Sigma Advanced Capital Management, LLC : Global Advanced Futures and Spread Program (QEP)

Year-to-Date
1.88%
Oct Performance
2.24%
Min Investment
$ 200k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
18.09%
Sharpe (RFR=1%)
0.67
CAROR
12.15%
Assets
$ 2.7M
Worst DD
-15.96
S&P Correlation
0.34

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
2/2016
Global Advanced Futures and Spread Program (QEP) 2.24 6.15 1.88 5.62 57.56 - - 53.74
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 55.61
+/- S&P 500 0.20 4.24 -19.28 -6.38 16.15 - - -1.87

Strategy Description

Summary

The Global Advanced Futures and Spread Program (“GAFS”) is a diversified futures and spreads program seeking absolute returns in different market environments and economic cycles. Non-correlated alpha is generated by exploiting inefficiencies of the term structure created by changes... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 200k
CTA Max Funding Factor
2.50
Management Fee
1.75%
Performance Fee
20.00%
Average Commission
$6.00
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
3000 RT/YR/$M
Avg. Margin-to-Equity
13%
Targeted Worst DD
15.00%
Worst Peak-to-Trough
-15.96%
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
0%
4-12 Months
25.00%
1-3 Months
40.00%
1-30 Days
30.00%
Intraday
5.00%

Decision-Making

Discretionary
70.00%
Systematic
30.00%

Strategy

Seasonal/cyclical
10.00%
Spreading/hedging
80.00%
Other
10.00%
Strategy Pie Chart

Composition

Energy
22.00%
Grains
22.00%
Livestock
20.00%
Softs
20.00%
Industrial Metals
8.00%
Precious Metals
8.00%
Composition Pie Chart

Summary

The Global Advanced Futures and Spread Program (“GAFS”) is a diversified futures and spreads program seeking absolute returns in different market environments and economic cycles. Non-correlated alpha is generated by exploiting inefficiencies of the term structure created by changes in the cost of carry, commodity index roll, hedging pressure, extreme price deviations, weather, price mean reversion, and seasonal patterns.

The returns from February 2016 moving forward have been proforma adjusted to reflect a 1.75% annual management fee and 20% quarterly incentive fee structure.

Sigma Advanced Capital Management has contracted a third party (Michael Conglianese CPA, P.C Alternative Investment Accountants) to calculate historical performance on this program from February 2016 to December 2017 and Sudrania LLC to calculate performance from January 2018 moving forward. The Advisor began managing accounts in January 2019. Prior to that date, the performance shown is the performance of the principal of the Advisor, Carlos Arcila Barrera, doing business as Sigma Advanced Capital Management, acting in his individual capacity. The historical returns presented represent the performance as calculated by Michael Conglianese CPA, P.C.(Feb 2016 - Dec 2017) and Sudrania LLC (Jan 2018 - Actual)

Investment Strategy

The program trades 28 commodities and builds a risk-adjusted balanced portfolio of calendar spreads, relative value strategies, and outright futures. The trading methodology is discretionary on trade selection, execution, and size but it uses screen filters, system-based modeling and artificial intelligence (machine learning and NLP) techniques for strategy development.

The advisor also monitors fundamental data such as economic and commodity reports that may affect existing and potential trades, and it developed a set of rules including profit and loss levels, a maximum number of contracts and risk/reward targets per trade in an attempt to maintain a non-concentrated portfolio.

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.

Largest Monthly Drawdown Since Inception: -15.96% / March 2016

Worst Peak-to-Valley Drawdown Since Inception: -15.96% / February 2016 – April 2016

   

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
-15.96 3 3 1/1/0001 4/1/2016
-8.88 1 5 1/1/2018 2/1/2018
-8.45 1 1 9/1/2016 10/1/2016
-7.67 5 8 9/1/2018 2/1/2019
-0.98 2 1 11/1/2016 1/1/2017
-0.03 1 1 11/1/2017 12/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
29.69 10 2/1/2017 11/1/2017
26.82 5 5/1/2016 9/1/2016
16.25 1 11/1/2016 11/1/2016
15.02 7 3/1/2018 9/1/2018
10.21 1 3/1/2016 3/1/2016
8.14 5 6/1/2019 10/1/2019
4.36 1 3/1/2019 3/1/2019
3.68 2 11/1/2018 12/1/2018
0.41 1 1/1/2018 1/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.97 1 4/1/2016 4/1/2016
-12.38 1 2/1/2016 2/1/2016
-8.88 1 2/1/2018 2/1/2018
-8.45 1 10/1/2016 10/1/2016
-6.24 2 1/1/2019 2/1/2019
-5.02 1 10/1/2018 10/1/2018
-3.72 2 4/1/2019 5/1/2019
-0.98 2 12/1/2016 1/1/2017
-0.03 1 12/1/2017 12/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods45.0043.0040.0034.0028.0022.00
Percent Profitable73.3372.0975.0088.2489.29100.00
Average Period Return1.093.497.4515.7624.7331.60
Average Gain3.276.7011.2118.0627.8931.60
Average Loss-4.89-4.79-3.84-1.47-1.63
Best Period16.2520.6323.7846.3969.9664.95
Worst Period-12.97-15.96-5.64-2.23-2.404.95
Standard Deviation5.226.718.8814.4619.7418.03
Gain Standard Deviation3.364.276.8513.8418.4618.03
Loss Standard Deviation4.784.281.310.890.73
Sharpe Ratio (1%)0.190.480.781.021.181.64
Average Gain / Average Loss0.671.402.9212.3017.13
Profit / Loss Ratio1.843.618.7592.23142.76
Downside Deviation (10%)3.623.853.252.463.401.47
Downside Deviation (5%)3.493.432.260.891.04
Downside Deviation (0%)3.463.332.020.570.57
Sortino Ratio (10%)0.190.591.534.375.0414.52
Sortino Ratio (5%)0.290.953.0816.6422.26
Sortino Ratio (0%)0.321.053.6927.7243.58

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 6 2.77 9/2019
Discretionary Trader Index Month 6 4.36 3/2019
Discretionary Trader Index Month 5 3.51 11/2018
Discretionary Trader Index Month 5 2.40 9/2018
Diversified Trader Index Month 9 2.40 9/2018
Discretionary Trader Index Month 5 2.40 9/2018
Diversified Trader Index Month 8 2.40 9/2018
Discretionary Trader Index Month 9 1.72 8/2018
Diversified Trader Index Month 4 2.40 7/2018
Discretionary Trader Index Month 9 2.05 6/2018
Discretionary Trader Index Month 9 2.30 4/2018
Discretionary Trader Index Month 10 2.30 4/2018

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