Trigon Investment Advisors, LLC : Global Macro Program (LIQUIDATED as of July 31, 2017)

archived programsClosed to new investments
Year-to-Date
N / A
Jul Performance
0.56%
Min Investment
$ 10,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
6.88%
Sharpe (RFR=1%)
0.27
CAROR
2.62%
Assets
$ 0k
Worst DD
-13.18
S&P Correlation
-0.01

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2001
Global Macro Program (LIQUIDATED as of July 31, 2017) 0.56 -0.53 - 2.23 9.18 9.99 15.74 53.59
S&P 500 1.93 3.45 - 13.48 27.75 78.82 69.46 80.53
+/- S&P 500 -1.37 -3.98 - -11.24 -18.58 -68.83 -53.72 -26.94

Strategy Description

Summary

The Global Macro Program (GMP) began trading in 2001 and is Trigon’s broadest program, incorporating both discretionary and systematic trading methodologies. The GMP allocates capital equally across Trigon’s three investment strategies: Short-Term Rates Strategy, Opportunistic Strategy,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
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
3000 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Financial & Metals Traders

Holding Periods

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

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Fundamental
50.00%
Technical
50.00%
Strategy Pie Chart

Composition

Other
34.00%
Currency Futures
33.00%
Interest Rates
33.00%
Composition Pie Chart

Summary

The Global Macro Program (GMP) began trading in 2001 and is Trigon’s broadest program, incorporating both discretionary and systematic trading methodologies. The GMP allocates capital equally across Trigon’s three investment strategies: Short-Term Rates Strategy, Opportunistic Strategy, and Foreign Exchange Strategy. The Short-Term Rates Strategy is a discretionary strategy that aims to profit from trend, counter-trend and relative (spread) movement in short-term interest rates. 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. The Foreign Exchange Strategy is a systematic strategy that aims to profit from volatility in select major, dollar-block and emerging market currency pairs. The strategy incorporates a multi-time frame breakout model that employs a proprietary screen to measure volatility relative to its historical range. The Model is comprised of two components that focus on different time horizons. The short-term component has an average trade duration of 3 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 GMP seeks to achieve long-term capital appreciation with less volatility than trend following CTA’s while exhibiting low correlation to both equity indices and systematic CTA strategies. The GMP is available via a managed account structure which provides daily liquidity and transparency. The GMP is also available as a fund investment via Trigon's Macro Opportunities Fund (U.S. and Off shore) and via the Lyxor Platform where it was awarded Best Global Macro Fund for 2009.

   

