Today we are profiling Global Sigma Group.
Global Sigma applies a model-driven, high turn-over approach to option trading 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 has become one of the most active managers of the weekly expiry S&P 500 options contract in the CTA industry. Global Sigma also manages a BondVOL strategy which trades Treasury Bond options and futures.
Founder & CIO
Millennium Partners, Statistical Arbitrage Group – Model Developer, January 2009 to June 2009
SAC Capital, Global Macro Trader, June 2006 to January 2009
Ellington Management, Quantitative Analyst, January 2005 to June 2006
Harvard University, PhD in Engineering Sciences, 2005, Masters in Computer Sciences
COO & CCO
Ping Capital Management, January 2008 to February 2015
-Co-founder of a Global Macro hedge fund.
-As Compliance Officer, managed registration with SEC, and oversaw firm’s compliance procedures.
SAC Capital, Trader, May 2006 to December 2007
-Member of the Global Macro trading group.
Lehman Brothers, Proprietary Trader, October 1996 to March 2006
-Traded G7 and EMG Currencies utilizing Spot, Futures and Option products.
Duke University, BA, Economics
PIMCO, Portfolio Manager, Fixed Income Derivatives, 2002 to 2015
Deutscher Investment Trust, Portfolio Manager
Anglo-American PLC, Portfolio Manager
HSBC, Analyst, Asset Mgt. and Treasury Departments
State University of New York, M.A. Economics and Finance
Moscow State University, Applied Mathematics
Graham Capital, Trader in both the US and London offices. November 2010 to April 2015
University of Virginia, B.A. in History
Optimize Goals, Financial Software Developer
Bank of China, Financial Analyst
New York University, Master of Science, Financial Engineering
Peking University, Bachelor of Science, Statistics
Black Phoenix Research, Software Developer
Bank of Jiangsu, Account Manager
People’s Bank of China, Research
DePaul University, M.S., Computation Finance
After witnessing the vacuum market conditions of the toxic assets in 2009, we decided to put liquidity as first priority. Losing money is bad for an investment manager; losing money and leaving investors with illiquid positions is simply unacceptable.
Our risk management system is designed to produce consistent returns with controlled volatility instead of occasionally outsized returns as experienced in most trend following systems.
Our alpha strategy is generated by rigorous mathematical and quantitative models. We not only look at absolute returns but also focus on risk adjusted returns.
Global Sigma Plus invests in S&P 500 Futures and Options with the objective of achieving consistent capital growth, which is uncorrelated or negatively correlated with the S&P 500 index, CTA Index, or any 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 generates alpha 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.
Global Sigma was profiled in CTA Intelligence as one of the world’s hottest emerging managers in 2014. You can download the full exclusive interview below.
CTA Intelligence – Global Sigma – Sept 14
Interested in more information? Contact us today!
The risk of loss in trading commodities can be substantial. You should therefore carefully consider whether such trading is suitable in light of your financial condition. Past performance is not indicative of future results.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE. THE RISK OF LOSS IN TRADING FUTURES CONTRACTS OR COMMODITY OPTIONS CAN BE SUBSTANTIAL, AND THEREFORE INVESTORS SHOULD UNDERSTAND THE RISKS INVOLVED IN TAKING LEVERAGED POSITIONS AND MUST ASSUME RESPONSIBILITY FOR THE RISKS ASSOCIATED WITH SUCH INVESTMENTS AND FOR THEIR RESULTS. YOU SHOULD CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR CIRCUMSTANCES AND FINANCIAL RESOURCES.
IMPORTANT RISK DISCLOSURE
Forex trading, commodity trading, managed futures, and other alternative investments are complex and carry a risk of substantial losses. They are not suitable for all investors. The ability to withstand losses and to adhere to a particular trading program in spite of trading losses are material points which can adversely affect investor returns.
Managed futures accounts can be subject to substantial charges for management and advisory fees. The above number includes all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.
