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Program Details

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Global Sigma Group, LLC 

Global Sigma Plus

Manager: Hanming Rao

Address: 1900 Glades Road, Suite 430, Boca Raton, FL, 33431, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Nov 2, 2009
AUM:$196,856,187
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$500,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:169.47%154.70%
Annual ROR:13.05%12.26%
YTD:7.80%15.81%
1 Year:8.41%17.88%
Alpha:1.00
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:1.31%392.46%
Average Monthly Loss:-2.49%-2.55%
Winning Months:9065
Losing Months:732
Current DD:0.330.32
Max DD:11.6317.03
Sharpe Ratio (RF 1%):2.47
Annualized Std Dev:4.88

Methodology

Discretionary:30%
Systematic:70%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodLong Term
---------------------------
Option Writing:50%
Volatility:50%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20170.950.820.800.801.120.570.440.790.680.90-0.337.80
20160.650.961.040.960.751.170.680.670.830.650.780.5710.15
20151.130.961.150.851.441.331.03-7.562.79-7.001.051.26-2.20
20141.061.651.390.700.890.74-0.441.691.39-0.121.751.9313.35
20130.810.961.450.781.091.560.951.111.431.750.892.0515.87
20121.271.381.751.311.760.12-0.431.061.821.441.451.2715.13
20111.481.441.631.201.991.222.42-1.553.891.651.921.3420.21
20102.261.681.241.153.042.131.330.982.511.551.811.4323.25
20092.131.413.57

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Global Sigma Plus (GSP) is the program GSG currently offers. GSP mainly trades US equity index futures and options. The program typically will sell options on S&P 500 futures and sometimes will also hedge them with US equity index futures. GSP is not a pure volatility-selling program. It is a directional prediction program combined with a volatility measure. The program will typically trade option within 6 weeks to expiration. The program may also buy back options before expiration in order to reduce risk or wait for better opportunities. GSP continuously monitors the risk/reward ratio on both potential and established positions.

There are three approaches GSP will use when market acts differently than expected.

1. The program may simply close out the positions and remain in cash. Most of the time, we find that simply admitting the models were incorrect and cutting losses quick is the optimal solution. This scenario typically happens when expirations are still quite away and the position hits a draw down limit specified by the program.

2. The program may hedge the position with index futures. This typically will happen when the program still believes the option will expire worthless or the program believes the options premium is too high and hedging is more profitable.

3. Third, it may roll over the position or hedge it with another option. This will depend on relative value of different options with different expiration or strikes prices.

Company Info

Global Sigma Group, LLC currently mainly focuses on trading future & future options. The fund seeks to profit from short term directional and volatility skew opportunities in seperate equity index and bond futures and options. This strategy is model driven and typically long or short future for directional trade and short options to collect the premium. Proprietary system checks market opportunities constantly and searches best risk reward trades in future and future options.

Manager Info

Hanming Rao is GSG's sole investment manager and has 11 years' experiences in trading financial markets using proprietary models that he has developed. Mr. Rao became registered as a principal of GSG on March 1, 2010.

Dr. Rao was a research quant at Ellington Management Group in Old Greenwich, Connecticut from 2005 to 2006. His main responsibility was to build a prepayment model for American homeowners using various data such as historical homeowner monthly mortgage payment, current and historical mortgage rate, government 10-year bond yield etc. Dr. Rao joined SAC capital management in New York, NY as a global macro trader/analyst in 2006. He mainly focused on trading liquid assets including currency, interest rate swap, global equity index / ETF, commodity, commodity related ETF and options on all those markets. In 2008, Dr. Rao took an asset management roll at SAC's headquarter in Stamford, Connecticut. He was in charged of managing SAC's legacy assets including Foreign Bond, Junk Bond, Convertible Bond, Government CDS, Corporate CDS, Loan CDS, High Yield Bond, High Yield Index, etc. In 2009 Dr. Rao joined Millennium Partners at New York, NY as a vice president. His responsibility was to develop statistical models in ETF and Futures market. In December 2009, Dr. Rao founded GSG to provide investment management to outside clients. Currently he is constantly seeking new opportunities in the financial market in order to improve the existing prediction, trading and risk models.


Dr. Rao received his BS in Electronic Engineering from Tsinghua University, Beijing, China in July 1997, his MS in Computer Sciences and PhD in Engineering Sciences both from Harvard Universities, Cambridge, MA in June 1998 and March 2005 respectively. Dr. Rao's PhD thesis is Theory and Implementation of a Truly Random Number Generator. He designed an algorithm and built a hardware device to extract randomness from Po-210, a radioactive material that emits alpha particles. He had a related pending invention patent. Dr. Rao ranked 17th in the China Olympiad Physics Competition in 1991. He won best experiment prize and 2nd place overall in Guangdong Province Olympiad Physics Competition in 1991.