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Global Sigma Group - Global Sigma Plus

Trading Strategy: Option Writer / Stock Indexes / 4.7 Exempt / QEPs Only

Program Description:  Global Sigma applies a model-driven, high turn-over, mean-reversion approach to option premium capture in the S&P 500 futures market.  Global Sigma was formed in late 2009 around the same time the weekly expiry options contract on the S&P 500 was launched.  Global Sigma is a product focused manager and has become one of the most active managers of the weekly expiry S&P 500 options contract in the CTA industry.  In a discretionary manner, the strategy seeks to sell "over-priced" Puts and Calls that have strikes that are two standard deviations away from the current S&P 500 price.  90% to 95% of the time, the options expire at $0.  The strategy hedges the portfolio's Delta/Gamma exposures by taking positions in the S&P 500 futures market and buying Puts and Calls.  The average daily S&P Delta exposure of the portfolio since inception has been (-0.10).

Annual CROR

12.55%

Sep-19 Return

0.86%

Max DD

-11.63%

Notes:  The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or 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.  The Worst Peak-to-Valley Drawdown ("Max DD") 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 asset value is not equaled or exceeded by a subsequent asset value.

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Qualified Eligible Investors Only.  A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor.  The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

Exemptions: PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIGIBLE 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 ADEQUACY 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.  TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS.  THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.  THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS.  YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION.  AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.

You should carefully consider whether such trading is suitable for you in light of your financial condition.  The high degree of leverage that is often obtainable in commodity futures and options can work against you as well as for you.  The use of leverage can lead to large losses as well as gains.  In some cases, managed commodity accounts are subject to substantial charges for management and advisory fees.  It may be necessary for those accounts that are subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets.  The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the Commodity Trading Advisor ("CTA").  The regulations of the Commodity Futures Trading Commission ("CFTC") require that prospective clients of a CTA receive a disclosure document before they enter into an agreement whereby the CTA will direct or guide the client's commodity interest trading and that fees and certain risk factors be highlighted.  eFloorTrade will provide you a copy of the disclosure document at no cost.  You should review the CTA's disclosure document and study it carefully to determine whether such trading is appropriate for you in light of your financial condition.  The CFTC has not passed upon the merits of participating in the trading programs described on this website nor on the adequacy or accuracy of the CTA's disclosure document.  The information contained on this website has been prepared by eFloorTrade from sources deemed reliable, but eFloorTrade does not guarantee the adequacy, accuracy or completeness of any information.  Neither eFloorTrade nor any of its respective affiliates, officers, directors, agents and employees make any warranty, express or implied, of any kind whatsoever, and none of these parties shall be liable for any losses, damages, or costs, relating to the adequacy, accuracy or completeness of any information on this report.

Disclaimer:

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