Trigon Investment Advisors, LLC

Foreign Exchange Program

Year-to-Date
N/A
Minimum Investment
$ 5,000,000
Management Fee 1.00%
Performance Fee 20.00%
Annualized Volatility 11.16%
Sharpe (RFR=1%) 0.14
CAROR 1.98%
Assets $8,600,000
Worst Drawdown -30.51
S&P Correlation -0.20

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.