Global Sigma Group, LLC : GSF - Mult-Strategy

Year-to-Date
0.15%
Jun Performance
0.34%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
3.02%
Sharpe (RFR=1%)
2.30
CAROR
8.18%
Assets
$ 35.6M
Worst DD
-4.37
S&P Correlation
0.14

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
11/2015
GSF - Mult-Strategy 0.34 1.75 -0.15 3.71 28.22 - - 44.35
S&P 500 1.84 19.95 -4.04 5.39 26.82 - - 47.51
+/- S&P 500 -1.50 -18.20 3.89 -1.68 1.39 - - -3.16

Strategy Description

Summary

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

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
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 RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 5.00%
1-30 Days 90.00%
Intraday 5.00%

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Composition

Summary

Global Sigma Group is a quantitative-based investment management firm started in 2009 by Dr. Hanming Rao (Harvard University – MS Computer Science, PhD Engineering Science) that has developed systematic trading strategies based on a disciplined investment process utilizing derivatives and volatility instruments related to underlying macro products such as Equity Indices, US Treasuries, and VIX futures.

Investment Strategy

Global Sigma Fund (Multi-Strat) manages a portfolio of Global Sigma’s best uncorrelated strategies and optimizes results through measured risk management, active trading, strategy rebalancing, and leverage adjustments. Fund Composition: Proprietary strategies are combined to achieve diversification benefits in performance and volatility. The Fund maintains a long Vol structure while exploiting opportunities where pricing is inefficient to capture alpha.

   

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
-4.37 1 4 10/1/2016 11/1/2016
-2.18 2 - 1/1/2020 3/1/2020
-0.87 1 1 1/1/2016 2/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
38.51 38 12/1/2016 1/1/2020
7.82 8 3/1/2016 10/1/2016
2.44 3 11/1/2015 1/1/2016
1.75 3 4/1/2020 6/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.37 1 11/1/2016 11/1/2016
-2.18 2 2/1/2020 3/1/2020
-0.87 1 2/1/2016 2/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable92.8688.8990.20100.00100.00100.00100.00
Average Period Return0.662.004.198.9014.6020.7632.03
Average Gain0.862.484.688.9014.6020.7632.03
Average Loss-1.86-1.85-0.34
Best Period1.854.868.2114.5620.5727.7337.04
Worst Period-4.37-2.88-0.663.526.9813.2628.22
Standard Deviation0.871.682.433.514.253.912.42
Gain Standard Deviation0.340.962.013.514.253.912.42
Loss Standard Deviation1.701.050.25
Sharpe Ratio (1%)0.661.051.522.253.084.7912.00
Average Gain / Average Loss0.461.3413.92
Profit / Loss Ratio5.9910.73128.04
Downside Deviation (10%)0.721.081.070.470.10
Downside Deviation (5%)0.650.770.28
Downside Deviation (0%)0.630.690.13
Sortino Ratio (10%)0.350.711.608.3771.73
Sortino Ratio (5%)0.892.2813.13
Sortino Ratio (0%)1.052.8833.15

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.