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 consistent economic growth in the U.S. and the Eurozone resulting in a normalization of central bank policy from the Federal Reserve and the European Central Bank.