GLOBAL SIGMA GROUP 45 Church Street | Stamford CT 06906 | - - PowerPoint PPT Presentation

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GLOBAL SIGMA GROUP 45 Church Street | Stamford CT 06906 | - - PowerPoint PPT Presentation

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GLOBAL SIGMA PLUS PROGRAM GLOBAL SIGMA GROUP 45 Church Street | Stamford CT 06906 | 203-662-6664 DISCLAIMER PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS

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GLOBAL SIGMA GROUP

45 Church Street | Stamford CT 06906 | 203-662-6664

GLOBAL SIGMA PLUS PROGRAM

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GLOBAL SIGMA GROUP

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS ACCOUNT DOCUMENT OR BROCHURE OF THE TRADING ADVISOR IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF THE COMMODITY TRADING ADVISOR'S DISCLOSURE INFORMATION. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS ACCOUNT DOCUMENT OR BROCHURE. CLIENTS PARTICIPATING IN THE TRADING ADVISOR'S TRADING PROGRAM ARE CAUTIONED THAT ANY PERFORMANCE INFORMATION SET FORTH BELOW IS NOT INDICATIVE OF, AND HAS NO BEARING ON ANY TRADING RESULTS WHICH MAY BE ATTAINED IN THE FUTURE BY THE TRADING ADVISOR OR A PARTICIPATING CLIENT ACCOUNT, SINCE PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THERE CAN BE NO ASSURANCE THAT A PARTICIPATING CLIENT WILL MAKE ANY PROFITS OR WILL BE ABLE TO AVOID INCURRING SUBSTANTIAL LOSSES. AN INVESTMENT IN THE TRADING PROGRAM INVOLVES A HIGH DEGREE OF RISK, INCLUDING THE POSSIBILITY OF A TOTAL LOSS THEREOF. THE TRADING ADVISOR AND ITS AFFILIATES MAY ALSO FACE CERTAIN CONFLICTS OF INTEREST IN RELATION TO MANAGING MULTIPLE CLIENT ACCOUNTS. EACH RECIPIENT OF THIS INFORMATION SHOULD CONDUCT SUCH AN INVESTIGATION AS IT DEEMS NECESSARY TO ARRIVE AT AN INDEPENDENT EVALUATION OF AN INVESTMENT IN THE PROGRAM, AND SHOULD CONSULT HIS, HER OR ITS OWN LEGAL COUNSEL, NANCIAL, ACCOUNTING, AND TAX ADVISORS TO DETERMINE THE CONSEQUENCES OF SUCH AN INVESTMENT. THE INFORMATION SET FORTH IN THIS DOCUMENT AND IN THE ACCOMPANYING PRESENTATION IS NOT TO BE DISTRIBUTED OR FORWARDED TO ANY OTHER

  • PERSON. ANY FURTHER DISTRIBUTION, FORWARDING OR REPRODUCTION OF THE INFORMATION SET FORTH IN THIS

PRESENTATION IN WHOLE OR IN PART IS UNAUTHORIZED. PER CFTC RULE 4.7, THIS DOCUMENT IS FOR QEP(QUALIFIED ELIGIBLE PERSONS) ONLY. THIS COMMUNICATION IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO PURCHASE ANY SECURITY OR INVEST IN ANY MANAGED FUTURES PRODUCT. ANY SUCH OFFER OR SOLICITATION CAN BE MADE ONLY BY MEANS OF A 4.7 EXEMPT DISCLOSURE DOCUMENT AND TRADING AUTHORIZATION AGREEMENT (WHICH CONTAIN A DETAILED DESCRIPTION OF RISK FACTORS).

DISCLAIMER

Past performance is not indicative of future results

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GLOBAL SIGMA GROUP

  • Strategy

Global Sigma Plus is a short term “mean reversion” trading program focused on S&P 500 Futures and Options. It has average 5 days holding period vs. 2-3 months for other programs. Shorter trading time frame and higher turnover reduce program volatility exposure and draw downs.

  • High Transparency and Liquidity

Global Sigma Plus is available through managed accounts and offers daily

  • transparency. We trade liquid product and can offer weekly liquidity

without affecting performance.

  • Risk Adjusted Returns

The program has realized a Sharpe Ratio of 6.6 since inception – ranked as top 5 in the Option Strategy category by BarclayHedge.

  • Negative/Low Correlation With Major Indices

Global Sigma Plus is negatively correlated with other major indices such as S&P500(-16%), Barclay CTA Index(-4%), HFR Index(-14%) and offers great diversification value to investors.

