Sigma Advanced Capital Management

Global Advanced Futures and Spread Program *QEP*


Monthly Performance (%)

Date Range: 01/16 - 08/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 1.20 2.83 -4.42 -0.65 1.97 -1.95 2.37 -2.71   -1.60 
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  7.22 
2018 0.41 -8.88 1.71 2.30 1.56 2.05 2.40 1.72 2.40 -5.02 3.51 0.16  3.63 
2017 -0.09 4.52 2.43 0.44 5.79 2.55 1.88 4.44 0.54 1.90 1.98 -0.03  29.53 
2016 -12.38 10.21 -12.97 9.93 6.34 3.19 4.85 0.27 -8.45 16.25 -0.89  12.42 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The program seeks non-correlated alpha returns across a wide range of economic cycles and market conditions. The trading methodology is discretionary on trade selection, timing, execution, and size but it uses highly quantitative and system-based modeling for strategy development. The program trades 28 commodities and focuses on a balanced portfolio of a variety of spread and relative value strategies which can include calendar spreads, inter-commodity spreads, and outright futures. The Trading ideas are based on a multi- strategy analysis including: Term structure converge/diverge, Commodity index funds flow, Roll Arbitrage, Statistical Analysis of the seasonal patterns of spreads, Extreme Price deviations and Mean Reversion models. The advisor also monitors fundamental data such as economic reports and schedules commodity data that may affect existing and potential trades. The advisor implies his own set of rules as far as profit levels, maximum number of markets he can be in at any given time and appropriate risk/reward per trade and it attempts to create a diversified portfolio of commodity positions and strategies.

