Sigma Advanced Capital Management, LLC : Global Advanced Futures and Spread Program (QEP) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.82% Dec Performance 1.66% Min Investment $ 400k Mgmt. Fee 1.75% Perf. Fee 20.00% Annualized Vol 16.20% Sharpe (RFR=1%) 0.65 CAROR 10.69% Assets $ 6.4M Worst DD -15.96 S&P Correlation 0.24 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since2/2016 Global Advanced Futures and Spread Program (QEP) 1.66 2.06 1.82 1.82 13.14 - - 64.75 S&P 500 3.71 11.69 16.26 16.26 40.48 - - 92.41 +/- S&P 500 -2.05 -9.63 -14.44 -14.44 -27.34 - - -27.66 Strategy Description SummaryThe Global Advanced Futures and Spread (“GAFS”) program, develops a risk-adjusted balanced portfolio of calendar spreads, relative value strategies, and outright futures. Non-correlated alpha is generated by a Quantmental Investment Process seeking to analyze and exploit inefficiencies... Read More Account & Fees Type Managed Account Minimum Investment $ 400k Trading Level Incremental Increase $ 400k CTA Max Funding Factor 3.00 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 12% Targeted Worst DD 10.00% 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% Composition Energy 22.00% Grains 22.00% Livestock 20.00% Softs 20.00% Industrial Metals 8.00% Precious Metals 8.00% SummaryThe Global Advanced Futures and Spread (“GAFS”) program, develops a risk-adjusted balanced portfolio of calendar spreads, relative value strategies, and outright futures. Non-correlated alpha is generated by a Quantmental Investment Process seeking to analyze and exploit inefficiencies of the term structure. These inefficiencies could be created by changes in the cost of carry, commodity index roll, extreme price deviations, hedging pressure, weather, price mean reversion, and seasonal patterns. 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 StrategyThe GAFS is an absolute return program seeking to perform in different market environments and economic cycles. The program trades 28 commodities, combining discretionary analysis on trade selection, size and execution strategy, with quantitative techniques using screen filters, system-based modeling, algorithmic execution, and artificial intelligence (machine learning and NLP) techniques for strategy development and risk management. 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 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. Largest Monthly Drawdown Since Inception: -15.96% / March 2016 Worst Peak-to-Valley Drawdown Since Inception: -15.96% / February 2016 – April 2016 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 -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 -5.44 6 - 2/1/2020 8/1/2020 -0.98 2 1 11/1/2016 1/1/2017 -0.03 1 1 11/1/2017 12/1/2017 Show More 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 18.44 9 6/1/2019 2/1/2020 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 4.36 1 3/1/2019 3/1/2019 3.68 2 11/1/2018 12/1/2018 2.37 1 7/1/2020 7/1/2020 2.13 2 11/1/2020 12/1/2020 1.97 1 5/1/2020 5/1/2020 1.39 1 9/1/2020 9/1/2020 0.41 1 1/1/2018 1/1/2018 Show More 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 -5.04 2 3/1/2020 4/1/2020 -5.02 1 10/1/2018 10/1/2018 -3.72 2 4/1/2019 5/1/2019 -2.71 1 8/1/2020 8/1/2020 -1.95 1 6/1/2020 6/1/2020 -0.98 2 12/1/2016 1/1/2017 -0.07 1 10/1/2020 10/1/2020 -0.03 1 12/1/2017 12/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods59.0057.0054.0048.0042.0036.0024.00 Percent Profitable71.1968.4274.0791.6792.86100.00100.00 Average Period Return0.963.086.6913.7320.0024.0237.29 Average Gain2.986.2410.1715.1121.6624.0237.29 Average Loss-4.03-3.77-3.27-1.47-1.63 Best Period16.2520.6323.7846.3969.9664.9574.45 Worst Period-12.97-15.96-5.64-2.23-2.404.9511.25 Standard Deviation4.686.158.3412.7717.4617.3017.18 Gain Standard Deviation3.044.106.7312.4417.0117.3017.18 Loss Standard Deviation4.283.791.860.890.73 Sharpe Ratio (1%)0.190.460.741.001.061.271.99 Average Gain / Average Loss0.741.653.1110.2913.31 Profit / Loss Ratio1.823.588.90113.20172.98 Downside Deviation (10%)3.263.493.112.152.811.651.26 Downside Deviation (5%)3.143.062.120.750.85 Downside Deviation (0%)3.112.961.900.480.46 Sortino Ratio (10%)0.170.531.364.064.418.3217.11 Sortino Ratio (5%)0.280.922.9117.0521.71 Sortino Ratio (0%)0.311.043.5228.6943.17 Top Performer Badges Index Award Type Rank Performance Period Discretionary Trader Index Month 10 2.37 7/2020 Discretionary Trader Index Month 8 1.97 5/2020 Discretionary Trader Index Month 9 2.83 2/2020 Discretionary Trader Index Month 8 1.20 1/2020 Discretionary Trader Index Month 8 2.51 12/2019 Discretionary Trader Index Month 4 2.67 11/2019 Discretionary Trader Index Month 7 2.24 10/2019 Discretionary Trader Index Month 9 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 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 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