GLOBAL SIGMA GROUP

Past performance is not indicative of future results

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Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD 2013

0.81% 0.96% 1.45% 0.78% 1.09% 5.19% 0.00%

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%

  • 0.43%

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%

  • 1.55%

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% 0.00%

2009

2.13% 1.41% 3.57% 0.00% 85.85% 6.50 18.88% 1.51% 3.89%

  • 1.55%
  • 1.55%
  • 0.16

$66M 2% 20% $250K

Monthly Net Performance after 2-20 fees Statistics (after 2-20 fees)

LTD Return Sharpe Ratio

Growth of $1000 - Monthly

Correlation with S&P500 AUM Management Fee Performance Fee Minimum Investment Annual Return Avg Monthly Return Max Month Return Min Month Return Max Draw Down

  • 2%
  • 1%

0% 1% 2% 3% 4% $950 $1,000 $1,050 $1,100 $1,150 $1,200 $1,250 $1,300 $1,350 $1,400 $1,450 $1,500 $1,550 $1,600 $1,650 $1,700 $1,750 $1,800 $1,850 $1,900 $1,950

Nov-09Apr-10Sep-10 Feb-11Jul-11Dec-11 May-12 Oct-12Mar-13

Monthly Return GSP S&P500 Barclays CTA Index

4 4 4

GLOBAL SIGMA GROUP

PERFORMANCE AND STATISTICS

Past performance is not indicative of future results

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GLOBAL SIGMA GROUP

RETURN DISTRIBUTION

Past performance is not indicative of future results Data for latest month may be unavailable or estimated

85.85%

57.38% 3.32% 20.32% 0% 20% 40% 60% 80% 100% GSP S&P500 CTA HFRI

Cumulative Net Returns of GSP program Since Inception

  • vs. Market Averages | November 2009 - May 2013

10 20 30 40

  • 15%
  • 10%
  • 5%
  • 4%
  • 3%
  • 2%
  • 1%

0% 1% 2% 3% 4% 5% 10% 15%

Distribution of Net Returns Since Inception vs. S&P 500

S&P500 GSP

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GLOBAL SIGMA GROUP

CORRELATION STUDIES

Past performance is not indicative of future results Data for latest month may be unavailable or estimated

Global Sigma Plus is positively correlated with VIX, negatively correlated with the S&P500, Barclay CTA index, Hedge Fund Index, and several biggest CTA programs.

Correlation GSP S&P500 VIX CTA HFRI Bridge Water Winton AHL TransTre nd (DTP) Aspect Capital Graham (K4D10) Campbell (FME) Atis (GFP) Beach Horizon Welton GSP 100%

  • 16%

19%

  • 4%
  • 14%
  • 5%
  • 13%
  • 19%
  • 6%
  • 8%
  • 16%
  • 19%
  • 13%
  • 6%
  • 10%

S&P500 100%

  • 78%

17% 89% 0% 6% 15% 26% 10% 28% 21% 30% 10% 33% VIX 100%

  • 4%
  • 63%

5% 6%

  • 10%
  • 4%

4%

  • 6%

4%

  • 16%

5%

  • 10%

CTA 100% 33% 62% 81% 74% 85% 87% 78% 85% 80% 89% 88% HFRI 100% 10% 22% 28% 37% 25% 42% 38% 44% 22% 47% Bridge Water 100% 60% 60% 32% 69% 35% 49% 41% 59% 52% Winton 100% 76% 73% 93% 78% 78% 74% 83% 78% AHL 100% 59% 80% 69% 70% 70% 67% 66% TransTrend (DTP) 100% 74% 75% 78% 75% 80% 81% Aspect Capital 100% 75% 81% 80% 88% 82% Graham (K4D10) 100% 82% 74% 64% 83% Campbell (FME) 100% 75% 74% 78% Atis (GFP) 100% 72% 79% Beach Horizon 100% 82% Welton 100%

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GLOBAL SIGMA GROUP

COMPARATIVE PERFORMANCE

Past performance is not indicative of future results Data for latest month may be unavailable or estimated

  • 30%
  • 10%

10% 30% 50% 70% 90% 110% Nov-09 Jan-10 Mar-10 May-10 Jul -10 Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul -11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul -12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 GSP S&P500 CTA HFRI Bridge Water Winton AHL TransTrend (DTP) Aspect Capital Graham (K4D10) Campbell (FME) Atis (GFP) Beach Horizon Welton

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GLOBAL SIGMA GROUP

Hanming Rao, CEO and Founder

Global Sigma Group Rao started Global Sigma Group in December 2009, with a primary focus on US domestic Equity index futures and options market. GSG has been a registered CTA since March 2010 and Dr. Rao is an Associated Person and Principal of GSG. Millennium Partners, Statistical Arbitrage Trader, January 2009 – June 2009 SAC Capital Advisors, Global Macro Trader, June 2006 – Jan 2009 Traded in a large variety of markets, including ETF, Index, Commodity, Currency, Interest Rate Swap, CDS, Sub Prime Index, LCDS, Hybrid bond, High-yield Bond, and derivatives on these products. Ellington Management Group, Quantitative Analyst, Jan 2005- Jun 2006 Hybrid ARM prepayment modeling. Harvard University, Cambridge, MA PhD in Engineering Sciences, March 2005 Master in Computer Sciences, June 1998 Tsinghua University, Beijing, China Bachelor of Engineering, June 1997