Performance Statistics

Date Range: 01/16 - 08/20
  Program S&P 500 Coquest 40 
Total Return 59.22% 88.29% -0.88% 
Annualized Return 10.68% 14.52% -0.19% 
Annualized Std. Deviation 16.62% 14.66% 7.54% 
Correlation 0.27 0.13 
Sharpe Ratio (rf=2.5%) 0.49 0.82 -0.36 
Worst Month -12.97% -12.35% -6.10% 
Date of Worst Month 04/2016 03/2020 02/2018 
Worst Drawdown -15.96% -19.60% -13.08% 
Date of Worst Drawdown 1/16 - 4/16 12/19 - 3/20 2/16 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 01/16 - 08/20
Year or YTD Program S&P 500 Coquest 40 
2020 -1.60 9.75 -1.80 
2019 7.22 31.50 7.53 
2018 3.63 -4.38 -4.29 
2017 29.53 21.84 1.24 
2016 12.42 17.83 -6.39 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 01/16 - 08/20
Date: 8/31/2020
Perf: $957.85 Date: 7/31/2020
Perf: $968.80 Date: 6/30/2020
Perf: $950.64 Date: 5/31/2020
Perf: $962.96 Date: 4/30/2020
Perf: $974.36 Date: 3/31/2020
Perf: $971.16 Date: 2/29/2020
Perf: $970.58 Date: 1/31/2020
Perf: $985.26 Date: 12/31/2019
Perf: $975.41 Date: 11/30/2019
Perf: $981.49 Date: 10/31/2019
Perf: $971.97 Date: 9/30/2019
Perf: $993.93 Date: 8/31/2019
Perf: $1,022.25 Date: 7/31/2019
Perf: $986.54 Date: 6/30/2019
Perf: $954.00 Date: 5/31/2019
Perf: $935.30 Date: 4/30/2019
Perf: $954.00 Date: 3/31/2019
Perf: $928.46 Date: 2/28/2019
Perf: $896.29 Date: 1/31/2019
Perf: $890.59 Date: 12/31/2018
Perf: $907.10 Date: 11/30/2018
Perf: $903.30 Date: 10/31/2018
Perf: $914.27 Date: 9/30/2018
Perf: $937.43 Date: 8/31/2018
Perf: $941.67 Date: 7/31/2018
Perf: $918.25 Date: 6/30/2018
Perf: $925.19 Date: 5/31/2018
Perf: $917.48 Date: 4/30/2018
Perf: $929.47 Date: 3/31/2018
Perf: $919.54 Date: 2/28/2018
Perf: $920.37 Date: 1/31/2018
Perf: $980.16 Date: 12/31/2017
Perf: $947.75 Date: 11/30/2017
Perf: $937.53 Date: 10/31/2017
Perf: $936.31 Date: 9/30/2017
Perf: $898.66 Date: 8/31/2017
Perf: $918.03 Date: 7/31/2017
Perf: $903.04 Date: 6/30/2017
Perf: $899.53 Date: 5/31/2017
Perf: $926.59 Date: 4/30/2017
Perf: $924.83 Date: 3/31/2017
Perf: $930.41 Date: 2/28/2017
Perf: $944.20 Date: 1/31/2017
Perf: $924.05 Date: 12/31/2016
Perf: $936.13 Date: 11/30/2016
Perf: $929.07 Date: 10/31/2016
Perf: $939.40 Date: 9/30/2016
Perf: $964.28 Date: 8/31/2016
Perf: $976.88 Date: 7/31/2016
Perf: $1,003.88 Date: 6/30/2016
Perf: $993.75 Date: 5/31/2016
Perf: $953.24 Date: 4/30/2016
Perf: $970.21 Date: 3/31/2016
Perf: $995.19 Date: 2/29/2016
Perf: $1,024.60 Date: 1/31/2016
Perf: $1,000.00 Date: 8/31/2020
Perf: $1,981.12 Date: 7/31/2020
Perf: $1,848.23 Date: 6/30/2020
Perf: $1,749.56 Date: 5/31/2020
Perf: $1,715.42 Date: 4/30/2020
Perf: $1,637.47 Date: 3/31/2020
Perf: $1,451.40 Date: 2/29/2020
Perf: $1,655.91 Date: 1/31/2020
Perf: $1,804.41 Date: 12/31/2019
Perf: $1,805.13 Date: 11/30/2019
Perf: $1,752.22 Date: 10/31/2019
Perf: $1,690.84 Date: 9/30/2019
Perf: $1,654.93 Date: 8/31/2019
Perf: $1,624.55 Date: 7/31/2019
Perf: $1,650.63 Date: 6/30/2019
Perf: $1,627.20 Date: 5/31/2019
Perf: $1,520.03 Date: 4/30/2019
Perf: $1,623.10 Date: 3/31/2019
Perf: $1,559.92 Date: 2/28/2019
Perf: $1,530.24 Date: 1/31/2019
Perf: $1,482.65 Date: 12/31/2018
Perf: $1,372.69 Date: 11/30/2018
Perf: $1,508.95 Date: 10/31/2018
Perf: $1,478.78 Date: 9/30/2018
Perf: $1,587.36 Date: 8/31/2018
Perf: $1,578.36 Date: 7/31/2018
Perf: $1,528.53 Date: 6/30/2018
Perf: $1,473.71 Date: 5/31/2018
Perf: $1,464.63 Date: 4/30/2018
Perf: $1,430.16 Date: 3/31/2018
Perf: $1,424.75 Date: 2/28/2018
Perf: $1,461.88 Date: 1/31/2018
Perf: $1,517.89 Date: 12/31/2017
Perf: $1,435.63 Date: 11/30/2017
Perf: $1,419.87 Date: 10/31/2017
Perf: $1,377.58 Date: 9/30/2017
Perf: $1,346.21 Date: 8/31/2017
Perf: $1,319.04 Date: 7/31/2017
Perf: $1,314.96 Date: 6/30/2017
Perf: $1,288.42 Date: 5/31/2017
Perf: $1,280.48 Date: 4/30/2017
Perf: $1,262.68 Date: 3/31/2017
Perf: $1,249.80 Date: 2/28/2017
Perf: $1,248.31 Date: 1/31/2017
Perf: $1,200.64 Date: 12/31/2016
Perf: $1,178.25 Date: 11/30/2016
Perf: $1,155.38 Date: 10/31/2016
Perf: $1,114.15 Date: 9/30/2016
Perf: $1,134.81 Date: 8/31/2016
Perf: $1,134.58 Date: 7/31/2016
Perf: $1,132.99 Date: 6/30/2016
Perf: $1,092.67 Date: 5/31/2016
Perf: $1,089.84 Date: 4/30/2016
Perf: $1,070.57 Date: 3/31/2016
Perf: $1,066.41 Date: 2/29/2016
