If you are using a multisport device (305, 310XT, 910XT, or Fenix2 devices), the Auto Multisport feature will split a normal triathlon into 5 activities for you automatically.
I don't have a Fenix2 to verify this on, but if Ray Maker says it is so, then it is so. You may have to use the .FIT files that it generates, which may mean you need to make a setting change, but the functionality is there.
Have Fénix1 and my friend 910XT - only diference betveen same race record is, that he has the file splitted and i do it via Basecamp in PC. But after load the GPX whole (made from Swim, depo, bike, depo, run) file there is no option on the web to change type of activity to Triathlon. even if I have only one file with laps, as i go from water to bike etc. cannot name the activity only "run, bike, swim" etc. not as the Triathlon race. So less less paddleboarding nonsenses and more Tri option!