Global Sigma Group, LLC : Global Sigma Plus

Year-to-Date
5.66%
Jun Performance
1.17%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.33%
Sharpe (RFR=1%)
2.32
CAROR
14.02%
Assets
$ 188.7M
Worst DD
-11.63
S&P Correlation
-0.04

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jun Qtr YTD 1yr 3yr 5yr 10yr Since
11/2009
Global Sigma Plus 1.17 2.91 5.66 -3.49 27.03 71.84 - 139.76
S&P 500 0.09 1.90 2.69 1.73 30.67 58.90 - 91.53
+/- S&P 500 1.08 1.01 2.97 -5.22 -3.64 12.94 - 48.22

Strategy Description

Summary

Hanming Rao is Global Sigma Group’s sole investment manager and has 17 years’ experiences in trading financial markets using proprietary models that he has developed. Mr. Rao became listed as a principal and an associated person of GSG on March 3, 2010.

Dr. Rao started trading... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
7-14 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
20000 RT/YR/$M
Avg. Margin-to-Equity
40%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
10.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
15.00%
1-30 Days
80.00%
Intraday
5.00%

Decision-Making

Discretionary
30.00%
Systematic
70.00%

Strategy

Counter-trend
20.00%
Fundamental
20.00%
Option-writing
60.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Hanming Rao is Global Sigma Group’s sole investment manager and has 17 years’ experiences in trading financial markets using proprietary models that he has developed. Mr. Rao became listed as a principal and an associated person of GSG on March 3, 2010.

Dr. Rao started trading stocks and options in July 1998 when he was a graduate student at Harvard University. After graduation, he began his professional financial career as a research quant at Ellington Management Group, a multi-billion hedge fund in Old Greenwich, Connecticut in February 2005. In June 2006 Dr. Rao left Ellington to join SAC capital management, a multi-billion hedge fund in New York, NY as a global macro trader / analyst. He mainly focused on trading liquid assets including currency, interest rate swap, global equity index / ETF, commodity, commodity related ETF and options on all those markets. May 2008, Dr. Rao took an asset management role at SAC’s headquarter in Stamford, Connecticut. He was in charge of managing SAC’s legacy assets including Foreign Bond, Junk Bond, Convertible Bond, Government CDS, Corporate CDS, Loan CDS, High Yield Bond, High Yield Index, etc. In January 2009, Dr. Rao left SAC to join Millennium Partners, a multi-billion hedge fund as a vice president at their Greenwich, CT branch. His responsibility was to develop statistical models in ETF and Futures market. Dr. Rao left Millennium in June 2009. From June 2009 to November 2009 he was preparing for his own start up business. In December 2009, Dr. Rao founded GSG to provide investment management to outside clients. Currently he is constantly seeking new opportunities in the financial market in order to improve the existing prediction, trading and risk models. Dr. Rao received his BS in Electronic Engineering from Tsinghua University, Beijing, China in July 1997, his MS in Computer Sciences and PhD in Engineering Sciences both from Harvard Universities, Cambridge, MA in June 1998 and March 2005 respectively. Dr. Rao’s PhD thesis is Theory and Implementation of a Truly Random Number Generator. He designed an algorithm and built a hardware device to extract randomness from Po-210, a radioactive material that emits alpha particles. He had a related pending invention patent. Dr. Rao ranked 17th in the China Olympiad Physics Competition in 1991. He won best experiment prize and 2nd place overall in Guangdong Province Olympiad Physics Competition in 1991. Global Sigma Group headquartered at 1900 Glades Road, Suite 430; Boca Raton, FL 33431.

Investment Strategy

Global Sigma Plus (GSP) primarily trades US equity index futures and options. The program typically will sell options on index futures and sometimes will also hedge them with index futures. GSP is not a pure volatility-selling program. It is a directional prediction program combined with a volatility measure. The program will typically trade options within 6 weeks to expiration. The program may also buy back options before expiration in order to reduce risk or wait for better opportunities. GSP continuously monitors the risk/reward ratio on both potential and established positions.

Risk Management

There are three approaches GSP will use when market acts differently than expected.

1. The program may simply close out the positions and remain in cash. Most of the time, we find that simply admitting the models were incorrect and cutting losses quick is the optimal solution. This scenario typically happens when expirations are still quite away and the position hits a draw down limit specified by the program.

