Trigon Investment Advisors, LLC : Global Macro Program (LIQUIDATED as of July 31, 2017) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since1/2001 Global Macro Program (LIQUIDATED as of July 31, 2017) 0.56 - - - - -3.59 1.45 53.59 S&P 500 1.93 - - - - 78.82 69.46 185.08 +/- S&P 500 -1.37 - - - - -82.41 -68.01 -131.48 Strategy Description SummaryThe 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% Composition Other 34.00% Currency Futures 33.00% Interest Rates 33.00% SummaryThe 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 StrategyThe 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel