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Global Sigma Group, LLC 

Global Sigma Equity Advantage

Manager: Hanming Rao

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

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:May 1, 2016
AUM:$4,013,484
QEP:Yes
Incentive Fee:15%
Annual Mgt Fee:1%
Min Investment:$1,000,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:4.81%15.44%
Annual ROR:4.43%14.17%
YTD:1.49%6.49%
1 Year:3.99%13.70%
Alpha:
Beta:
Statistics Program S&P 500
Average Monthly Gain:0.36%2.11%
Average Monthly Loss:N/A-0.56%
Winning Months:138
Losing Months:04
Current DD:0.000.00
Max DD:0.002.18
Sharpe Ratio (RF 1%):5.20
Annualized Std Dev:0.66

Methodology

Discretionary:20%
Systematic:80%

Strategy

StrategySingle Strategy
DirectionalShort
Holding PeriodShort Term
---------------------------
Option Writing:95%
Technical Analysis:5%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20170.230.250.270.390.341.49
20160.790.500.410.180.150.470.590.143.27

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Global Sigma applies a model-driven, high turn-over approach to option trading in the S&P500 futures market. The strategy uses historical and simulated statistical testing to uncover option pricing inefficiencies and to risk manage against potentially adverse market moves by utilizing the S&P500 futures contract. Global Sigma Equity Advantage aims to outperform the S&P 500 Index in absolute and risk-adjusted return. Global Sigma formed in late 2009 around the same time the Friday weekly expiry options contract on the S&P500 was launched by the Chicago Mercantile Exchange. The Wednesday weekly expiry options contract was launched in September 2016. Global Sigma Group has become one of the most active managers of the weekly expiry S&P500 options contract in the CTA industry.

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

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