Sigma Advanced Capital Management, LLC : Carbon Neutral Alpha Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.42% Jan Performance 0.42% Min Investment $ 400k Mgmt. Fee 1.75% Perf. Fee 20.00% Annualized Vol 4.26% Sharpe (RFR=1%) 1.28 CAROR - Assets $ 2.1M Worst DD -1.42 S&P Correlation 0.44 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 Since6/2020 Carbon Neutral Alpha Program 0.42 1.65 0.42 - - - - 4.34 S&P 500 -1.11 13.59 -1.11 - - - - 19.80 +/- S&P 500 1.53 -11.94 1.53 - - - - -15.47 Strategy Description SummaryThe 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), it seeks to perform in different market environments and economic cycles. The EUAs are... 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 5% Targeted Worst DD -6.00% Worst Peak-to-Trough -1.42% Sector Focus Global Climate Traders Holding Periods Over 12 Months 4.00% 4-12 Months 16.00% 1-3 Months 20.00% 1-30 Days 30.00% Intraday 30.00% 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% Composition Other 100.00% SummaryThe 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), 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 StrategyThe 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 ManagementProtection 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. 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 -1.42 1 1 1/1/0001 6/1/2020 -0.66 1 2 8/1/2020 9/1/2020 Show More Consecutive Gains Run-up Length (Mos.) Start End 4.20 2 7/1/2020 8/1/2020 2.25 4 10/1/2020 1/1/2021 Show More Consecutive Losses Run-up Length (Mos.) Start End -1.42 1 6/1/2020 6/1/2020 -0.66 1 9/1/2020 9/1/2020 Show More Time Windows Analysis 1 Month3 Month Number of Periods8.006.00 Percent Profitable75.00100.00 Average Period Return0.541.93 Average Gain1.071.93 Average Loss-1.04 Best Period2.583.51 Worst Period-1.420.37 Standard Deviation1.231.08 Gain Standard Deviation0.861.08 Loss Standard Deviation0.54 Sharpe Ratio (1%)0.371.55 Average Gain / Average Loss1.02 Profit / Loss Ratio3.07 Downside Deviation (10%)0.750.35 Downside Deviation (5%)0.59 Downside Deviation (0%)0.55 Sortino Ratio (10%)0.182.00 Sortino Ratio (5%)0.77 Sortino Ratio (0%)0.97 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. x {{title}} x {{title}} Add Cancel