2. The program may hedge the position with index futures. This typically will happen when the program still believes the option will expire worthless or the program believes the options premium is too high and hedging is more profitable.

3. Third, it may roll over the position or hedge it with another option. This will depend on relative value of different options with different expiration or strikes prices.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Statistics & Ratios

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-11.63 3 - 7/1/2015 10/1/2015
-1.55 1 1 7/1/2011 8/1/2011
-0.44 1 1 6/1/2014 7/1/2014
-0.43 1 1 6/1/2012 7/1/2012
-0.12 1 1 9/1/2014 10/1/2014
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
42.90 21 11/1/2009 7/1/2011
32.46 23 8/1/2012 6/1/2014
17.61 10 9/1/2011 6/1/2012
12.18 9 11/1/2014 7/1/2015
8.10 8 11/1/2015 6/1/2016
3.10 2 8/1/2014 9/1/2014
2.79 1 9/1/2015 9/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-7.56 1 8/1/2015 8/1/2015
-7.00 1 10/1/2015 10/1/2015
-1.55 1 8/1/2011 8/1/2011
-0.44 1 7/1/2014 7/1/2014
-0.43 1 7/1/2012 7/1/2012
-0.12 1 10/1/2014 10/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods80.0078.0075.0069.0063.0057.0045.0033.00
Percent Profitable92.5093.5989.3386.96100.00100.00100.00100.00
Average Period Return1.113.356.7514.1422.7831.8751.6374.16
Average Gain1.433.988.1616.6422.7831.8751.6374.16
Average Loss-2.85-5.85-5.00-2.47
Best Period3.897.6312.0923.6235.1548.5771.9698.83
Worst Period-7.56-11.63-9.00-3.493.309.2727.0343.40
Standard Deviation1.542.814.657.439.1511.1413.9419.18
Gain Standard Deviation0.581.241.973.879.1511.1413.9419.18
Loss Standard Deviation3.473.323.930.83
Sharpe Ratio (1%)0.671.101.341.772.332.683.493.66
Average Gain / Average Loss0.500.681.636.72
Profit / Loss Ratio6.209.9213.6744.82
Downside Deviation (10%)1.241.942.722.711.350.22
Downside Deviation (5%)1.181.722.161.29
Downside Deviation (0%)1.171.662.030.94
Sortino Ratio (10%)0.571.091.583.3711.2699.81
Sortino Ratio (5%)0.871.802.9010.22
Sortino Ratio (0%)0.952.013.3315.10

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 9 2.79 9/2015
Stock Index Trader Index Month 8 1.93 12/2014
IASG CTA Index 5 Year Rolling 10 124.05 2009 - 2014
IASG CTA Index Sharpe 1 5.63 2013 - 2014
Option Strategy Index Month 5 1.93 12/2014
Option Strategy Index Month 4 -0.12 10/2014
Option Strategy Index Month 8 -0.44 7/2014
Option Strategy Index Month 8 1.65 2/2014
IASG CTA Index Sharpe 1 5.97 2012 - 2013
Option Strategy Index Month 6 1.09 5/2013
Stock Index Trader Index Month 9 1.09 5/2013
Option Strategy Index Month 6 0.78 4/2013
Option Strategy Index Month 5 1.45 3/2013
IASG CTA Index Sharpe 1 5.68 2011 - 2012
Option Strategy Index Month 9 1.82 9/2012
IASG CTA Index Sharpe 3 5.95 2010 - 2011
Option Strategy Index Month 10 3.89 9/2011
Stock Index Trader Index Month 9 3.89 9/2011
Stock Index Trader Index Month 4 2.42 7/2011
Option Strategy Index Month 5 2.42 7/2011
Option Strategy Index Month 9 1.20 4/2011
Option Strategy Index Month 9 1.44 2/2011
IASG CTA Index Sharpe 2 9.94 2009 - 2010
Stock Index Trader Index Month 3 2.51 9/2010
Option Strategy Index Month 6 2.51 9/2010
Option Strategy Index Month 5 3.04 5/2010
Stock Index Trader Index Month 8 3.04 5/2010
Stock Index Trader Index Month 7 1.15 4/2010
Option Strategy Index Month 7 1.15 4/2010
Option Strategy Index Month 9 1.24 3/2010
Stock Index Trader Index Month 9 1.24 3/2010
Stock Index Trader Index Month 10 2.26 1/2010
IASG CTA Index Sharpe 2 11.48 2008 - 2009

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.