Trigon Investment Advisors

(Foreign Exchange)

Fund Investment Objectives

The Foreign Exchange Program (FXP) 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 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 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.