Regulations require managed futures performance to be calculated as a composite of all accounts of non qualified eligible persons trading the same program. This ‘averaging’ of individual account performance can cause individual performance to be higher or lower than the reported composite performance depending on several factors, including commission and fee levels and investment amount and duration. Some of the statistics above show rates of return for only the listed period (i.e. 12 mos, 36 mos, 5 yrs, 10 yrs), where rates of return for periods longer than the period shown may be higher or lower than those shown.
Investors interested in investing with a managed futures program (except those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFTC rules. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA’s management over at least the most recent five years. Investors interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs. Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document are considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.
The information contained in the reports within this site is provided with the objective of “standardizing” trading system, managed forex, and managed futures account performance, and is intended for informational purposes only. It should not be viewed as a solicitation for the referenced system or vendor. While the information and statistics given are believed to be complete and accurate, we cannot guarantee their completeness or accuracy. As past performance does not guarantee future results, these results may have no bearing on, and my not be indicative of, any individual returns realized through participation in this or any other investment. No part of this document should be considered apart from the Disclosure Statements contained herein.
QEP = These programs are offered only to Qualified Eligible Participants as thterm is defined under CFTC Regulation 4.7. Forex trading, commodity trading, managed futures, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors.
Variable degree of risk
Transactions in options carry a high degree of risk. Purchasers and sellers of options should familiarize themselves with the type of option (i.e., put or call) which they contemplate trading and the associated risks. You should calculate the extent to which the value of the options must increase for your position to become profitable, taking into account the premium and all transaction costs. The purchaser of options may offset or exercise the options or allow the options to expire. The exercise of an option results either in a cash settlement or in the purchaser acquiring or delivering the underlying interest. If the option is on a future, the purchaser will acquire a futures position with associated liabilities for margin (see the section on Futures above). If the purchased options expire worthless, you will suffer a total loss of your investment which will consist of the option premium plus transaction costs. If you are contemplating purchasing deep-out-of-the-money options, you should be aware that the chance of such options becoming profitable ordinarily is remote. Selling (“writing” or “granting”) an option generally entails considerably greater risk then purchasing options. Although the premium received by the seller is fixed, the seller may sustain a loss well in excess of that amount. The seller will be liable for additional margin to maintain the position if the market moves unfavorably. The seller will also be exposed to the risk of the purchaser exercising the option and the seller will be obligated to either settle the option in cash or to acquire or deliver the underlying interest. If the option is on a future, the seller will acquire a position in a future with associated liabilities for margin (see the section on Futures above). If the option is “covered” by the seller holding a corresponding position in the underlying interest or a future or another option, the risk may be reduced. If the option is not covered, the risk of loss can be unlimited. Certain exchanges in some jurisdictions permit deferred payment of the option premium, exposing the purchaser to liability for margin payments not exceeding the amount of the premium. The purchaser is still subject to the risk of losing the premium and transaction costs. When the option is exercised or expires, the purchaser is responsible for any unpaid premium outstanding at that time.
A spread is defined as the sale of one or more futures or option contracts and the purchase of one or more offsetting futures or option contracts. It should be recognized, though, that the loss from a spread can be as great as – or even greater than – that which might be incurred in having an outright futures or options position. An adverse widening or narrowing of the spread during a particular time period may exceed the change in the overall level of futures or option prices, and it is possible to experience losses on both of the futures or options contracts involved (that is, on both legs of the spread). In addition, spread trading increases transaction costs because the customers will be charged commissions on each leg of the spread.
This website may make certain references to the use of stop orders as means of limiting losses or protecting profits. Please note that there is no guarantee that any stop loss order will be executed at the stop price. Therefore, there can be no guarantee that placing a stop order will limit losses or protect profits. Accordingly, no representation is being made that the trading in customers’ accounts will be profitable or will not result in losses as the result of placing stop orders.
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 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, , 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. 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).
The factual information on this website has been obtained from sources believed to be reliable, but is not necessarily all-inclusive and is not guaranteed as to the accuracy, and is not to be construed as representation by eFloorTrade or its affiliates. eFloorTrade maintains no opinion with regards to the aforementioned Commodity Trading Advisor.
In light of a client’s investment objectives, it is entirely up to the client to determine whether or not this is an appropriate alternative to meet those objectives.