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
-13.18 37 27 7/1/2009 8/1/2012
-12.27 18 - 3/1/2015 9/1/2016
-8.99 18 10 12/1/2003 6/1/2005
-5.23 3 1 3/1/2001 6/1/2001
-4.87 4 3 5/1/2006 9/1/2006
-4.29 6 3 8/1/2001 2/1/2002
-3.95 7 11 1/1/2007 8/1/2007
-3.18 3 2 6/1/2002 9/1/2002
-1.82 2 3 12/1/2002 2/1/2003
-1.64 2 2 12/1/2008 2/1/2009
-1.54 1 1 5/1/2009 6/1/2009
-1.21 1 1 1/1/2015 2/1/2015
-0.51 1 1 5/1/2003 6/1/2003
-0.44 1 1 10/1/2003 11/1/2003
-0.02 1 1 11/1/2014 12/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
15.96 6 7/1/2008 12/1/2008
15.20 5 7/1/2014 11/1/2014
12.50 2 7/1/2001 8/1/2001
9.64 8 11/1/2012 6/1/2013
9.36 4 3/1/2002 6/1/2002
6.92 3 3/1/2009 5/1/2009
6.60 3 1/1/2001 3/1/2001
6.55 2 4/1/2006 5/1/2006
6.21 3 10/1/2016 12/1/2016
5.81 4 7/1/2003 10/1/2003
5.76 5 7/1/2005 11/1/2005
5.58 4 10/1/2006 1/1/2007
5.34 3 10/1/2002 12/1/2002
4.69 2 10/1/2004 11/1/2004
3.43 1 5/1/2010 5/1/2010
3.27 1 5/1/2012 5/1/2012
3.10 1 1/1/2015 1/1/2015
2.96 1 3/1/2015 3/1/2015
2.94 3 3/1/2003 5/1/2003
2.78 3 2/1/2008 4/1/2008
2.72 1 5/1/2001 5/1/2001
2.69 1 9/1/2012 9/1/2012
2.58 2 3/1/2004 4/1/2004
2.35 1 11/1/2015 11/1/2015
2.19 3 10/1/2013 12/1/2013
2.13 1 9/1/2011 9/1/2011
2.11 4 9/1/2010 12/1/2010
2.09 3 10/1/2001 12/1/2001
1.98 1 9/1/2007 9/1/2007
1.91 1 7/1/2009 7/1/2009
1.44 1 7/1/2007 7/1/2007
1.39 2 1/1/2006 2/1/2006
1.32 3 12/1/2011 2/1/2012
1.25 1 11/1/2007 11/1/2007
1.17 2 6/1/2017 7/1/2017
1.12 1 6/1/2004 6/1/2004
1.09 1 4/1/2017 4/1/2017
1.08 1 5/1/2015 5/1/2015
1.04 2 4/1/2007 5/1/2007
1.02 1 12/1/2003 12/1/2003
0.79 2 2/1/2010 3/1/2010
0.72 1 3/1/2014 3/1/2014
0.66 1 5/1/2005 5/1/2005
0.63 1 5/1/2016 5/1/2016
0.39 1 8/1/2016 8/1/2016
0.27 1 7/1/2010 7/1/2010
0.23 1 9/1/2009 9/1/2009
0.13 1 2/1/2005 2/1/2005
0.10 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.02 8 1/1/2011 8/1/2011
-7.58 3 7/1/2004 9/1/2004
-5.33 5 6/1/2015 10/1/2015
-5.04 1 4/1/2001 4/1/2001
-4.87 4 6/1/2006 9/1/2006
-4.55 2 1/1/2014 2/1/2014
-4.46 2 6/1/2016 7/1/2016
-4.28 3 7/1/2013 9/1/2013
-4.27 3 6/1/2012 8/1/2012
-4.19 2 1/1/2004 2/1/2004
-3.82 5 12/1/2015 4/1/2016
-3.74 2 3/1/2005 4/1/2005
-3.68 2 1/1/2002 2/1/2002
-3.53 2 2/1/2007 3/1/2007
-3.37 2 5/1/2008 6/1/2008
-3.18 3 7/1/2002 9/1/2002
-2.84 1 6/1/2001 6/1/2001
-2.81 4 10/1/2009 1/1/2010
-2.67 1 9/1/2001 9/1/2001
-2.55 1 8/1/2007 8/1/2007
-2.47 3 1/1/2017 3/1/2017
-2.47 1 4/1/2014 4/1/2014
-2.33 2 10/1/2011 11/1/2011
-2.23 1 9/1/2016 9/1/2016
-1.91 2 3/1/2012 4/1/2012
-1.82 2 1/1/2003 2/1/2003
-1.68 1 5/1/2017 5/1/2017
-1.64 2 1/1/2009 2/1/2009
-1.64 1 8/1/2010 8/1/2010
-1.54 1 6/1/2009 6/1/2009
-1.50 1 6/1/2010 6/1/2010
-1.43 1 8/1/2009 8/1/2009
-1.37 2 12/1/2007 1/1/2008
-1.31 1 4/1/2015 4/1/2015
-1.27 1 6/1/2014 6/1/2014
-1.24 2 12/1/2004 1/1/2005
-1.21 1 2/1/2015 2/1/2015
-1.09 1 6/1/2005 6/1/2005
-1.00 1 10/1/2012 10/1/2012
-0.88 1 10/1/2007 10/1/2007
-0.84 1 4/1/2010 4/1/2010
-0.63 1 3/1/2006 3/1/2006
-0.51 1 6/1/2003 6/1/2003
-0.44 1 11/1/2003 11/1/2003
-0.32 1 6/1/2007 6/1/2007
-0.13 1 5/1/2004 5/1/2004
-0.06 1 12/1/2005 12/1/2005
-0.02 1 12/1/2014 12/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods199.00197.00194.00188.00182.00176.00164.00152.00140.00
Percent Profitable53.7755.3357.2263.8366.4871.5976.8382.8992.14
Average Period Return0.240.701.362.593.865.147.649.4911.92
Average Gain1.593.094.416.488.389.4011.4612.4413.39
Average Loss-1.34-2.27-2.71-4.28-5.11-5.62-5.04-4.82-5.29
Best Period10.3613.3617.4720.0721.5321.3329.8132.3831.90
Worst Period-5.04-7.58-7.92-9.83-12.27-10.28-11.98-10.50-11.33
Standard Deviation1.993.544.696.767.918.449.209.209.31
Gain Standard Deviation1.632.813.745.055.315.576.657.048.04
Loss Standard Deviation0.931.531.942.703.093.222.932.684.67
Sharpe Ratio (1%)0.080.130.180.230.300.370.500.590.73
Average Gain / Average Loss1.191.361.631.511.641.672.272.582.53
Profit / Loss Ratio1.381.692.182.673.254.227.5412.5129.68
Downside Deviation (10%)1.342.563.676.037.939.3412.0215.0718.22
Downside Deviation (5%)1.151.972.453.574.234.414.163.883.23
Downside Deviation (0%)1.101.822.173.043.453.442.802.271.94
Sortino Ratio (10%)-0.13-0.21-0.30-0.40-0.47-0.55-0.68-0.80-0.86
Sortino Ratio (5%)0.130.230.350.440.560.711.111.402.11
Sortino Ratio (0%)0.210.380.630.851.121.492.734.186.15

