Foreign Exchange Program -0.42 -5.59 -8.45 -17.46 -22.58 -10.08 -22.56 48.43
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 92.11
+/- S&P 500 -4.35 -14.53 -25.96 -28.70 -63.77 -64.87 -256.61 -43.68

Strategy Description

Summary

The Foreign Exchange Program began trading in 2000 and allocates 100% of its capital to Trigon’s Foreign Exchange Strategy, a systematic strategy that aims to profit from volatility in select major, dollar-block and emerging market currency pairs. The Foreign Exchange Strategy incorporates... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
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
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The Foreign Exchange Program began trading in 2000 and allocates 100% of its capital to Trigon’s Foreign Exchange Strategy, a systematic strategy that aims to profit from volatility in select major, dollar-block and emerging market currency pairs. The Foreign Exchange Strategy incorporates a multi-time frame breakout model that employs a proprietary screen to measure volatility relative to its historical range. This process identifies trade opportunities with risk/reward potential that is expected to be disproportionately favorable. The model is comprised of two components that focus on different time horizons. The short-term component has an average trade duration of 4 days and is designed to profit from short-duration currency action and counter-trend moves. The medium-term component is designed to participate in sustained price trends and has an average trade duration of approximately 23 days.

Investment Strategy

The FX Program is available via a managed account structure which provides daily liquidity and transparency.

Risk Management

Capital-At-Risk framework. Risk is measured on an individual trade basis, on a sub-portfolio basis (short-term module & long-term module), and a composite basis for the entire Portfolio.

   

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
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
-26.57 119 - 5/1/2009 4/1/2019
-16.12 15 12 5/1/2006 8/1/2007
-14.15 9 20 12/1/2003 9/1/2004
-13.35 11 3 3/1/2001 2/1/2002
-3.82 3 1 1/1/2009 4/1/2009
-3.05 2 1 12/1/2000 2/1/2001
-1.82 2 2 5/1/2003 7/1/2003
-1.22 2 2 1/1/2003 3/1/2003
-1.15 2 2 7/1/2002 9/1/2002
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Consecutive Gains

