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Sigma Advanced Capital Management - Global Advanced Futures and Spread Program (QEP)



Principal(s): Carlos Arcila Barrera, CFA, CAIA, SCR
Strategy: Diversified Futures & Spreads
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Statistics & Program Information

Jan Return   -2.19% Worst Drawdown (2)    -17.54% Minimum Investment   $400,000
YTD Return   -2.19% Losing Streak (3)    -16.14 % AUM (5)   $2,000,000
Annual CROR (1)   4.41 Sharpe Ratio (4)   0.31 Calmar Ratio (6)    N/A
Trading Methodology
30% Systematic
70% Discretionary
 Style Sub-Categories
Quantitative
Mean Reversion
Spread
Spread Trading
Trading Style
90% Spread Trading
10% Multistrategy
Market Sector
18% Metals
22% Agriculturals
20% Meats
22% Softs
 Holding Period
25% Long Term
40% Medium Term
30% Short Term
5% Intraday
 Sector

Contracts
Futures
Start Date   Feb-2016 Currency   US Dollar Margin (7)   5% -20%
New Money   No AUM (5)   $2,000,000 Management Fee    1.75%
Min Investment    $400,000 Annual CROR (1)   4.41 Incentive Fee    20.00%
Fund Minimum    $0 Losing Streak (3)    -16.14 % Other Fees   None
Notional Funds    Yes Worst Drawdown (2)    -17.54 % Avg Comm (8)   $3
NFA Member    Yes Sharpe Ratio (4)    0.31 Max Comm (9)   $5
NFA Number    0518393 Calmar Ratio (6)    N/A Round Turns (10)    3,000
Starting Date:  Feb-2016 Currency:  US Dollar
Open to New Investors:  No Current Assets:  $2,000,000
Open to US Investors:  Yes Annual CROR:  4.41%
Minimum Fund Investment:  $0 Worst Monthly Drawdown:  -17.54
Minimum Managed Account:  $400,000 Current Losing Streak:  -16.14 %
Domocile:   Calmar:  N/A
Subscriptions:  N/A Sharpe Ratio:  0.31
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  N/A Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  Not Listed
Administraton Fee:  0.00% Prime Broker:  Not Listed
Management Fee:  1.75% Auditor:  Not Listed
Incentive Fee:  20.00% NFA Member:  Yes
Other Fees:  None FINRA Member:  No
Other Memberships:  None
Type of Fund:
 Domicile:
 Strategy:
Track Record Prepared By: Sudrania LLC
Correlations: AG CTA Index: -0.012              AG Discretionary CTA Index: 0.080             

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each.

1. Rates of Return: Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

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 Annual Rate of Return ("Annual ROR") is the annualized Mean Return.

2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") 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 net asset value is not equaled or exceeded by a subsequent asset value.

3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.

4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.

5. Annualzied Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.

6. Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.

7. The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

8. The Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.

9. The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.

10. The Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

11. The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.

12. Minimum Investment represents the minimum account size.

13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

14. The Number of Winning Months represents the months with positive return.

15. The Number of Losing Months represents the months with negative return.

16. The Percentage of Winning Months represents the % of winning months.

17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

19. Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description, Risk Strategy & Background

Trading Description

The Global Advanced Futures and Spread (“GAFS”) program, develops a risk-adjusted balanced portfolio of calendar spreads, relative value strategies, and outright futures. Non-correlated alpha is generated by a Quantmental Investment Process seeking to analyze and exploit inefficiencies of the term structure. These inefficiencies could be created by changes in the cost of carry, commodity index roll, extreme price deviations, hedging pressure, weather, price mean reversion, and seasonal patterns.​

The GAFS is an absolute return program seeking to perform in different market environments and economic cycles. The program trades 30 commodities, combining discretionary analysis on trade selection, size and execution strategy, with quantitative techniques using screen filters, system-based modeling, algorithmic execution, and artificial intelligence (machine learning and NLP) techniques for strategy development and risk management.

Risk Strategy

Robust risk management is a crucial element in generating returns, and it is at the core of this program. Risk is actively managed through strict risk budget limits for portfolio and individual positions drawdown limits. The Advisor also performs 95% and 99% VaR, Conditional VaR and Marginal VaR test to monitor the portfolio exposure as well as market stress tests. Risk is monitored on a continuous, real-time basis through electronic platforms and internal risk management systems. Dynamic volatility-based models are implemented to size positions and determine the leverage of the portfolio.

Parametric, Monte-Carlo, Historical Value at Risk (VaR), Conditional Var, Marginal and Incremental VaR models with a 95% and 99% confidence level are used to measure the market risk exposure of the portfolio. Stress test analysis are running for individual positions as well as entire portfolio. This step helps to measure the impact of unusual events that may not be reflected in VaR Calculation. Scenario Analysis is used to measure the effect of simultaneous movement on the portfolio in a number of factors or to measure the effects of unusually large movements on individual factors.

Background

Sigma Advanced Capital Management is a Chicago-based Commodity Trading Advisor registered with the Commodity Futures Trading Commission (CFTC) and a Member of the National Futures Association (NFA).

Sigma Advanced specializes in commodity and carbon/emission markets, seeking absolute returns across all economic cycles and market environments. It also seeks a positive climate and social impact by supporting projects aligned with Global Sustainability Development. . The company follows a Quant-Mental Investment Process combining quantitative techniques such as statistical modeling, machine learning, natural language processing with Discretionary, and Fundamental analysis.

