CARBON NEUTRAL ALPHA PROGRAM (QEP only)

The CARBON NEUTRAL ALPHA (“CNA”) PROGRAM is an absolute return program. It develops a risk-adjusted portfolio of the most liquid futures and spreads of the European Carbon Allowances (EUAs) contracts, it seeks to perform in different market environments and economic cycles. The EUAs are a unique asset class with strong bias and inefficiencies due to the market's regulatory policies, hedging pressure, weather, and supply/demand fundamentals.

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

For historical performance and more information contact: ir@sigmadvanced.com

DERIVATIVE TRANSACTIONS, INCLUDING FUTURES, ARE COMPLEX AND CARRY A RISK OF SUBSTANTIAL LOSSES.THEY ARE INTENDED FOR SOPHISTICATED INVESTORS WHO UNDERSTAND RISK. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

203 North LaSalle Dr. Suite 2110, Chicago, IL 60601 - United States ir@sigmadvanced,com / Tel: +1 312 646 5079 / +1 773 954 4991

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