Global Sigma Group, LLC

Global Sigma Plus Program *QEP*


Monthly Performance (%)

Date Range: 10/09 - 11/18
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2018 0.74 2.18 1.51 1.23 0.07 0.61 0.95 1.04 0.81 0.93 0.84   11.45 
2017 0.95 0.82 0.80 0.80 1.12 0.57 0.44 0.79 0.68 0.90 -0.33 0.95  8.82 
2016 0.65 0.96 1.04 0.96 0.75 1.17 0.68 0.67 0.83 0.65 0.78 0.57  10.15 
2015 1.13 0.96 1.15 0.85 1.44 1.33 1.03 -7.56 2.79 -7.00 1.04 1.26  -2.21 
2014 1.06 1.65 1.39 0.70 0.89 0.74 -0.44 1.69 1.39 -0.12 1.75 1.93  13.35 
2013 0.81 0.96 1.45 0.78 1.09 1.56 0.95 1.11 1.43 1.75 0.89 2.05  15.87 
2012 1.27 1.38 1.75 1.31 1.76 0.12 -0.43 1.06 1.82 1.44 1.45 1.27  15.13 
2011 1.48 1.44 1.63 1.20 1.99 1.22 2.42 -1.55 3.89 1.65 1.92 1.34  20.21 
2010 2.26 1.68 1.24 1.15 3.04 2.13 1.33 0.98 2.51 1.55 1.81 1.43  23.25 
2009 2.13 1.41  3.57 
Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

Global Sigma applies a model-driven, high turnover trading approach to options on the S&P500 futures contract. Global Sigma was formed in late 2009 around the same time the Friday expiry options contract on the S&P500 was launched. The Wednesday expiry contract was launched in Q4 2016. Global Sigma has become one of the most active managers of the weekly expiry S&P500 options contract in the industry.

Performance Statistics

Date Range: 10/09 - 11/18
  Program S&P 500 Altegris 40 
Total Return 203.15% 216.35% 5.49% 
Annualized Return 12.99% 13.39% 0.59% 
Annualized Std. Deviation 4.62% 11.90% 8.74% 
Correlation -0.05 0.08 
Sharpe Ratio (rf=2.5%) 2.27 0.92 -0.22 
Worst Month -7.56% -7.99% -6.10% 
Date of Worst Month 08/2015 05/2010 02/2018 
Worst Drawdown -11.63% -16.26% -15.74% 
Date of Worst Drawdown 7/15 - 10/15 4/11 - 9/11 4/11 - 9/13 
Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 10/09 - 11/18

Year or YTD Program S&P 500 Altegris 40 
2018 11.45 5.11 -4.69 
2017 8.82 21.84 1.24 
2016 10.15 11.98 -3.13 
2015 -2.21 1.41 0.09 
2014 13.35 13.69 15.75 
2013 15.87 32.41 -2.45 
2012 15.13 15.98 -4.75 
2011 20.21 2.12 -3.23 
2010 23.25 15.06 11.33 
2009 3.57 8.05 -0.13 
Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 10/09 - 11/18
Date: 11/30/2018
Perf: $1,082.66 Date: 10/31/2018
Perf: $1,095.81 Date: 9/30/2018
Perf: $1,123.56 Date: 8/31/2018
Perf: $1,128.64 Date: 7/31/2018
Perf: $1,100.57 Date: 6/30/2018
Perf: $1,108.89 Date: 5/31/2018
Perf: $1,099.65 Date: 4/30/2018
Perf: $1,114.03 Date: 3/31/2018
Perf: $1,102.12 Date: 2/28/2018
Perf: $1,103.12 Date: 1/31/2018
Perf: $1,174.78 Date: 12/31/2017
Perf: $1,135.93 Date: 11/30/2017
Perf: $1,123.68 Date: 10/31/2017
Perf: $1,122.22 Date: 9/30/2017
Perf: $1,077.09 Date: 8/31/2017
Perf: $1,100.31 Date: 7/31/2017
Perf: $1,082.34 Date: 6/30/2017
Perf: $1,078.14 Date: 5/31/2017
