Tracking CTAs since 1994
CTA Profiles
Tracking CTAs since 1994
Principal(s): Shi Lu
Strategy: Option Writer / S-Term / S&P
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Risk Sigma invests in S&P 500 Futures and Options with the objective of achieving consistent capital growth, which aims to be uncorrelated with the S&P 500 index and 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 seeks to generate returns 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.
Our risk management system has been designed to produce consistent returns with controlled volatility instead of occasionally outsized returns as experienced in most trend following systems. A combination of risk management and portfolio cash allocations is tailored to be consistent with the individual investor's resources and risk tolerance.
Trading SP500 index futures and options sees large daily market volumes. This index is chosen as the trading vehicle because of our philosophy of putting liquidity as first priority. Losing money is bad for an investment manager; losing money and leaving investors with illiquid positions is simply unacceptable.
Dr. Shi Lu is listed as the Principal of the Advisor as of March 5, 2010. He has been a licensed Professional Engineer in the State of California since September 1993, an independent consultant since January 2000, and a Staff Consultant of SGH Inc which provides risk evaluation consulting services. As a specialty expert he provides consulting services in the specialized fields related to probabilistic risk assessment, risk mitigations, risk management, properties portfolio analyses, etc. Dr. Lu is a recognized authority in the areas of risk factors assessment, root-cause evaluation, behavioral trending identification, and risk control and mitigation.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.26% | -0.13% | 0.22% | 0.35% | -0.13% | |||||||||
| 2024 | 0.73% | 0.78% | 1.30% | -0.03% | 0.98% | 0.93% | 1.04% | 0.69% | -1.76% | 0.61% | 0.41% | 1.18% | 7.03% | -1.76% |
| 2023 | 0.48% | 0.70% | 0.76% | 0.63% | 1.20% | 0.87% | 1.15% | 1.02% | 1.16% | 1.27% | 0.95% | 1.13% | 11.95% | 0% |
| 2022 | 0.90% | 0.44% | 0.91% | 0.96% | 1.19% | 0.93% | 0.61% | 0.89% | -0.06% | 1.09% | 0.74% | 0.44% | 9.4% | -0.06% |
| 2021 | -0.14% | 0.32% | 0.68% | 0.22% | 1.11% | 1.09% | -0.52% | 1.45% | 1.37% | 0.87% | 0.89% | 2.32% | 10.07% | -0.52% |
| 2020 | 0.60% | -0.93% | 3.41% | 0.97% | 0.93% | 0.45% | 0.60% | 0.67% | 0.91% | -0.19% | 0.39% | 0.87% | 8.98% | -0.93% |
| 2019 | -0.90% | 0.09% | 1.45% | 1.16% | -2.67% | 0.24% | 0.56% | -0.29% | 1.27% | -0.10% | 0.23% | 0.36% | 1.34% | -2.67% |
| 2018 | 0.60% | -17.96% | 0.85% | 0.73% | 0.08% | 0.62% | 1.32% | 0.48% | 1.08% | 1.34% | 0.30% | -0.25% | -11.9% | -17.96% |
| 2017 | 1.30% | 1.81% | 1.88% | 1.67% | 1.09% | 0.63% | 1.48% | 1.25% | 1.16% | 1.66% | 1.66% | 1.16% | 18.09% | 0% |
| 2016 | 1.84% | 1.09% | 1.01% | 0.87% | 1.41% | 1.44% | 1.00% | 1.64% | 1.68% | 0.94% | 0.95% | 0.67% | 15.54% | 0% |
| 2015 | 0.51% | 1.10% | 1.32% | 2.71% | 1.90% | 1.91% | 1.61% | 0.91% | 1.25% | 1.36% | 15.56% | 0% | ||
| Years | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 |
|---|---|---|---|---|---|---|
| ROR | 15.56% | 15.54% | 18.09% | -11.90% | 1.34% | 8.98% |
| Max DD | 0.00% | 0.00% | 0.00% | -17.96% | -2.67% | -0.93% |
| Years | 2021 | 2022 | 2023 | 2024 | 2025 YTD |
|---|---|---|---|---|---|
| ROR | 10.07% | 9.40% | 11.95% | 7.03% | 0.35% |
| Max DD | -0.52% | -0.06% | 0.00% | -1.76% | -0.13% |
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, OPTIONS AND FOREX 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 YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE 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.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.