Perf: $998.70 Date: 1/31/2016
Perf: $1,000.00 Date: 8/31/2020
Perf: $1,592.18 Date: 7/31/2020
Perf: $1,636.53 Date: 6/30/2020
Perf: $1,598.64 Date: 5/31/2020
Perf: $1,630.43 Date: 4/30/2020
Perf: $1,598.94 Date: 3/31/2020
Perf: $1,609.40 Date: 2/29/2020
Perf: $1,683.82 Date: 1/31/2020
Perf: $1,637.48 Date: 12/31/2019
Perf: $1,618.06 Date: 11/30/2019
Perf: $1,578.44 Date: 10/31/2019
Perf: $1,537.40 Date: 9/30/2019
Perf: $1,503.71 Date: 8/31/2019
Perf: $1,463.18 Date: 7/31/2019
Perf: $1,448.27 Date: 6/30/2019
Perf: $1,433.93 Date: 5/31/2019
Perf: $1,421.70 Date: 4/30/2019
Perf: $1,466.12 Date: 3/31/2019
Perf: $1,476.61 Date: 2/28/2019
Perf: $1,414.92 Date: 1/31/2019
Perf: $1,497.90 Date: 12/31/2018
Perf: $1,509.07 Date: 11/30/2018
Perf: $1,506.66 Date: 10/31/2018
Perf: $1,455.57 Date: 9/30/2018
Perf: $1,532.50 Date: 8/31/2018
Perf: $1,496.58 Date: 7/31/2018
Perf: $1,471.27 Date: 6/30/2018
Perf: $1,436.79 Date: 5/31/2018
Perf: $1,407.93 Date: 4/30/2018
Perf: $1,386.30 Date: 3/31/2018
Perf: $1,355.13 Date: 2/28/2018
Perf: $1,332.35 Date: 1/31/2018
Perf: $1,462.19 Date: 12/31/2017
Perf: $1,456.22 Date: 11/30/2017
Perf: $1,456.66 Date: 10/31/2017
Perf: $1,428.38 Date: 9/30/2017
Perf: $1,401.75 Date: 8/31/2017
Perf: $1,394.22 Date: 7/31/2017
Perf: $1,334.95 Date: 6/30/2017
Perf: $1,310.31 Date: 5/31/2017
Perf: $1,277.73 Date: 4/30/2017
Perf: $1,207.80 Date: 3/31/2017
Perf: $1,202.51 Date: 2/28/2017
Perf: $1,173.98 Date: 1/31/2017
Perf: $1,123.21 Date: 12/31/2016
Perf: $1,124.22 Date: 11/30/2016
Perf: $1,134.32 Date: 10/31/2016
Perf: $975.76 Date: 9/30/2016
Perf: $1,065.82 Date: 8/31/2016
Perf: $1,062.95 Date: 7/31/2016
Perf: $1,013.78 Date: 6/30/2016
Perf: $982.44 Date: 5/31/2016
Perf: $923.87 Date: 4/30/2016
Perf: $840.41 Date: 3/31/2016
Perf: $965.66 Date: 2/29/2016
Perf: $876.20 Date: 1/31/2016
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 01/16 - 08/20
Date: 8/31/2020
Return: -2.71 % Date: 7/31/2020
Return: 2.37 % Date: 6/30/2020
Return: -1.95 % Date: 5/31/2020
Return: 1.97 % Date: 4/30/2020
Return: -0.65 % Date: 3/31/2020
Return: -4.42 % Date: 2/29/2020
Return: 2.83 % Date: 1/31/2020
Return: 1.20 % Date: 12/31/2019
Return: 2.51 % Date: 11/30/2019
Return: 2.67 % Date: 10/31/2019
Return: 2.24 % Date: 9/30/2019
Return: 2.77 % Date: 8/31/2019
Return: 1.03 % Date: 7/31/2019
Return: 1.00 % Date: 6/30/2019
Return: 0.86 % Date: 5/31/2019
Return: -3.03 % Date: 4/30/2019
Return: -0.71 % Date: 3/31/2019
Return: 4.36 % Date: 2/28/2019
Return: -5.54 % Date: 1/31/2019
Return: -0.74 % Date: 12/31/2018
Return: 0.16 % Date: 11/30/2018
Return: 3.51 % Date: 10/31/2018
Return: -5.02 % Date: 9/30/2018
Return: 2.40 % Date: 8/31/2018
Return: 1.72 % Date: 7/31/2018
Return: 2.40 % Date: 6/30/2018
Return: 2.05 % Date: 5/31/2018
Return: 1.56 % Date: 4/30/2018
Return: 2.30 % Date: 3/31/2018
Return: 1.71 % Date: 2/28/2018
Return: -8.88 % Date: 1/31/2018
Return: 0.41 % Date: 12/31/2017
Return: -0.03 % Date: 11/30/2017
Return: 1.98 % Date: 10/31/2017
Return: 1.90 % Date: 9/30/2017
Return: 0.54 % Date: 8/31/2017
Return: 4.44 % Date: 7/31/2017
Return: 1.88 % Date: 6/30/2017
Return: 2.55 % Date: 5/31/2017
Return: 5.79 % Date: 4/30/2017
Return: 0.44 % Date: 3/31/2017
Return: 2.43 % Date: 2/28/2017
Return: 4.52 % Date: 1/31/2017
Return: -0.09 % Date: 12/31/2016
Return: -0.89 % Date: 11/30/2016
Return: 16.25 % Date: 10/31/2016
Return: -8.45 % Date: 9/30/2016
Return: 0.27 % Date: 8/31/2016
Return: 4.85 % Date: 7/31/2016
Return: 3.19 % Date: 6/30/2016
Return: 6.34 % Date: 5/31/2016
Return: 9.93 % Date: 4/30/2016
Return: -12.97 % Date: 3/31/2016
Return: 10.21 % Date: 2/29/2016
Return: -12.38 % Date: 1/31/2016
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 01/16 - 08/20
Return: -2.00 %
Count: 1 Return: -4.00 %
Count: 1 Return: -3.00 %
Count: 2 Return: -6.00 %
Count: 1 Return: -5.00 %
Count: 1 Return: -9.00 %
Count: 1 Return: 1.00 %
Count: 5 Return: 4.00 %
Count: 3 Return: 2.00 %
Count: 14 Return: -1.00 %
Count: 4 Return: 16.00 %
Count: 1 Return: -8.00 %
Count: 1 Return: 5.00 %
Count: 2 Return: 3.00 %
Count: 6 Return: 6.00 %
Count: 2 Return: -13.00 %
Count: 1 Return: 10.00 %
Count: 2 Return: -12.00 %
Count: 1 Return: 0.00 %
Count: 7