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 9 10.36 9/2014
Discretionary Trader Index Month 10 3.10 5/2013
Discretionary Trader Index Month 8 6.20 8/2008
Discretionary Trader Index Month 9 3.91 7/2008
Discretionary Trader Index Month 10 1.44 7/2007
Discretionary Trader Index Month 6 3.33 12/2006
Discretionary Trader Index Month 6 2.78 5/2006
Discretionary Trader Index Month 9 3.67 4/2006
Discretionary Trader Index Month 5 0.76 10/2005
Discretionary Trader Index Month 6 3.68 7/2005
Systematic Trader Index Month 10 3.68 7/2005
Discretionary Trader Index Month 5 3.11 11/2004
Discretionary Trader Index Month 7 1.53 10/2004
Discretionary Trader Index Month 7 1.12 6/2004
Discretionary Trader Index Month 6 2.21 4/2004
Systematic Trader Index Month 10 2.21 4/2004
Discretionary Trader Index Month 9 1.02 12/2003
Discretionary Trader Index Month 10 1.26 9/2003
Discretionary Trader Index Month 9 1.49 7/2003
Discretionary Trader Index Month 7 -0.51 6/2003
Discretionary Trader Index Month 7 2.29 5/2003
Discretionary Trader Index Month 8 0.20 4/2003
Discretionary Trader Index Month 7 0.43 3/2003
Systematic Trader Index Month 10 0.43 3/2003
Discretionary Trader Index Month 10 -1.42 2/2003
Discretionary Trader Index Month 8 -0.41 1/2003
Discretionary Trader Index Month 6 1.94 12/2002
Discretionary Trader Index Month 6 0.75 11/2002
Systematic Trader Index Month 4 2.57 10/2002
Discretionary Trader Index Month 6 2.57 10/2002
IASG CTA Index Month 9 2.57 10/2002
Discretionary Trader Index Month 10 -0.17 7/2002
Discretionary Trader Index Month 6 2.51 6/2002
Discretionary Trader Index Month 6 2.62 5/2002
Discretionary Trader Index Month 4 3.04 4/2002
Systematic Trader Index Month 6 3.04 4/2002
IASG CTA Index Month 9 3.04 4/2002
Discretionary Trader Index Month 7 0.89 3/2002
Discretionary Trader Index Month 9 -1.04 1/2002
Discretionary Trader Index Month 8 0.22 12/2001
IASG CTA Index Month 8 1.33 11/2001
Systematic Trader Index Month 5 1.33 11/2001
Discretionary Trader Index Month 4 1.33 11/2001
Discretionary Trader Index Month 7 0.53 10/2001
Discretionary Trader Index Month 9 -2.67 9/2001
Discretionary Trader Index Month 2 4.49 8/2001
Discretionary Trader Index Month 3 7.67 7/2001
Systematic Trader Index Month 4 7.67 7/2001
IASG CTA Index Month 6 7.67 7/2001
Discretionary Trader Index Month 10 -2.84 6/2001
Discretionary Trader Index Month 4 2.72 5/2001
Discretionary Trader Index Month 9 -5.04 4/2001
Discretionary Trader Index Month 4 4.28 3/2001
Discretionary Trader Index Month 5 2.11 2/2001
Discretionary Trader Index Month 9 0.00 1/2001

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