Perf: $1,110.56 Date: 4/30/2017
Perf: $1,108.46 Date: 3/31/2017
Perf: $1,115.15 Date: 2/28/2017
Perf: $1,131.67 Date: 1/31/2017
Perf: $1,107.53 Date: 12/31/2016
Perf: $1,122.00 Date: 11/30/2016
Perf: $1,113.54 Date: 10/31/2016
Perf: $1,125.92 Date: 9/30/2016
Perf: $1,155.74 Date: 8/31/2016
Perf: $1,170.85 Date: 7/31/2016
Perf: $1,203.21 Date: 6/30/2016
Perf: $1,191.06 Date: 5/31/2016
Perf: $1,142.51 Date: 4/30/2016
Perf: $1,162.86 Date: 3/31/2016
Perf: $1,192.80 Date: 2/29/2016
Perf: $1,228.04 Date: 1/31/2016
Perf: $1,198.56 Date: 12/31/2015
Perf: $1,158.25 Date: 11/30/2015
Perf: $1,185.52 Date: 10/31/2015
Perf: $1,146.42 Date: 9/30/2015
Perf: $1,166.72 Date: 8/31/2015
Perf: $1,141.94 Date: 7/31/2015
Perf: $1,162.05 Date: 6/30/2015
Perf: $1,118.32 Date: 5/31/2015
Perf: $1,179.66 Date: 4/30/2015
Perf: $1,188.22 Date: 3/31/2015
Perf: $1,235.92 Date: 2/28/2015
Perf: $1,209.20 Date: 1/31/2015
Perf: $1,211.14 Date: 12/31/2014
Perf: $1,157.21 Date: 11/30/2014
Perf: $1,137.20 Date: 10/31/2014
Perf: $1,073.33 Date: 9/30/2014
Perf: $1,057.79 Date: 8/31/2014
Perf: $1,042.26 Date: 7/31/2014
Perf: $999.96 Date: 6/30/2014
Perf: $1,008.02 Date: 5/31/2014
Perf: $999.43 Date: 4/30/2014
Perf: $974.48 Date: 3/31/2014
Perf: $967.13 Date: 2/28/2014
Perf: $981.66 Date: 1/31/2014
Perf: $973.67 Date: 12/31/2013
Perf: $999.77 Date: 11/30/2013
Perf: $1,001.17 Date: 10/31/2013
Perf: $983.37 Date: 9/30/2013
Perf: $961.36 Date: 8/31/2013
Perf: $967.16 Date: 7/31/2013
Perf: $986.09 Date: 6/30/2013
Perf: $994.75 Date: 5/31/2013
Perf: $1,033.93 Date: 4/30/2013
Perf: $1,080.39 Date: 3/31/2013
Perf: $1,053.22 Date: 2/28/2013
Perf: $1,038.26 Date: 1/31/2013
Perf: $1,044.32 Date: 12/31/2012
Perf: $1,024.85 Date: 11/30/2012
Perf: $1,019.85 Date: 10/31/2012
Perf: $1,017.00 Date: 9/30/2012
Perf: $1,055.20 Date: 8/31/2012
Perf: $1,072.91 Date: 7/31/2012
Perf: $1,087.70 Date: 6/30/2012
Perf: $1,044.96 Date: 5/31/2012
Perf: $1,085.79 Date: 4/30/2012
Perf: $1,065.54 Date: 3/31/2012
Perf: $1,059.19 Date: 2/29/2012
Perf: $1,083.79 Date: 1/31/2012
Perf: $1,079.36 Date: 12/31/2011
Perf: $1,075.92 Date: 11/30/2011
Perf: $1,065.69 Date: 10/31/2011
Perf: $1,062.50 Date: 9/30/2011
Perf: $1,106.31 Date: 8/31/2011
Perf: $1,106.97 Date: 7/31/2011
Perf: $1,109.19 Date: 6/30/2011
Perf: $1,070.75 Date: 5/31/2011
Perf: $1,099.34 Date: 4/30/2011
Perf: $1,140.98 Date: 3/31/2011
Perf: $1,098.15 Date: 2/28/2011
Perf: $1,115.22 Date: 1/31/2011
Perf: $1,096.57 Date: 12/31/2010
Perf: $1,111.81 Date: 11/30/2010
Perf: $1,066.07 Date: 10/31/2010
Perf: $1,105.20 Date: 9/30/2010
Perf: $1,063.92 Date: 8/31/2010
Perf: $1,044.90 Date: 7/31/2010
Perf: $1,003.36 Date: 6/30/2010
Perf: $1,016.47 Date: 5/31/2010
Perf: $1,012.62 Date: 4/30/2010
Perf: $1,037.74 Date: 3/31/2010
Perf: $1,022.00 Date: 2/28/2010