Run-up Length (Mos.) Start End
37.27 5 3/1/2002 7/1/2002
22.95 7 7/1/2008 1/1/2009
14.12 5 8/1/2000 12/1/2000
13.23 4 6/1/2014 9/1/2014
13.14 4 10/1/2002 1/1/2003
12.56 5 8/1/2003 12/1/2003
11.48 2 10/1/2004 11/1/2004
11.36 1 5/1/2012 5/1/2012
11.14 3 5/1/2010 7/1/2010
9.69 2 4/1/2006 5/1/2006
8.75 2 2/1/2008 3/1/2008
7.55 1 9/1/2011 9/1/2011
6.68 3 3/1/2005 5/1/2005
6.48 2 10/1/2006 11/1/2006
6.44 3 9/1/2007 11/1/2007
5.86 2 8/1/2012 9/1/2012
5.66 2 6/1/2017 7/1/2017
5.63 2 4/1/2003 5/1/2003
5.46 1 5/1/2009 5/1/2009
5.35 3 11/1/2015 1/1/2016
5.30 2 10/1/2016 11/1/2016
5.26 1 3/1/2001 3/1/2001
4.89 1 1/1/2018 1/1/2018
4.25 2 4/1/2018 5/1/2018
4.18 1 3/1/2015 3/1/2015
4.13 1 4/1/2017 4/1/2017
4.08 3 11/1/2005 1/1/2006
4.07 1 8/1/2001 8/1/2001
4.07 1 5/1/2001 5/1/2001
3.98 4 9/1/2013 12/1/2013
3.71 1 1/1/2015 1/1/2015
3.66 3 12/1/2012 2/1/2013
3.57 1 4/1/2011 4/1/2011
3.25 1 12/1/2001 12/1/2001
2.83 1 9/1/2010 9/1/2010
2.25 1 11/1/2014 11/1/2014
1.99 1 5/1/2015 5/1/2015
1.84 2 11/1/2011 12/1/2011
1.72 1 7/1/2007 7/1/2007
1.48 1 8/1/2018 8/1/2018
1.26 1 9/1/2009 9/1/2009
1.12 1 7/1/2011 7/1/2011
0.73 1 5/1/2004 5/1/2004
0.72 1 8/1/2016 8/1/2016
0.65 1 9/1/2017 9/1/2017
0.58 2 3/1/2016 4/1/2016
0.57 1 4/1/2007 4/1/2007
0.55 1 12/1/2010 12/1/2010
0.36 1 1/1/2010 1/1/2010
0.08 2 1/1/2017 2/1/2017
0.02 1 6/1/2013 6/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.23 8 9/1/2018 4/1/2019
-12.95 4 6/1/2006 9/1/2006
-11.56 5 1/1/2014 5/1/2014
-8.21 3 1/1/2011 3/1/2011
-7.94 4 6/1/2004 9/1/2004
-7.87 2 2/1/2018 3/1/2018
-7.77 1 4/1/2001 4/1/2001
-7.63 3 6/1/2009 8/1/2009
-7.43 4 1/1/2004 4/1/2004
-7.06 2 1/1/2002 2/1/2002
-6.90 5 6/1/2005 10/1/2005
-6.75 2 6/1/2001 7/1/2001
-6.66 4 1/1/2012 4/1/2012
-6.22 1 8/1/2017 8/1/2017
-5.93 2 5/1/2011 6/1/2011
-5.58 5 6/1/2015 10/1/2015
-5.39 3 10/1/2009 12/1/2009
-5.22 3 4/1/2008 6/1/2008
-5.15 4 12/1/2006 3/1/2007
-5.06 2 6/1/2012 7/1/2012
-5.00 2 5/1/2007 6/1/2007
-4.96 1 3/1/2017 3/1/2017
-4.57 2 7/1/2013 8/1/2013
-4.19 3 2/1/2010 4/1/2010
-4.16 3 12/1/2004 2/1/2005
-4.08 1 8/1/2011 8/1/2011
-3.82 3 2/1/2009 4/1/2009
-3.77 2 6/1/2018 7/1/2018
-3.76 1 10/1/2011 10/1/2011
-3.59 3 5/1/2016 7/1/2016
-3.40 2 2/1/2006 3/1/2006
-3.06 3 9/1/2001 11/1/2001
-3.05 2 1/1/2001 2/1/2001
-2.86 1 9/1/2016 9/1/2016
-2.82 3 10/1/2017 12/1/2017
-2.73 1 10/1/2014 10/1/2014
-2.35 2 10/1/2012 11/1/2012
-2.05 1 2/1/2015 2/1/2015
-1.85 2 12/1/2007 1/1/2008
-1.83 1 8/1/2007 8/1/2007
-1.82 2 6/1/2003 7/1/2003
-1.73 1 12/1/2014 12/1/2014
-1.45 3 3/1/2013 5/1/2013
-1.26 1 8/1/2010 8/1/2010
-1.22 2 2/1/2003 3/1/2003
-1.17 1 5/1/2017 5/1/2017
-1.15 2 8/1/2002 9/1/2002
-1.00 1 4/1/2015 4/1/2015
-0.66 2 10/1/2010 11/1/2010
-0.30 1 12/1/2016 12/1/2016
-0.07 1 2/1/2016 2/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods225.00223.00220.00214.00208.00202.00190.00178.00166.00
Percent Profitable45.3347.5351.3653.2754.8157.4363.6869.6675.30
Average Period Return0.230.691.393.075.027.099.3610.6611.83
Average Gain2.835.277.2810.7513.9516.7418.7418.1817.95
Average Loss-1.93-3.45-4.83-5.69-5.80-5.94-7.08-6.62-6.82
Best Period14.3529.1136.4153.1265.1369.8364.1366.0072.04
Worst Period-7.77-11.49-12.79-17.46-19.94-21.06-22.58-21.52-19.78
Standard Deviation3.235.788.1112.1315.1317.7019.8219.7519.51
Gain Standard Deviation2.804.996.8611.5514.9917.6419.0619.0618.62
Loss Standard Deviation1.522.253.204.324.504.524.534.854.75
Sharpe Ratio (1%)0.040.080.110.170.230.290.320.330.34
Average Gain / Average Loss1.461.531.511.892.402.822.652.752.63
Profit / Loss Ratio1.211.381.592.152.923.804.646.318.03
Downside Deviation (10%)2.063.765.578.029.7811.5715.3518.7622.69
Downside Deviation (5%)1.863.134.335.445.765.976.696.506.47
Downside Deviation (0%)1.822.984.034.884.934.865.064.504.11
Sortino Ratio (10%)-0.09-0.14-0.19-0.24-0.26-0.27-0.42-0.58-0.70
Sortino Ratio (5%)0.080.140.210.380.610.850.951.011.04
Sortino Ratio (0%)0.120.230.340.631.021.461.852.372.88

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 7 3.32 4/2018
IASG CTA Index Month 8 3.32 4/2018
IASG CTA Index Month 8 3.32 4/2018
Systematic Trader Index Month 6 3.32 4/2018
Systematic Trader Index Month 7 4.13 4/2017
IASG CTA Index Month 8 4.13 4/2017
IASG CTA Index Month 7 4.34 10/2016
Systematic Trader Index Month 1 4.34 10/2016
IASG CTA Index Month 6 5.71 9/2012
Systematic Trader Index Month 9 5.71 9/2012
IASG CTA Index Month 9 14.35 8/2008
Systematic Trader Index Month 7 14.35 8/2008
Systematic Trader Index Month 6 0.69 10/2002
Systematic Trader Index Month 9 8.43 5/2002
Systematic Trader Index Month 1 8.12 4/2002
IASG CTA Index Month 2 8.12 4/2002
Systematic Trader Index Month 8 4.07 5/2001
IASG CTA Index Sharpe 1 3.48 1999 - 2000
Systematic Trader Index Month 6 2.70 9/2000

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