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Global Sigma Group

globalsigma.altavra.com

Open A Futures and/or Forex Trading Account.

Manager Name: Global Sigma Group
Program Name: Global Sigma Plus
Minimum Investment: 250,000 USD
Strategy: Option Writing
Markets: Stock Indices
Restrictions: QEP
Disclosure Document: Call
Management Agreement: Call
Download Page: Download & Save: Global Sigma Group - Global Sigma Plus
Print Page: Printable Version: Global Sigma Group - Global Sigma Plus
Disclosure Statement: Open

View The Performance Report for

Global Sigma Group

includes free access to the managed futures database

Managed Futures CTA Report: Global Sigma Group

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This program is only available for Qualified Eligible Persons (QEP). What is QEP?

PLEASE NOTE: ALTAVRA does NOT charge a load, upfront or initial fee on any account.

Online Account Application: open.altavra.com / Account Forms: forms.altavra.com / Manager Shortcut: globalsigma.altavra.com

Program Description: Global Sigma Methodology

 

As a Global Macro Trader, Dr. Hanming Rao traded an extensive variety of financial products at SAC Capital. Trading the most liquid assets in 2006-2007 and managing most illiquid assets in 2008 gave him very valuable and unique experiences in the financial markets. As a result, Dr. Hanming Rao’s investment philosophy consists of three key components:


Liquidity
After witnessing the vacuum market conditions of the toxic assets in 2008, Dr. Hanming Rao 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.


Risk
Risk management is key in long-term success. Dr. Hanming Rao constantly monitors position risks and believes in cutting losses short and letting profits run.  Past results are not necessarily indicative of future results.  The risk of loss in trading futures, option and off-exchange forex can be substantial.  


Strategy

Dr. Hanming Rao currently focuses on short term, liquid markets.  He employs quantitative models attempting to predict market direction and volatility. Dr. Hanming Rao devotes half of his time to trading and half to researching new market trends and characteristics.  He may modify the strategy from time to time, in order to adapt to changing environments. Clients will generally not be informed of these changes as they occur.

 

The Trading Program: Global Sigma Plus

Global Sigma Plus is the program currently offered by Global Sigma Group. The program may be offered through a third-party and carry a different name for targeting a specific geographic region or other purposes. Global Sigma Plus mainly trades US equity index futures and options on futures contracts. The program will typically sell options on stock index futures and sometimes will also hedge the options with stock index futures contracts. The decision-making process typically has three steps:

 

1. Since Global Sigma Group believes that the market is not entirely efficient, proprietary quantitative models are used to identify short-term market conditions.  These models are based on historical price data, volatility matrices, option chains and pattern matching techniques. The program will typically sell puts at a local bottom, sell calls at a local top or sell strangles during range-bound markets. Under certain conditions, the program may also trade futures directly.


2. When trading options, the models will search for the best strike prices to sell in attempting to achieve the best risk/reward ratio.


3. The program will look at current market bid-ask prices and compare them with historical scenarios to generate an option trade signal.

 

In the opinion of Global Sigma Group, most options traded will expire worthless. However, option selling is not necessarily a winning strategy.  The potentially small number of losing trades may lose more than all the premium combined from the winning trades. Global Sigma Plus is not a pure volatility-selling program. It is a directional prediction program combined with a volatility measure. The program will typically trade options within six weeks of expiration.  The program may also buy back options before expiration to reduce risk or wait for more favorable conditions. Global Sigma Plus continuously monitors the risk/reward ratio on both potential and established positions.


Since Global Sigma Plus typically sells options, a drop in volatility after a position has been established is usually more favorable for the program (given all other things unchanged). However, this does not mean the program will lose money when volatility is rising or the market is trending. In certain scenarios, Global Sigma Plus will benefit even more in a trendy or volatile market when its direction prediction is correct. When the market is more volatile, Global Sigma Plus may adjust with the market conditions and use a lower leverage ratio to reduce volatility risk.  Past results are not necessarily indicative of future results.  The risk of loss in trading futures, options and off-exchange forex can be substantial. 


There are three approaches that Global Sigma Plus will use when the market acts differently than expected.


1. The program may simply close out the current positions and remain in cash. Most of the time, Global Sigma Group finds 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 futures. This typically will happen when the manager still believes that the option will expire worthless or that the option premium is too high and hedging is potentially more profitable.


3. Third, Global Sigma Group 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.


Global Sigma Group believes that this program will be mostly suitable for investors who are seeking an alternative return or diversification, which has the potential to gain consistently over time. Global Sigma Group also believes that this program is a great complement to trend-following and other systematic strategies.

 

Management Information: Dr. Hanming Rao

Dr. Hanming Rao is Global Sigma Group’s sole investment manager and has more than 10 years of experience in trading financial markets  He uses proprietary models which he has personally developed. Dr. Hanming Rao became listed as a Principal and an Associated Person of Global Sigma Group on March 3, 2010.