Perf: $982.97 Date: 1/31/2010
Perf: $973.82 Date: 12/31/2009
Perf: $998.69 Date: 11/30/2009
Perf: $1,040.30 Date: 10/31/2009
Perf: $1,000.00 Date: 11/30/2018
Perf: $3,223.43 Date: 10/31/2018
Perf: $3,158.99 Date: 9/30/2018
Perf: $3,390.93 Date: 8/31/2018
Perf: $3,371.71 Date: 7/31/2018
Perf: $3,265.26 Date: 6/30/2018
Perf: $3,148.15 Date: 5/31/2018
Perf: $3,128.75 Date: 4/30/2018
Perf: $3,055.12 Date: 3/31/2018
Perf: $3,043.56 Date: 2/28/2018
Perf: $3,122.88 Date: 1/31/2018
Perf: $3,242.53 Date: 12/31/2017
Perf: $3,066.80 Date: 11/30/2017
Perf: $3,033.13 Date: 10/31/2017
Perf: $2,942.79 Date: 9/30/2017
Perf: $2,875.78 Date: 8/31/2017
Perf: $2,817.74 Date: 7/31/2017
Perf: $2,809.03 Date: 6/30/2017
Perf: $2,752.33 Date: 5/31/2017
Perf: $2,735.37 Date: 4/30/2017
Perf: $2,697.34 Date: 3/31/2017
Perf: $2,669.84 Date: 2/28/2017
Perf: $2,666.64 Date: 1/31/2017
Perf: $2,564.82 Date: 12/31/2016
Perf: $2,516.99 Date: 11/30/2016
Perf: $2,468.12 Date: 10/31/2016
Perf: $2,380.06 Date: 9/30/2016
Perf: $2,424.18 Date: 8/31/2016
Perf: $2,423.70 Date: 7/31/2016
Perf: $2,420.31 Date: 6/30/2016
Perf: $2,334.18 Date: 5/31/2016
Perf: $2,328.13 Date: 4/30/2016
Perf: $2,286.96 Date: 3/31/2016
Perf: $2,278.08 Date: 2/29/2016
Perf: $2,133.43 Date: 1/31/2016
Perf: $2,136.21 Date: 12/31/2015
Perf: $2,247.69 Date: 11/30/2015
Perf: $2,283.78 Date: 10/31/2015
Perf: $2,276.94 Date: 9/30/2015
Perf: $2,099.73 Date: 8/31/2015
Perf: $2,152.90 Date: 7/31/2015
Perf: $2,291.05 Date: 6/30/2015
Perf: $2,243.93 Date: 5/31/2015
Perf: $2,288.33 Date: 4/30/2015
Perf: $2,259.18 Date: 3/31/2015
Perf: $2,237.70 Date: 2/28/2015
Perf: $2,273.62 Date: 1/31/2015
Perf: $2,150.00 Date: 12/31/2014
Perf: $2,216.49 Date: 11/30/2014
Perf: $2,222.05 Date: 10/31/2014
Perf: $2,163.84 Date: 9/30/2014
Perf: $2,112.30 Date: 8/31/2014
Perf: $2,142.29 Date: 7/31/2014
Perf: $2,059.90 Date: 6/30/2014
Perf: $2,088.72 Date: 5/31/2014
Perf: $2,046.36 Date: 4/30/2014
Perf: $1,999.38 Date: 3/31/2014
Perf: $1,984.69 Date: 2/28/2014
Perf: $1,968.16 Date: 1/31/2014
Perf: $1,882.14 Date: 12/31/2013
Perf: $1,949.60 Date: 11/30/2013
Perf: $1,901.49 Date: 10/31/2013
Perf: $1,845.21 Date: 9/30/2013
Perf: $1,764.07 Date: 8/31/2013
Perf: $1,710.36 Date: 7/31/2013
Perf: $1,761.44 Date: 6/30/2013
Perf: $1,676.13 Date: 5/31/2013
Perf: $1,698.89 Date: 4/30/2013
Perf: $1,660.05 Date: 3/31/2013
Perf: $1,628.62 Date: 2/28/2013
Perf: $1,569.75 Date: 1/31/2013
Perf: $1,548.69 Date: 12/31/2012
Perf: $1,472.42 Date: 11/30/2012
Perf: $1,459.14 Date: 10/31/2012
Perf: $1,450.72 Date: 9/30/2012
Perf: $1,478.07 Date: 8/31/2012
Perf: $1,440.89 Date: 7/31/2012
Perf: $1,409.19 Date: 6/30/2012
Perf: $1,389.87 Date: 5/31/2012
Perf: $1,334.87 Date: 4/30/2012
Perf: $1,420.23 Date: 3/31/2012
Perf: $1,429.23 Date: 2/29/2012
Perf: $1,383.71 Date: 1/31/2012
Perf: $1,326.41 Date: 12/31/2011
Perf: $1,269.53 Date: 11/30/2011
Perf: $1,256.71 Date: 10/31/2011
Perf: $1,259.48 Date: 9/30/2011
Perf: $1,135.39 Date: 8/31/2011
Perf: $1,221.24 Date: 7/31/2011
Perf: $1,291.36 Date: 6/30/2011
Perf: $1,318.12 Date: 5/31/2011
Perf: $1,340.50 Date: 4/30/2011
Perf: $1,355.82 Date: 3/31/2011
Perf: $1,316.85 Date: 2/28/2011
Perf: $1,316.32 Date: 1/31/2011
Perf: $1,272.67 Date: 12/31/2010
Perf: $1,243.20 Date: 11/30/2010
Perf: $1,165.36 Date: 10/31/2010
Perf: $1,165.24 Date: 9/30/2010
Perf: $1,122.47 Date: 8/31/2010
Perf: $1,030.55 Date: 7/31/2010
Perf: $1,079.22 Date: 6/30/2010
Perf: $1,008.52 Date: 5/31/2010
Perf: $1,064.18 Date: 4/30/2010
Perf: $1,156.59 Date: 3/31/2010
Perf: $1,138.60 Date: 2/28/2010
Perf: $1,073.85 Date: 1/31/2010
Perf: $1,041.56 Date: 12/31/2009
Perf: $1,080.46 Date: 11/30/2009
Perf: $1,060.00 Date: 10/31/2009
Perf: $1,000.00 Date: 11/30/2018
Perf: $3,031.50 Date: 10/31/2018
Perf: $3,006.25 Date: 9/30/2018
Perf: $2,978.55 Date: 8/31/2018
Perf: $2,954.61 Date: 7/31/2018
Perf: $2,924.20 Date: 6/30/2018
Perf: $2,896.68 Date: 5/31/2018
Perf: $2,879.12 Date: 4/30/2018
Perf: $2,877.11 Date: 3/31/2018
Perf: $2,842.15 Date: 2/28/2018
Perf: $2,799.87 Date: 1/31/2018
Perf: $2,740.13 Date: 12/31/2017
Perf: $2,720.01 Date: 11/30/2017
Perf: $2,694.41 Date: 10/31/2017
Perf: $2,703.33 Date: 9/30/2017
Perf: $2,679.22 Date: 8/31/2017
Perf: $2,661.12 Date: 7/31/2017
Perf: $2,640.26 Date: 6/30/2017
Perf: $2,628.70 Date: 5/31/2017
Perf: $2,613.80 Date: 4/30/2017
Perf: $2,584.85 Date: 3/31/2017
Perf: $2,564.33 Date: 2/28/2017
Perf: $2,543.98 Date: 1/31/2017
Perf: $2,523.29 Date: 12/31/2016
Perf: $2,499.55 Date: 11/30/2016
Perf: $2,485.38 Date: 10/31/2016
Perf: $2,466.14 Date: 9/30/2016
Perf: $2,450.22 Date: 8/31/2016
Perf: $2,430.05 Date: 7/31/2016
Perf: $2,413.87 Date: 6/30/2016
Perf: $2,397.57 Date: 5/31/2016
Perf: $2,369.84 Date: 4/30/2016
Perf: $2,352.20 Date: 3/31/2016
Perf: $2,329.84 Date: 2/29/2016
Perf: $2,305.85 Date: 1/31/2016
Perf: $2,283.93 Date: 12/31/2015
Perf: $2,269.18 Date: 11/30/2015
Perf: $2,240.94 Date: 10/31/2015
Perf: $2,217.88 Date: 9/30/2015
Perf: $2,384.81 Date: 8/31/2015
Perf: $2,320.08 Date: 7/31/2015
Perf: $2,509.83 Date: 6/30/2015
Perf: $2,484.24 Date: 5/31/2015
Perf: $2,451.63 Date: 4/30/2015
Perf: $2,416.83 Date: 3/31/2015
Perf: $2,396.46 Date: 2/28/2015
Perf: $2,369.21 Date: 1/31/2015
Perf: $2,346.69 Date: 12/31/2014
Perf: $2,320.47 Date: 11/30/2014
Perf: $2,276.53 Date: 10/31/2014
Perf: $2,237.37 Date: 9/30/2014
Perf: $2,240.06 Date: 8/31/2014
Perf: $2,209.35 Date: 7/31/2014
Perf: $2,172.63 Date: 6/30/2014
Perf: $2,182.24 Date: 5/31/2014
Perf: $2,166.21 Date: 4/30/2014
Perf: $2,147.10 Date: 3/31/2014
Perf: $2,132.17 Date: 2/28/2014
Perf: $2,102.94 Date: 1/31/2014
Perf: $2,068.81 Date: 12/31/2013
Perf: $2,047.11 Date: 11/30/2013
Perf: $2,005.98 Date: 10/31/2013
Perf: $1,988.29 Date: 9/30/2013
Perf: $1,954.09 Date: 8/31/2013
Perf: $1,926.54 Date: 7/31/2013
Perf: $1,905.39 Date: 6/30/2013
Perf: $1,887.46 Date: 5/31/2013
Perf: $1,858.47 Date: 4/30/2013
Perf: $1,838.43 Date: 3/31/2013
Perf: $1,824.20 Date: 2/28/2013
Perf: $1,798.13 Date: 1/31/2013
Perf: $1,781.03 Date: 12/31/2012
Perf: $1,766.72 Date: 11/30/2012
Perf: $1,744.56 Date: 10/31/2012
Perf: $1,719.63 Date: 9/30/2012
Perf: $1,695.22 Date: 8/31/2012
Perf: $1,664.92 Date: 7/31/2012
Perf: $1,647.45 Date: 6/30/2012
Perf: $1,654.57 Date: 5/31/2012
Perf: $1,652.59 Date: 4/30/2012
Perf: $1,624.00 Date: 3/31/2012
Perf: $1,603.00 Date: 2/29/2012
Perf: $1,575.43 Date: 1/31/2012
Perf: $1,553.99 Date: 12/31/2011
Perf: $1,534.50 Date: 11/30/2011
Perf: $1,514.21 Date: 10/31/2011
Perf: $1,485.69 Date: 9/30/2011
Perf: $1,461.57 Date: 8/31/2011
Perf: $1,406.84 Date: 7/31/2011
Perf: $1,428.99 Date: 6/30/2011
Perf: $1,395.23 Date: 5/31/2011
Perf: $1,378.41 Date: 4/30/2011
Perf: $1,351.52 Date: 3/31/2011
Perf: $1,335.49 Date: 2/28/2011
Perf: $1,314.07 Date: 1/31/2011
Perf: $1,295.42 Date: 12/31/2010
Perf: $1,276.52 Date: 11/30/2010
Perf: $1,258.53 Date: 10/31/2010
Perf: $1,236.15 Date: 9/30/2010
Perf: $1,217.29 Date: 8/31/2010
Perf: $1,187.48 Date: 7/31/2010
Perf: $1,175.96 Date: 6/30/2010
Perf: $1,160.52 Date: 5/31/2010
Perf: $1,136.32 Date: 4/30/2010
Perf: $1,102.79 Date: 3/31/2010
Perf: $1,090.25 Date: 2/28/2010
Perf: $1,076.90 Date: 1/31/2010
Perf: $1,059.11 Date: 12/31/2009
Perf: $1,035.70 Date: 11/30/2009
Perf: $1,021.30 Date: 10/31/2009
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns

Date Range: 10/09 - 11/18
Date: 11/30/2018
Return: 0.84 % Date: 10/31/2018
Return: 0.93 % Date: 9/30/2018
Return: 0.81 % Date: 8/31/2018
Return: 1.04 % Date: 7/31/2018
Return: 0.95 % Date: 6/30/2018
Return: 0.61 % Date: 5/31/2018
Return: 0.07 % Date: 4/30/2018
Return: 1.23 % Date: 3/31/2018
Return: 1.51 % Date: 2/28/2018
Return: 2.18 % Date: 1/31/2018
Return: 0.74 % Date: 12/31/2017
Return: 0.95 % Date: 11/30/2017
Return: -0.33 % Date: 10/31/2017
Return: 0.90 % Date: 9/30/2017
Return: 0.68 % Date: 8/31/2017
Return: 0.79 % Date: 7/31/2017
Return: 0.44 % Date: 6/30/2017
Return: 0.57 % Date: 5/31/2017
Return: 1.12 % Date: 4/30/2017
Return: 0.80 % Date: 3/31/2017
Return: 0.80 % Date: 2/28/2017
Return: 0.82 % Date: 1/31/2017
Return: 0.95 % Date: 12/31/2016
Return: 0.57 % Date: 11/30/2016
Return: 0.78 % Date: 10/31/2016
Return: 0.65 % Date: 9/30/2016
Return: 0.83 % Date: 8/31/2016
Return: 0.67 % Date: 7/31/2016
Return: 0.68 % Date: 6/30/2016
Return: 1.17 % Date: 5/31/2016
Return: 0.75 % Date: 4/30/2016
Return: 0.96 % Date: 3/31/2016
Return: 1.04 % Date: 2/29/2016
Return: 0.96 % Date: 1/31/2016
Return: 0.65 % Date: 12/31/2015
Return: 1.26 % Date: 11/30/2015
Return: 1.04 % Date: 10/31/2015
Return: -7.00 % Date: 9/30/2015
Return: 2.79 % Date: 8/31/2015
Return: -7.56 % Date: 7/31/2015
Return: 1.03 % Date: 6/30/2015
Return: 1.33 % Date: 5/31/2015
Return: 1.44 % Date: 4/30/2015
Return: 0.85 % Date: 3/31/2015
Return: 1.15 % Date: 2/28/2015
Return: 0.96 % Date: 1/31/2015
Return: 1.13 % Date: 12/31/2014
Return: 1.93 % Date: 11/30/2014
Return: 1.75 % Date: 10/31/2014
Return: -0.12 % Date: 9/30/2014
Return: 1.39 % Date: 8/31/2014
Return: 1.69 % Date: 7/31/2014
Return: -0.44 % Date: 6/30/2014
Return: 0.74 % Date: 5/31/2014
Return: 0.89 % Date: 4/30/2014
Return: 0.70 % Date: 3/31/2014
Return: 1.39 % Date: 2/28/2014
Return: 1.65 % Date: 1/31/2014
Return: 1.06 % Date: 12/31/2013
Return: 2.05 % Date: 11/30/2013
Return: 0.89 % Date: 10/31/2013
Return: 1.75 % Date: 9/30/2013
Return: 1.43 % Date: 8/31/2013
Return: 1.11 % Date: 7/31/2013
Return: 0.95 % Date: 6/30/2013
Return: 1.56 % Date: 5/31/2013
Return: 1.09 % Date: 4/30/2013
Return: 0.78 % Date: 3/31/2013
Return: 1.45 % Date: 2/28/2013
Return: 0.96 % Date: 1/31/2013
Return: 0.81 % Date: 12/31/2012
Return: 1.27 % Date: 11/30/2012
Return: 1.45 % Date: 10/31/2012
Return: 1.44 % Date: 9/30/2012
Return: 1.82 % Date: 8/31/2012
Return: 1.06 % Date: 7/31/2012
Return: -0.43 % Date: 6/30/2012
Return: 0.12 % Date: 5/31/2012
Return: 1.76 % Date: 4/30/2012
Return: 1.31 % Date: 3/31/2012
Return: 1.75 % Date: 2/29/2012
Return: 1.38 % Date: 1/31/2012
Return: 1.27 % Date: 12/31/2011
Return: 1.34 % Date: 11/30/2011
Return: 1.92 % Date: 10/31/2011
Return: 1.65 % Date: 9/30/2011
Return: 3.89 % Date: 8/31/2011
Return: -1.55 % Date: 7/31/2011
Return: 2.42 % Date: 6/30/2011
Return: 1.22 % Date: 5/31/2011
Return: 1.99 % Date: 4/30/2011
Return: 1.20 % Date: 3/31/2011
Return: 1.63 % Date: 2/28/2011
Return: 1.44 % Date: 1/31/2011
Return: 1.48 % Date: 12/31/2010
Return: 1.43 % Date: 11/30/2010
Return: 1.81 % Date: 10/31/2010
Return: 1.55 % Date: 9/30/2010
Return: 2.51 % Date: 8/31/2010
Return: 0.98 % Date: 7/31/2010
Return: 1.33 % Date: 6/30/2010
Return: 2.13 % Date: 5/31/2010
Return: 3.04 % Date: 4/30/2010
Return: 1.15 % Date: 3/31/2010
Return: 1.24 % Date: 2/28/2010
Return: 1.68 % Date: 1/31/2010
Return: 2.26 % Date: 12/31/2009
Return: 1.41 % Date: 11/30/2009
Return: 2.13 % Date: 10/31/2009
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 10/09 - 11/18
Return: -7.00 %
Count: 1 Return: -8.00 %
Count: 1 Return: 4.00 %
Count: 1 Return: -2.00 %
Count: 1 Return: 3.00 %
Count: 3 Return: 1.00 %
Count: 72 Return: 2.00 %
Count: 23 Return: 0.00 %
Count: 8
Note: All performance data is since program inception.