FOUNDER BIOGRAPHY

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GLOBAL SIGMA GROUP

Beijing Research Center, Beijing, China Head: Dr. Xiaoming He

Global Sigma Group Xiaoming leads a team in Beijing to provide R&D / back office support for GSG. Beijing Jiaotong University, School of Economics and Management, Associated Professor, September 2010 – Present Texas A&M University, Texas, USA, PhD in Management, August 2010 University of Nottingham, UK, Master in Finance and Investment, December 2003 UIBE, Beijing, China, Master in Management, July 2002

Researchers:

A team of Financial Mathematics/Engineering students from Peking Universities

Trading/Operation/Sales team, Stamford headquarter, USA

1 full time Junior assistant covering operation & trading 1 Associated Person covering sales 1 Intern

RESEARCH & TRADING

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GLOBAL SIGMA GROUP

Our Investment philosophy consists of three key components:

  • Liquidity

After witnessing the vacuum market conditions of the toxic assets in 2008, we decide to put liquidity as first priority. Losing money is bad for an investment manager; losing money and leaving investors with illiquid positions is simply unacceptable.

  • Risk Control

Our risk management system is designed to produce consistent returns with controlled volatility instead of occasionally outsized returns as experienced in most trend following systems.

  • Alpha Strategy

Our alpha strategy is generated by rigorous mathematical and quantitative models. We not only look at absolute returns but also focus

  • n risk adjusted returns.

INVESTMENT PHILOSOPHY

Past performance is not indicative of future results

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GLOBAL SIGMA GROUP

  • Global Sigma Plus invests in S&P 500 Futures and Options with the objective
  • f achieving consistent capital growth, which is uncorrelated or negatively

correlated with the S&P 500 index, CTA Index, or any other major hedge fund indices. The goal is to achieve consistent absolute returns in all likely future market scenarios and to provide added-value as a diversification to portfolios that already have other assets, such as trend-following or momentum strategies.

  • The program is model-driven. It generates alpha from both volatility and

directional market. The program may express its market views by shorting calls at intermediate term tops, shorting puts at intermediate bottoms and shorting strangles at range market. It may also long or short futures to hedge the portfolio risk.

INVESTMENT STRATEGY

Past performance is not indicative of future results

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GLOBAL SIGMA GROUP

Global Sigma Plus has demonstrated risk management control during market turmoil

CAPITAL PRESERVATION

Past performance is not indicative of future results

  • 10%
  • 8%
  • 6%
  • 4%
  • 2%

0% 2% 4% 6% Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Jan-10 May-10 Jun-10 Aug-10 Nov-10 Mar-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Nov-11 Apr-12 May-12 Oct-12 S&P500 -3.70% -8.20% -5.39% -4.74% -0.23% -0.10% -1.35% -1.83% -2.15% -5.68% -7.18% -0.51% -0.75% -6.27% -1.98% GSP 2.26% 3.04% 2.13% 0.98% 1.81% 1.63% 1.99% 1.22% 2.42% -1.55% 3.89% 1.88% 1.30% 1.70% 1.44%

Monthly GSP return when S&P500 is down

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GLOBAL SIGMA GROUP

  • Our model constantly scans the market to find best risk reward trades
  • When we sell options, we typically focus on two standard deviation strikes,

meaning about 95% of the time, those options will expire out of money.

  • Determine if initial hedging necessary (e.g. long options or long/short

futures to hedge)

  • Identify possible mispricing using our quantitative model

INVESTMENT PROCESS

Past performance is not indicative of future results

Identify Investment Opportunities Risk Management Execution Position Sizing

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GLOBAL SIGMA GROUP

  • Determine position size based on existing positions, risk control and risk

reward.

  • Reduce position size when our fat tail model generates warnings

INVESTMENT PROCESS

Past performance is not indicative of future results

Identify Investment Opportunities Risk Management Execution Position Sizing

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GLOBAL SIGMA GROUP

  • Determine if breaking down orders necessary
  • Execute order electronically with multiple broker trading platforms with

broker assisted trading desk as a back up

  • Allocate trades to different managed accounts properly

INVESTMENT PROCESS

Past performance is not indicative of future results

Identify Investment Opportunities Risk Management Execution Position Sizing

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GLOBAL SIGMA GROUP

  • Monitor portfolio risk by different variables such as absolute draw down,

Delta, Gamma and Vega exposures

  • Neutralize delta and gamma risk when portfolio hits 3% draw down
  • Liquidate positions when portfolio hits 10% draw down

INVESTMENT PROCESS

Past performance is not indicative of future results

Identify Investment Opportunities Risk Management Execution Position Sizing

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GLOBAL SIGMA GROUP

  • Investment vehicles

Managed Account 80% notional funding available Subscriptions Weekly Redemptions: Weekly

  • Fees

Management Fee: 2%. Performance Fee: 20% Lock Up: None

  • Service Providers

Execution Broker: ADM, Interactive Brokers, Advantage Futures Administrator: Futures Accounting & Compliance

INVESTMENT TERMS

Past performance is not indicative of future results

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GLOBAL SIGMA GROUP

Global Sigma Group

45 Church Street, Suite 302 Stamford, CT 06906 203-662-6664 info@globalsigmagroup.com

CONCTACT INFORMATION