Growth of $1,000 VAMI and Monthly Return
Trading Description, Risk Strategy & Background
Risk Sigma is a short term mean reversion trading program focused on S&P 500 Futures and Options. It has average 5~10 days holding period. Shorter trading time frame and higher turnover seeks to reduce program volatility exposure and draw downs. Our strategy is generated by rigorous mathematical and quantitative models without having doctrinaire perspective favoring any prescribed textbook investing or trading methodology. Following the ebb and flow of market actions, we not only look at absolute returns but also focus on risk adjusted returns. Risk Sigma is available through managed accounts and offers daily transparency. We trade liquid product and can offer weekly liquidity. The program's goal is to maintain a Sharpe Ratio of high 2. The design of Risk Sigma is not keyed or correlated with other major indices such as S&P500, and thus offers great diversification value to investors.
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.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR (YTD) | Max DD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.46% | 0.68% | 2.71% | 0.76% | 4.66% | N/A | ||||||||
| 2025 | 0.26% | -0.13% | 0.22% | 1.85% | 0.07% | -0.62% | 0.16% | 0.44% | 0.76% | 0.74% | 0.86% | 0.42% | 5.11% | -0.62% |
| 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% | N/A |
| 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% | 9.40% | -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% |
Track Record Compiled By: Self-Prepared
Annual Performance Summary
| Year | Yearly Return | Max Drawdown | Year-End AUM |
|---|---|---|---|
| 2026 | 4.66% | N/A | $6,407,000 |
| 2025 | 5.11% | -0.62% | $37,819,000 |
| 2024 | 7.03% | -1.76% | $59,542,000 |
| 2023 | 11.95% | N/A | $37,359,000 |
| 2022 | 9.40% | -0.06% | $15,132,000 |
| Year | Yearly Return | Max DD |
|---|---|---|
| 2026 | 4.66% | N/A |
| 2025 | 5.11% | -0.62% |
| 2024 | 7.03% | -1.76% |
THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.
Risk Disclosure
THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX 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 THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.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.