Underwater Curve

Date Range: 10/09 - 11/18
Date: 11/30/2018
Drawdown: 0.00 % Date: 10/31/2018
Drawdown: 0.00 % Date: 9/30/2018
Drawdown: 0.00 % Date: 8/31/2018
Drawdown: 0.00 % Date: 7/31/2018
Drawdown: 0.00 % Date: 6/30/2018
Drawdown: 0.00 % Date: 5/31/2018
Drawdown: 0.00 % Date: 4/30/2018
Drawdown: 0.00 % Date: 3/31/2018
Drawdown: 0.00 % Date: 2/28/2018
Drawdown: 0.00 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: -0.33 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: 0.00 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: 0.00 % Date: 5/31/2017
Drawdown: 0.00 % Date: 4/30/2017
Drawdown: 0.00 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: 0.00 % Date: 1/31/2017
Drawdown: 0.00 % Date: 12/31/2016
Drawdown: -0.41 % Date: 11/30/2016
Drawdown: -0.97 % Date: 10/31/2016
Drawdown: -1.74 % Date: 9/30/2016
Drawdown: -2.38 % Date: 8/31/2016
Drawdown: -3.18 % Date: 7/31/2016
Drawdown: -3.82 % Date: 6/30/2016
Drawdown: -4.47 % Date: 5/31/2016
Drawdown: -5.58 % Date: 4/30/2016
Drawdown: -6.28 % Date: 3/31/2016
Drawdown: -7.17 % Date: 2/29/2016
Drawdown: -8.13 % Date: 1/31/2016
Drawdown: -9.00 % Date: 12/31/2015
Drawdown: -9.59 % Date: 11/30/2015
Drawdown: -10.71 % Date: 10/31/2015
Drawdown: -11.63 % Date: 9/30/2015
Drawdown: -4.98 % Date: 8/31/2015
Drawdown: -7.56 % Date: 7/31/2015
Drawdown: 0.00 % Date: 6/30/2015
Drawdown: 0.00 % Date: 5/31/2015
Drawdown: 0.00 % Date: 4/30/2015
Drawdown: 0.00 % Date: 3/31/2015
Drawdown: 0.00 % Date: 2/28/2015
Drawdown: 0.00 % Date: 1/31/2015
Drawdown: 0.00 % Date: 12/31/2014
Drawdown: 0.00 % Date: 11/30/2014
Drawdown: 0.00 % Date: 10/31/2014
Drawdown: -0.12 % Date: 9/30/2014
Drawdown: 0.00 % Date: 8/31/2014
Drawdown: 0.00 % Date: 7/31/2014
Drawdown: -0.44 % Date: 6/30/2014
Drawdown: 0.00 % Date: 5/31/2014
Drawdown: 0.00 % Date: 4/30/2014
Drawdown: 0.00 % Date: 3/31/2014
Drawdown: 0.00 % Date: 2/28/2014
Drawdown: 0.00 % Date: 1/31/2014
Drawdown: 0.00 % Date: 12/31/2013
Drawdown: 0.00 % Date: 11/30/2013
Drawdown: 0.00 % Date: 10/31/2013
Drawdown: 0.00 % Date: 9/30/2013
Drawdown: 0.00 % Date: 8/31/2013
Drawdown: 0.00 % Date: 7/31/2013
Drawdown: 0.00 % Date: 6/30/2013
Drawdown: 0.00 % Date: 5/31/2013
Drawdown: 0.00 % Date: 4/30/2013
Drawdown: 0.00 % Date: 3/31/2013
Drawdown: 0.00 % Date: 2/28/2013
Drawdown: 0.00 % Date: 1/31/2013
Drawdown: 0.00 % Date: 12/31/2012
Drawdown: 0.00 % Date: 11/30/2012
Drawdown: 0.00 % Date: 10/31/2012
Drawdown: 0.00 % Date: 9/30/2012
Drawdown: 0.00 % Date: 8/31/2012
Drawdown: 0.00 % Date: 7/31/2012
Drawdown: -0.43 % Date: 6/30/2012
Drawdown: 0.00 % Date: 5/31/2012
Drawdown: 0.00 % Date: 4/30/2012
Drawdown: 0.00 % Date: 3/31/2012
Drawdown: 0.00 % Date: 2/29/2012
Drawdown: 0.00 % Date: 1/31/2012
Drawdown: 0.00 % Date: 12/31/2011
Drawdown: 0.00 % Date: 11/30/2011
Drawdown: 0.00 % Date: 10/31/2011
Drawdown: 0.00 % Date: 9/30/2011
Drawdown: 0.00 % Date: 8/31/2011
Drawdown: -1.55 % Date: 7/31/2011
Drawdown: 0.00 % Date: 6/30/2011
Drawdown: 0.00 % Date: 5/31/2011
Drawdown: 0.00 % Date: 4/30/2011
Drawdown: 0.00 % Date: 3/31/2011
Drawdown: 0.00 % Date: 2/28/2011
Drawdown: 0.00 % Date: 1/31/2011
Drawdown: 0.00 % Date: 12/31/2010
Drawdown: 0.00 % Date: 11/30/2010
Drawdown: 0.00 % Date: 10/31/2010