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 01/16 - 08/20
Date: 8/31/2020
Drawdown: -5.44 % Date: 7/31/2020
Drawdown: -2.81 % Date: 6/30/2020
Drawdown: -5.06 % Date: 5/31/2020
Drawdown: -3.17 % Date: 4/30/2020
Drawdown: -5.04 % Date: 3/31/2020
Drawdown: -4.42 % Date: 2/29/2020
Drawdown: 0.00 % Date: 1/31/2020
Drawdown: 0.00 % Date: 12/31/2019
Drawdown: 0.00 % Date: 11/30/2019
Drawdown: 0.00 % Date: 10/31/2019
Drawdown: 0.00 % Date: 9/30/2019
Drawdown: -1.88 % Date: 8/31/2019
Drawdown: -4.52 % Date: 7/31/2019
Drawdown: -5.50 % Date: 6/30/2019
Drawdown: -6.43 % Date: 5/31/2019
Drawdown: -7.23 % Date: 4/30/2019
Drawdown: -4.33 % Date: 3/31/2019
Drawdown: -3.65 % Date: 2/28/2019
Drawdown: -7.67 % Date: 1/31/2019
Drawdown: -2.26 % Date: 12/31/2018
Drawdown: -1.53 % Date: 11/30/2018
Drawdown: -1.69 % Date: 10/31/2018
Drawdown: -5.02 % Date: 9/30/2018
Drawdown: 0.00 % Date: 8/31/2018
Drawdown: 0.00 % Date: 7/31/2018
Drawdown: 0.00 % Date: 6/30/2018
Drawdown: -1.74 % Date: 5/31/2018
Drawdown: -3.71 % Date: 4/30/2018
Drawdown: -5.19 % Date: 3/31/2018
Drawdown: -7.32 % Date: 2/28/2018
Drawdown: -8.88 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: -0.03 % Date: 11/30/2017
Drawdown: 0.00 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: 0.00 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: 0.00 % Date: 5/31/2017
Drawdown: 0.00 % Date: 4/30/2017
Drawdown: 0.00 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: 0.00 % Date: 1/31/2017
Drawdown: -0.98 % Date: 12/31/2016
Drawdown: -0.89 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: -8.45 % Date: 9/30/2016
Drawdown: 0.00 % Date: 8/31/2016
Drawdown: 0.00 % Date: 7/31/2016
Drawdown: 0.00 % Date: 6/30/2016
Drawdown: -1.76 % Date: 5/31/2016
Drawdown: -7.61 % Date: 4/30/2016
Drawdown: -15.96 % Date: 3/31/2016
Drawdown: -3.43 % Date: 2/29/2016
Drawdown: -12.38 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Sigma Advanced Capital Management
Address:
City:
State:
Zip:
Country:

Key People

Key People

Employee information is not available.

Additional Information

 Futures Sectors Traded
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Discretionary Yes 
 Diversified Yes 
 Other Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Developed Only Yes 
 Holding Period
 Investment Terms & Information
 Managed Account Minimum: $200,000 
 Margin / Equity Ratio: 12% 
 Managed Account Availability: Open 
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