Trading Description: The Global Sigma Plus("GSP") program is a model-driven system designed by Harvard-PhD and former SAC Capital trader Dr. Hanming Rao. The system uses a proprietary quantitative model to trade short-term US equity futures and options on futures, which are some of the most liquid instruments in the world. The program strives to perform well in most market dynamics by utilizing a directional prediction algorithm in conjunction with a volatility component. Moreover, it is designed to provide a negative or low correlation to the S&P 500 and is complementary to most trend following strategies.
Risk Strategy: Risk Management is a systematic process that triggers when the weekly NAV breaches -0.50%. Once triggered, the portfolio is partially
hedged against certain Gamma and Vega exposures primarily via the selling or buying of S&P 500 futures, which trades 24 hours a day.
Exposures may also be hedged or reduced through the purchase of Puts or Calls. The risk framework is driven by 1-day forecast prediction
models for the S&P 500.
Hanming Rao, CIO, In 2009, Hanming was a model developer in the statistical arbitrage group of Millennium Partners. From 2006 to 2009, he was a Global Macro trader at SAC Capital where he managed global futures and OTC products including short-term options on the S&P500. Prior to SAC, at Ellington Management he worked on various mortgage prepayment models.
PhD Engineering Sciences, Masters Computer Science, Harvard University.
Trend Following Contrarian Option Writer Option Spread Other Option Strategy Quantitative Trend Anticipatory Mean Reversion
5% Medium Term 90% Short Term 5% Intraday
10% Trend Following 10% Contrarian 80% Option Trading
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING. THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.
Margin to Equity: (7)
Worst Drawdown: (3)
Current Losing Streak: (2)
Avg Commission: (8)
Sharpe Ratio 1% RF ROR: (5)
Round Turns per Mil: (9)
Calmar Ratio 36 Months: (6)
NFA Member: Yes
Third Party Accountant: Futures Accounting and Compliance
NFA ID: 0418944
Peer Correlations (Autumn Gold Indexes are Non-Investable)
AG CTA Index: 0.140  AG Systematic CTA Index: 0.143
(P) - Proprietary Trading Results
(C) - Client Trading Results
1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a CTA trades based on account unit rather than on account equity.
The Annual Compound
Rate of Return represents the compounded rate of return
for each year or portion thereof presented. It is computed by
applying successively respective monthly rate of return for each
month beginning with the first month of that period.
Annual Rate of Return is calculated adding each month's return.
2. The Current Losing Streak represents the extent of the Adviso'rs current drawdown.
3. From Start Date of Program - The Worst
Peak-to-Valley Drawdown is defined as the greatest cumulative
percentage decline in net asset value due to losses sustained
by the trading program during any period in which the initial
net asset value is not equaled or exceeded by a subsequent asset
4. Omega Function takes all of the performance data into consideration. The flatter the distribution the more risky the investment. "The distribution mean is where the omega function equals 1. "Omega provides practitioners with an extremely useful tool since it accounts for the non-normal distributions of returns which are commonplace in finance, particularly for alternative investments. ...omega incorporates all the moments of the distribution and is therefore appropriate for investment analysis when returns are not normally distributed. Second, even for normally distributed returns, omega provides additional information since it takes into account the investor's preferences for loss and gain. Finally, omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually. It can therefore reduce the estimation error risk." [Abrams, Ray, Ranjan Bhaduri, PHD, CFA, CAIA, and Elizabeth Flores, CAIA. "Litner Revisted: A Quantitative Analysis of Managed Futures for Plan Sponsors, Endowments and Foundations. CME Group (May 2012): 12-14. Print]
5. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
7. Margin to Equity represents the average margin as a percent of a fully funded account.
8. The Average Commission represents the average commission
rate of the composite track record. A higher or lower commission
rate would increase or decrease the performance accordingly.
9. Round Turns per Million represent the average number of round turns that would be generated in a $1,000,000 account.
THIS PROGRAM IS ONLY OPEN TO INVESTORS FITTING THE DEFINITION OF A QUALIFIED ELIGIBLE PERSON AS THAT TERM IS DEFINED UNDER CFTC REGULATION 4.7(A).
Exemptions: PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION
WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT 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 ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING
ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED
THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
RISK OF TRADING COMMODITY FUTURES AND OPTIONS IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY
FUTURES AND OPTIONS CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS
HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS.
YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE
YOU SHOULD SEEK PROFESSIONAL ADVICE. PAST PERFORMANCE DOES NOT GUARANTEE
FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL
COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES,
MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF
THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED
BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE
TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES,
CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE
RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S
"REQUEST DISCLOSURE DOCUMENT" BUTTON. THE FULL RISK OF COMMODITY
FUTURES AND OPTIONS TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE
STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY
READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE
AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION
AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON
THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE
ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS
ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR
CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM
SOLELY ON THE PAST PERFORMANCE PRESENTED.
ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST
ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE
TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE
MERITS AND RISKS INVOLVED.