Program Details

Global Sigma Group, LLC

Global Sigma Fund

Manager: Hanming Rao

Address: 1900 Glades Road, Suite 430, Boca Raton, FL, 33431, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:	CPO
Inception Date:	Nov 1, 2015
AUM:	$52,784,304
QEP:	Yes
Incentive Fee:	20%
Annual Mgt Fee:	2%
Min Investment:	$1,000,000
Disclosure Doc:	View

Performance	Program	S&P 500

Total ROR:	43.50%	174.38%
Annual ROR:	9.25%	28.04%
YTD:	0.00%	19.62%
1 Year:	0.00%	24.91%
Alpha:	0.75
Beta:	-0.01

Statistics	Program	S&P 500

Average Monthly Gain:	0.89%	2.30%
Average Monthly Loss:	-2.62%	-2.98%
Winning Months:	47	36
Losing Months:	2	13
Current DD:	0.00	0.00
Max DD:	4.37	13.86
Sharpe Ratio (RF 1%):	2.79
Annualized Std Dev:	2.96

Methodology

Discretionary:	5%
Systematic:	95%

Strategy

Strategy	Multi-Strategy
Directional	Long / Short
Holding Period	Short Term
---------------------	------
Option Writing:	95%
Technical Analysis:	5%

Monthly Returns as Percentage by Year

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2019	0.60	0.45	0.51	0.67	0.42	0.47	0.71	0.47	0.77	0.69	0.41		6.35
2018	0.96	1.74	1.19	1.85	1.26	0.95	0.83	1.22	1.06	0.84	0.90	0.89	14.58
2017	1.31	1.27	1.07	0.90	0.90	0.88	0.90	0.94	0.99	1.11	0.20	0.39	11.41
2016	0.73	-0.87	1.29	1.22	1.05	1.15	1.00	0.31	0.79	0.76	-4.37	0.96	3.95
2015											0.80	0.89	1.70

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The Global Sigma Fund applies a model-driven, high turn-overtrading approach to the option markets on the S&P500
and Treasury Bond and Note futures. Global Sigma Group was formed in late 2009 around the same time the weekly
expiry options contract on the S&P500 was launched. Global Sigma has become one of the most active managers of the
weekly expiry options contracts in the CTA industry.
The strategy seeks to buy and sell inefficiently priced Puts and Calls on the S&P500 and Treasury Bond/Note futures. The
strategy also employs Relative Value Vol Arbitrage type strategies to the Treasury Bond/Note futures market.
Fund Composition: The Global Sigma Fund was launched in November 2015. The component funds were launched
earlier. The Global Sigma Fund currently allocates 50% of the fund capital to the AGSF fund and 50% of the capital to the
Bond VOL fund. The AGSF fund (S&P500 options/futures) was launched in April 2013 and the Bond VOL fund (Treasury
bond options/futures) was launched in April 2015.

Company Info

Global Sigma Group, LLC currently mainly focuses on trading future & future options. The fund seeks to profit from short term directional and volatility skew opportunities in seperate equity index and bond futures and options. This strategy is model driven and typically long or short future for directional trade and short options to collect the premium. Proprietary system checks market opportunities constantly and searches best risk reward trades in future and future options.

Manager Info

No data loaded