Sigma Advanced Capital Management currently managed two programs:

The Global Advanced Futures and Spread Program (GAFS) - (QEP only): An absolute return program focusing on a risk-adjusted balanced portfolio of commodity calendar spreads, relative value strategies, and outright futures.

Carbon Alpha Neutral Program (CNA) - (QEP Only): An absolute return program focusing 100% on sustainable finance instruments including carbon emission allowances and offsets futures.

Investment Strategy: The manager deploys a Quant-mental Investment Process combining quantitative techniques like statistical modeling, machine learning, and natural language processing (NLP) with discretionary and fundamental analysis.

Climate Impact:

Sigma Advanced Capital Management LLC believes that responsible businesses need to be thoughtful, aware, and willing to act. The Carbon Neutral Alpha program seeks to have an environmental and social impact by supporting initiatives using a percentage of management and performance fees to support REDD+ and projects aligned with the 2030 Sustainable Development Goals (SDGs).

Portfolio Manager:

Carlos Arcila Barrera, CFA, CAIA, SCR has extensive experience in derivatives trading and risk modeling across a wide range of commodity and carbon emission markets, specializing in futures and spread strategies. He is the Adjunct Professor of Finance at Universidad de Los Andes and Research Associate for The Center of Sustainable Finance at the University.​​

During his career, he worked as an Energy Risk Associate for Optima Consultores S.A.S., setting up and managing the electricity risk program, developing hedging and trading strategies in electricity futures for Latin American companies. He was an investment analyst for the Universidad de Los Andes Endowment and worked for a prominent Hedge Fund in Chicago from 2014-2016.

Carlos founded Sigma Advanced Capital Management in 2016 leveraging his experience and in-depth knowledge of commodity markets, with a focus on calendar spreads and relative value strategies. In addition to Sigma Advanced, he was the director of the Financial Markets Research Center, now known as the Center of Sustainable Finance, at the Universidad de Los Andes from 2017 to 2019, where he conducted research on derivative markets, sustainable finance, and carbon markets. Throughout his academic and professional career, he developed several quantitative models to examine variables influencing commodity spreads and carbon price behavior. In June 2020, Mr. Arcila founded the Carbon Neutral Alpha Program, inspired by his work and research on sustainable finance and carbon markets.

Carlos holds a Master of Science in Finance (Magna cum Laude) from the University of Notre Dame in the United States, as well as the certifications, Chartered Financial Analyst (CFA), Chartered Analyst in Alternative Investment (CAIA), and GARP Sustainability and Climate Change Risk (SCR), a certification focused on financial risks associated with climate change. Carlos is also a candidate for the Master of Studies in Sustainability Leadership at The University of Cambridge. He holds a Business Administration degree from Universidad de Los Andes, with minors in Government and Chinese.

Accounting Notes:

Set forth in the following performance capsules are the results of the accounts traded in commodity interests by the Advisor on a discretionary basis. This performance takes into consideration any and all commission, management and incentive fees of the program being offered herein. The returns from February 2016 moving forward have been proforma adjusted to reflect a 1.75% annual management fee and 20% quarterly incentive fee structure. Sigma Advanced Capital Management has contracted a third party (Michael Conglianese CPA, P.C Alternative Investment Accountants) to calculate historical performance on this program from February 2016 to December 2017 and Sudrania LLC to calculate performance from January 2018 moving forward. The historical returns presented represent the performance as calculated by Michael Conglianese CPA, P.C.(Feb 2016 - Dec 2017) and Sudrania LLC (Jan 2018 - Actual) PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND NO REPRESENTATION IS MADE THAT MANAGED ACCOUNTS IN THE FUTURE WILL ACHIEVE PROFITS SIMILAR TO THOSE SHOWN.

Performance

Monthly Performance Since February 2016

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 -2.19%   -2.19% -2.19%
2023 0.34% -2.10% -1.24% -0.35% -0.39% -0.38% -2.13% 0.41% -0.42% 1.72% 0.73% 1.48% -2.39% -6.44%
2022 -0.51% -1.01% -4.78% -0.24% 0.87% -0.21% 1.51% -0.86% -0.99% 0.61% 4.45% -0.78% -2.17% -6.45%
2021 1.73% -3.02% 1.68% -8.47% 0.26% 1.37% 0.37% -0.35% -1.10% -3.03% 0.64% 1.86% -8.24% -12.01%
2020 1.20% 2.83% -4.42% -0.65% 1.97% -1.95% 2.37% -2.71% 1.39% -0.07% 0.46% 1.66% 1.82% -5.44%
2019 -0.74% -5.54% 4.36% -0.71% -3.03% 0.86% 1.00% 1.03% 2.77% 2.24% 2.67% 2.51% 7.24% -6.24%


Annual Performance

Years201620172018201920202021
ROR12.43%29.58%3.63%7.24%1.82%-8.24%
Max DD-15.96%-0.08%-8.88%-6.24%-5.44%-12.01%

Years202220232024 YTD
ROR-2.17%-2.39%-2.19%
Max DD-6.45%-6.44%-2.19%



PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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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 ELIBIBLE 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 ADEQUANCY 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.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.

 
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