Global Sigma Group, LLC : AGSF Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.93% Jan Performance 0.93% Min Investment $ 3,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 5.79% Sharpe (RFR=1%) 1.90 CAROR 12.47% Assets $ 271.7M Worst DD -13.42 S&P Correlation -0.12 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since4/2013 AGSF 0.93 2.19 0.93 6.91 31.98 73.43 - 151.14 S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 - 143.80 +/- S&P 500 2.04 -11.40 2.04 -8.25 0.46 -16.06 - 7.34 Strategy Description SummaryHanming 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 $ 3,000k Trading Level Incremental Increase $ 500k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $4.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Redemption Frequency Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 20000 RT/YR/$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 Arbitrage 1.00% Counter-trend 7.00% Fundamental 7.00% Momentum 4.00% Option-purchasing 5.00% Option-spreads 5.00% Option-writing 60.00% Pattern Recognition 3.00% Spreading/hedging 4.00% Technical 2.00% Trend-following 2.00% Composition Stock Indices 100.00% SummaryHanming 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 StrategyGlobal 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 ManagementThere 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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=1%) 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=1%) 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 -13.42 3 10 7/1/2015 10/1/2015 -3.14 1 - 10/1/2020 11/1/2020 -0.27 1 1 6/1/2014 7/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 86.77 60 11/1/2015 10/1/2020 28.39 15 4/1/2013 6/1/2014 22.54 12 8/1/2014 7/1/2015 4.28 1 9/1/2015 9/1/2015 2.19 2 12/1/2020 1/1/2021 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.97 1 10/1/2015 10/1/2015 -8.79 1 8/1/2015 8/1/2015 -3.14 1 11/1/2020 11/1/2020 -0.27 1 7/1/2014 7/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods94.0092.0089.0083.0077.0071.0059.0047.0035.00 Percent Profitable95.7491.3093.2695.18100.00100.00100.00100.00100.00 Average Period Return1.003.016.1912.5218.9025.3539.8756.5974.70 Average Gain1.283.717.1013.1718.9025.3539.8756.5974.70 Average Loss-5.29-4.34-6.38-0.33 Best Period4.286.7012.5824.0034.1747.7451.7867.8093.50 Worst Period-8.97-13.42-9.14-0.764.7911.1027.1241.5656.83 Standard Deviation1.672.864.386.127.578.236.136.7410.30 Gain Standard Deviation0.661.342.685.537.578.236.136.7410.30 Loss Standard Deviation4.314.174.050.31 Sharpe Ratio (1%)0.550.971.301.882.302.846.017.796.76 Average Gain / Average Loss0.240.851.1139.51 Profit / Loss Ratio5.448.9715.40780.38 Downside Deviation (10%)1.412.012.501.670.45 Downside Deviation (5%)1.351.782.030.34 Downside Deviation (0%)1.341.721.910.09 Sortino Ratio (10%)0.420.891.494.5125.32 Sortino Ratio (5%)0.681.552.8134.02 Sortino Ratio (0%)0.751.753.23132.95 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 10 124.05 2009 - 2014 IASG CTA Index Sharpe 1 5.63 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 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 2012 Option Strategy Index Month 9 1.82 9/2012 IASG CTA Index Sharpe 3 5.95 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 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 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. x {{title}} x {{title}} Add Cancel