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

Summary

The 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 Strategy

The 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 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