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.