Dr. Hanming Rao started trading stocks and options in July 1998 when he was a graduate student at Harvard University. After graduation from Harvard, he began his professional financial career as a research quant at Ellington Management Group, a multi-billion dollar hedge fund in Old Greenwich, Connecticut in February 2005. In June 2006 Dr. Hanming Rao left Ellington to join SAC Capital Management, a multi-billion dollar hedge fund in New York, NY as a Global Macro Trader / Analyst. He mainly focused on trading liquid assets including currencies, interest rate swaps, global equity indices / ETFs, commodities, commodity-related ETFs and options on all those markets. In May 2008, Dr. Hanming 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 January 2009, Dr. Hanming Rao left SAC to join Millennium Partners, a multi-billion dollar hedge fund as a Vice President at their Greenwich, CT branch. His responsibility was to develop statistical models in ETF and futures markets. Dr. Hanming Rao left Millennium in June 2009. From June 2009 to November 2009 he was preparing for his own start-up business. In December 2009, Dr. Hanming Rao founded Global Sigma Group to provide investment management to outside clients.

 

Dr. Hanming Rao is constantly seeking new opportunities in the financial markets and attempts to continually improve the existing prediction, trading and risk models.


Dr. Hanming 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. Hanming 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. Hanming 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.

 

The descriptions above are from the manager’s disclosure document.

 

THE RISK OF LOSS IN TRADING FUTURES, OPTIONS AND OFF-EXCHANGE FOREX CAN BE SUBSTANTIAL.  PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.  PLEASE READ THE CTA'S RISK DISCLOSURE DOCUMENT CAREFULLY BEFORE INVESTING MONEY. 

 

Disclosure Statement    Download PageDownload & Save: Global Sigma Group - Global Sigma Plus       Print Page Printable Version: Global Sigma Group - Global Sigma Plus

 

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THE RISK OF LOSS IN TRADING FUTURES AND OPTIONS CAN BE SUBSTANTIAL. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THIS MATERIAL HAS BEEN PREPARED BY A SALES OR TRADING EMPLOYEE OR AGENT OF ALTAVRA AND IS, OR IS IN THE NATURE OF A SOLICITATION. THIS MATERIAL IS NOT A RESEARCH REPORT PREPARED BY AN ALTAVRA RESEARCH DEPARTMENT. YOU AGREE THAT YOU ARE AN EXPERIENCED USER OF THE FINANCIAL MARKETS, CAPABLE OF MAKING INDEPENDENT TRADING DECISIONS, AND AGREE THAT YOU ARE NOT, AND WILL NOT RELY SOLELY ON THIS DOCUMENT IN MAKING TRADING DECISIONS. (ALTAVRA.CO/RISK)

THIS CONTENT AND ALL OF ITS LINKS ARE FOR INFORMATIONAL PURPOSES ONLY, AND IS CURRENT ONLY AS OF THE DATE(S) HEREOF. IT DOES NOT CONSTITUTE A SOLICITATION FOR ANY CTA OR TRADING PROGRAM, AND THE INFORMATION IS SUBJECT TO CHANGE WITHOUT NOTICE. THE FIGURES CONTAINED HEREIN WERE OBTAINED OR COMPILED FROM INFORMATION PROVIDED BY THE CTA, TRADER OR THEIR REPRESENTATIVES. NEITHER ALTAVRA NOR ANY OF ITS AFFILIATES OR EMPLOYEES MAKES ANY ENDORSEMENT OR REPRESENTATION AS TO ITS ACCURACY, VALIDITY OR COMPLETENESS. THE INFORMATION HAS NOT BEEN INDEPENDENTLY VERIFIED AND THEREFORE CANNOT BE GUARANTEED. WHILE ALTAVRA MAY PROVIDE INVESTORS WITH CTA ANALYSIS, ALTAVRA DOES NOT PROVIDE “DUE DILIGENCE” ON AN INVESTOR’S BEHALF AND IS NOT RESPONSIBLE FOR A CUSTOMER’S INVESTMENT DECISIONS.

NO OFFER OR SOLICITATION MAY BE MADE PRIOR TO REVIEW OF THE CTA’S CURRENT DISCLOSURE DOCUMENT (
FORMS.ALTAVRA.COM), WHICH INVESTORS SHOULD READ CAREFULLY PRIOR TO INVESTING. INVESTORS MAY ALSO WISH TO CONSULT THEIR LEGAL, TAX AND INVESTMENT ADVISORS TO DETERMINE WHETHER AN INVESTMENT IS APPROPRIATE IN LIGHT OF THE INVESTOR’S RISK TOLERANCE, INVESTMENT OBJECTIVES AND FINANCIAL SITUATION.

ALL FUTURES AND OPTIONS TRADING INCLUDING MANAGED FUTURES IS SPECULATIVE, INVOLVES A HIGH DEGREE OF RISK AND IS SUITABLE ONLY FOR PERSONS WHO CAN ASSUME THE RISK OF LOSS IN EXCESS OF THEIR MARGIN DEPOSIT. NO REPRESENTATION OR ASSURANCE IS MADE THAT ANY CTA OR TRADING PROGRAM WILL OR IS LIKELY TO ACHIEVE ITS OBJECTIVES, BENCHMARKS OR TARGETED RETURNS OR THAT ANY INVESTOR WILL OR IS LIKELY TO ACHIEVE A PROFIT OR WILL BE ABLE TO AVOID INCURRING SUBSTANTIAL LOSSES.

 
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