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 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). GLOBAL SIGMA GROUP 2 Past performance is not indicative of future results
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 3 Past performance is not indicative of future results
PERFORMANCE AND STATISTICS Monthly Net Performance after 2-20 fees Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD 5.19% 2013 0.81% 0.96% 1.45% 0.78% 1.09% 0.00% 15.13% 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% -0.43% 20.21% 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% -1.55% 23.25% 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% 0.00% 3.57% 2009 2.13% 1.41% 0.00% Growth of $1000 - Monthly 4% $1,950 Monthly Return $1,900 $1,850 Statistics (after 2-20 fees) $1,800 3% $1,750 LTD Return 85.85% $1,700 $1,650 Sharpe Ratio 6.50 2% GSP $1,600 Annual Return 18.88% $1,550 $1,500 Avg Monthly Return 1.51% 1% $1,450 Max Month Return 3.89% $1,400 $1,350 Min Month Return -1.55% S&P500 $1,300 0% Max Draw Down -1.55% $1,250 $1,200 Correlation with S&P500 -0.16 $1,150 -1% AUM $66M $1,100 $1,050 Management Fee 2% Barclays CTA $1,000 -2% $950 Index Performance Fee 20% Nov-09Apr-10Sep-10 Feb-11Jul-11Dec-11 May-12 Oct-12Mar-13 Minimum Investment $250K GLOBAL SIGMA GROUP 4 4 4 Past performance is not indicative of future results
RETURN DISTRIBUTION Cumulative Net Returns of GSP program Since Inception vs. Market Averages | November 2009 - May 2013 85.85% 100% 80% 57.38% 60% 40% 20.32% 20% 3.32% 0% GSP S&P500 CTA HFRI Distribution of Net Returns Since Inception vs. S&P 500 40 30 20 10 0 -15% -10% -5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5% 10% 15% S&P500 GSP GLOBAL SIGMA GROUP Past performance is not indicative of future results 5 5 5 5 5 5 5 5 5 5 Data for latest month may be unavailable or estimated
CORRELATION STUDIES 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. Bridge TransTre Aspect Graham Campbell Beach Correlation GSP S&P500 VIX CTA HFRI Water Winton AHL nd (DTP) Capital (K4D10) (FME) Atis (GFP) Horizon Welton GSP 19% 100% -16% -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% GLOBAL SIGMA GROUP Past performance is not indicative of future results 6 6 6 6 6 6 6 6 Data for latest month may be unavailable or estimated
COMPARATIVE PERFORMANCE 110% 90% GSP S&P500 CTA 70% HFRI Bridge Water 50% Winton AHL 30% TransTrend (DTP) Aspect Capital 10% Graham (K4D10) Campbell (FME) -10% Atis (GFP) Beach Horizon Welton -30% 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 GLOBAL SIGMA GROUP Past performance is not indicative of future results 7 7 7 7 7 7 7 7 7 Data for latest month may be unavailable or estimated
FOUNDER BIOGRAPHY 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 GLOBAL SIGMA GROUP 8 8 8 8 8 8 8
RESEARCH & TRADING 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 GLOBAL SIGMA GROUP 9 9 9 9 9 9 9 9
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