Global Sigma Group, LLC : Global Sigma Equity Advantage II (GSEA II)

Year-to-Date
0.56%
Sep Performance
0.27%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
15.00%
Annualized Vol
2.27%
Sharpe (RFR=1%)
1.55
CAROR
4.58%
Assets
$ 38.6M
Worst DD
-2.49
S&P Correlation
0.38

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
5/2016
Global Sigma Equity Advantage II (GSEA II) 0.27 1.00 0.56 0.36 11.94 - - 16.55
S&P 500 1.72 1.19 18.74 2.15 35.89 - - 40.51
+/- S&P 500 -1.45 -0.19 -18.17 -1.79 -23.95 - - -23.96

Strategy Description

Summary

Firm: Global Sigma is a quantitative-based investment management firm started in 2009 by Dr. Hanming Rao (Harvard University- Masters Computer Science, PhD Engineering Sciences) that has developed trading strategies based on a disciplined investment process typically utilizing derivatives... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
5.00
Management Fee
2.00%
Performance Fee
15.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Firm: Global Sigma is a quantitative-based investment management firm started in 2009 by Dr. Hanming Rao (Harvard University- Masters Computer Science, PhD Engineering Sciences) that has developed trading strategies based on a disciplined investment process typically utilizing derivatives and volatility instruments related to underlying macro products such as Equity Index and US Treasury futures.

Investment Strategy

Investment Strategy: Global Sigma Equity Advantage II (GSEA II) applies a systematic, data-driven model approach to option trading in the S&P 500 futures market. The strategy uses historical and simulated multi-factor statistical analysis to uncover option pricing inefficiencies and to risk manage against potentially adverse market moves. The strategy provides uncorrelated returns and benefits from periods of high volatility.

Risk Management

Risk Management utilizes a generalized autoregressive conditional heteroskedasticity (GARCH) model as well as other real-time multi-factor statistical analysis to monitor potential short-term market moves that may affect option positions adversely. When market regime switches are observed, risk reduction procedures include: closing out options before expiration, hedging positions with index futures, or purchasing options and rolling over the positions.

   

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

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
-2.49 4 - 2/1/2018 6/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
17.10 22 5/1/2016 2/1/2018
1.71 3 7/1/2018 9/1/2018
1.19 4 6/1/2019 9/1/2019
0.77 1 11/1/2018 11/1/2018
0.38 1 5/1/2018 5/1/2018
0.26 2 3/1/2019 4/1/2019
0.21 1 1/1/2019 1/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.26 2 3/1/2018 4/1/2018
-1.03 1 5/1/2019 5/1/2019
-0.62 1 6/1/2018 6/1/2018
-0.56 1 12/1/2018 12/1/2018
-0.41 1 10/1/2018 10/1/2018
-0.05 1 2/1/2019 2/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable82.9376.9280.5696.6787.50100.00
Average Period Return0.381.062.084.236.308.41
Average Gain0.601.602.754.417.248.41
Average Loss-0.70-0.74-0.73-0.87-0.27
Best Period1.593.455.119.1713.8614.46
Worst Period-2.17-1.89-1.34-0.87-0.743.46
Standard Deviation0.661.252.073.404.513.40
Gain Standard Deviation0.360.811.703.324.003.40
Loss Standard Deviation0.730.510.490.41
Sharpe Ratio (1%)0.450.650.760.951.061.88
Average Gain / Average Loss0.852.163.775.0527.11
Profit / Loss Ratio4.137.2115.61146.47189.76
Downside Deviation (10%)0.551.031.732.813.893.56
Downside Deviation (5%)0.430.530.590.430.68
Downside Deviation (0%)0.400.420.380.160.15
Sortino Ratio (10%)-0.06-0.16-0.23-0.27-0.33-0.52
Sortino Ratio (5%)0.691.532.697.517.03
Sortino Ratio (0%)0.932.505.4626.5641.54

Top Performer Badges

Index Award Type Rank Performance Period

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