Summary

The goal of Series A is to construct a diversified portfolio with minimal correlation to equity and fixed income markets, while maximizing returns given a stable volatility. It aims to improve the risk adjusted returns of any diversified asset portfolio. Additionally, Sigma strives to achieve these goals by basing trading decisions exclusively on the output of mathematical algorithms, eliminating any subjectivity from the daily process. To accomplish this, it converts ideas like "diversified portfolio" and "minimal correlation" into quantitative statements and optimization procedures that can be explicitly (back-) tested and simulated. The result is a unique quantitative fund with roughly 0 historical correlation to equity and fixed income benchmarks while producing consistently positive net excess returns (above 3 month t-bills) with stable volatility. In addition, the unique strategy offered by Series A demonstrates a low correlation to the managed futures asset class. The transparent strategy offers both a fund structure as well as separate accounts which can provide up to daily liqudity.