Sigma Advanced Capital Management, LLC : Carbon Neutral Alpha Program

Closed to new investments
Year-to-Date
6.53%
Aug Performance
5.43%
Min Investment
$ 400k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
5.93%
Sharpe (RFR=1%)
1.23
CAROR
-
Assets
$ 2.2M
Worst DD
-1.93
S&P Correlation
0.24

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
6/2020
Carbon Neutral Alpha Program 5.43 5.96 6.53 7.76 - - - 10.69
S&P 500 3.04 7.72 24.49 33.58 - - - 50.82
+/- S&P 500 2.39 -1.77 -17.95 -25.83 - - - -40.13

Strategy Description

Summary

The CARBON NEUTRAL ALPHA (“CNA”) PROGRAM is an absolute return program. It develops a risk-adjusted portfolio of the most liquid futures and spreads of the European Carbon Market Allowances (EUAs) and CBL Voluntary Carbon Offsets, it seeks to perform in different market environments... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 400k
Trading Level Incremental Increase $ 400k
CTA Max Funding Factor 5.00
Management Fee 1.75%
Performance Fee 20.00%
Average Commission $8.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 3%
Targeted Worst DD -5.00%
Worst Peak-to-Trough -1.93%
Sector Focus Global Climate Traders

Holding Periods

Over 12 Months 4.00%
4-12 Months 15.00%
1-3 Months 30.00%
1-30 Days 35.00%
Intraday 16.00%

Decision-Making

Discretionary 70.00%
Systematic 30.00%

Strategy

Fundamental
30.00%
Seasonal/cyclical
10.00%
Spreading/hedging
30.00%
Technical
10.00%
Other
20.00%
Strategy Pie Chart

Composition

Other
100.00%
Composition Pie Chart

Summary

The CARBON NEUTRAL ALPHA (“CNA”) PROGRAM is an absolute return program. It develops a risk-adjusted portfolio of the most liquid futures and spreads of the European Carbon Market Allowances (EUAs) and CBL Voluntary Carbon Offsets, it seeks to perform in different market environments and economic cycles. The EUAs are a unique asset class with strong bias and inefficiencies due to the market's regulatory policies, hedging pressure, weather, and supply/demand fundamentals.

Investment Strategy:

The manager deploys a Quant-mental Investment Process combining quantitative techniques like statistical modeling, machine learning, and natural language processing (NLP) with discretionary and fundamental analysis.

Climate Impact:

Sigma Advanced Capital Management LLC believes that responsible businesses need to be thoughtful, aware, and willing to act. The Carbon Neutral Alpha program seeks to have a climate impact by supporting environmental initiatives by using a percentage of management and performance fees to support REDD+ approved projects in the Amazon aligned with the 2030 Sustainable Development Goals (SDGs).

Investment Strategy

The EU ETS System:

The EU ETS is the largest multi-country, multi-sector greenhouse gas emissions trading system in the world. The EU ETS works on a ‘cap and trade’ basis, so there is a ‘cap’ or limit set on the total greenhouse gas emissions allowed by all participants covered by the System and this cap is converted into tradable emission allowances. Participants who are likely to emit more than their allocation have a choice between taking measures to reduce their emissions or buying additional allowances; either from the secondary market – for example companies who hold allowances they do not need – or from Member State held auctions. The rationale behind emissions trading is that it enables emission reductions to take place where the cost of the reduction is lowest, lessening the overall cost of tackling climate change.

The European Carbon Allowances (EUA):

EUAs emissions allowances are standardized contracts tradeable in select exchanges. Emission Certificates must be held at all times within the ‘Union Registry’ operated by the European Commission; “an electronic accounting system that ensures the accurate accounting of EU allowances issued under the EU ETS and international credits” (European Commission, 2015).

EUA's long price bias exists given the need for government policies to dramatically reduce carbon emissions. EU governments have developed ambitious emission reduction policies and annually set a linear reduction factor in the overall greenhouse gas emission allowed cap. EU government agendas are pressing for lower carbon supply and thus a long price bias. Also, the Market Stability Reserve (MSR) was introduced in 2019, to provide stability to allowance markets by limiting the effects of economic shocks and unforeseen surpluses/deficits by permitting allowances to be deposited or withdrawn from the reserve accordingly.

Risk Management

Protection is a key element in generating returns - robust risk management is at the core of this protection. Risk is actively managed through strict risk budget limits at a portfolio and individual positions drawdown limits. Likewise, the Advisor runs 95% and 99% VaR, Conditional VaR and Marginal VaR test to monitor the portfolio exposure as well as market stress tests.

Risk is monitored on a constant real-time basis through electronic platforms and internal risk management systems.

   

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

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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
-1.93 2 3 3/1/2021 5/1/2021
-1.42 1 1 1/1/0001 6/1/2020
-0.66 1 2 8/1/2020 9/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
5.43 1 8/1/2021 8/1/2021
4.39 6 10/1/2020 3/1/2021
4.20 2 7/1/2020 8/1/2020
0.66 1 6/1/2021 6/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.93 2 4/1/2021 5/1/2021
-1.42 1 6/1/2020 6/1/2020
-0.66 1 9/1/2020 9/1/2020
-0.16 1 7/1/2021 7/1/2021
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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.