Drawdown: 0.00 % Date: 9/30/2010
Drawdown: 0.00 % Date: 8/31/2010
Drawdown: 0.00 % Date: 7/31/2010
Drawdown: 0.00 % Date: 6/30/2010
Drawdown: 0.00 % Date: 5/31/2010
Drawdown: 0.00 % Date: 4/30/2010
Drawdown: 0.00 % Date: 3/31/2010
Drawdown: 0.00 % Date: 2/28/2010
Drawdown: 0.00 % Date: 1/31/2010
Drawdown: 0.00 % Date: 12/31/2009
Drawdown: 0.00 % Date: 11/30/2009
Drawdown: 0.00 %
Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:  Global Sigma Group, LLC
Address: 1900 Glades Road, Suite 430
City: Boca Raton
State: FL
Zip: 33431
Country: USA

Key People

Name:  Hanming Rao
Position:  Principal
Biography: 

Hanming Rao is GSG’s sole investment manager and has 11 years’ experiences in trading financial markets using proprietary models that he has developed. Mr. Rao became registered as a principal and an associated person of GSG on March 3, 2010. Dr. Rao started his financial career as a research quant at Ellington Management Group in Old Greenwich, Connecticut in early 2005. In 2006 Dr. Rao joined SAC capital management in New York, NY as a global macro trader/analyst. He mainly focused on trading liquid assets including currency, interest rate swap, global equity index / ETF, commodity, commodity related ETF and options on all those markets. In 2008, Dr. Rao took an asset management roll at SAC’s headquarter in Stamford, Connecticut. He was in charged of managing SAC’s legacy assets including Foreign Bond, Junk Bond, Convertible Bond, Government CDS, Corporate CDS, Loan CDS, High Yield Bond, High Yield Index, etc. In early 2009 Dr. Rao joined Millennium Partners at New York, NY as a vice president. His responsibility was to develop statistical models in ETF and Futures market. In December 2009, Dr. Rao founded GSG to provide investment management to outside clients. Currently he is constantly seeking new opportunities in the financial market in order to improve the existing prediction, trading and risk models. Dr. Rao received his BS in Electronic Engineering from Tsinghua University, Beijing, China in July 1997, his MS in Computer Sciences and PhD in Engineering Sciences both from Harvard Universities, Cambridge, MA in June 1998 and March 2005 respectively. Dr. Rao’s PhD thesis is Theory and Implementation of a Truly Random Number Generator. He designed an algorithm and built a hardware device to extract randomness from Po-210, a radioactive material that emits alpha particles. He had a related pending invention patent. Dr. Rao ranked 17th in the China Olympiad Physics Competition in 1991. He won best experiment prize and 2nd place overall in Guangdong Province Olympiad Physics Competition in 1991.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Investment Methodology
 Fundamental Analysis Yes 
 Technical Yes 
 Systematic Yes 
 Sector Specialist Yes 
 Counter-trend Yes 
 Mean-reversion Yes 
 Pattern Recognition Yes 
 Quantitative Analysis Yes 
 Volatility Trading Yes 
 Options Writing Yes 
 Instruments Traded
 Futures Yes 
 Listed Options Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Medium Term Yes 
 Short Term Yes 
 Intra-Week Yes 
 Intra-Day Yes 
 Investment Terms & Information
 Managed Account Minimum: $500,000 
 Margin / Equity Ratio: 40% 
 Managed Account Availability: Open