INVESTMENT PROGRAMS

Sigma Advanced Capital Management seeks absolute returns and alpha strategies through a Quantamental Investment Process that combines quantitative techniques like statistical modeling, machine learning, and natural language processing with discretionary and fundamental analysis.

 

We currently managed two programs:

Carbon Neutral Alpha Program (CNA)  - QEP Only

Bloomberg Ticker: SIGMCNA US Equity

 

An Absolute return program focusing on carbon markets including carbon allowances and emission offsets futures. It develops a risk-adjusted portfolio of the most liquid futures and spreads of the Compliance Carbon Allowances and Voluntary Carbon offsets contracts, which it seeks to perform in different market environments and economic cycles. 

Investment Thesis

  • Emissions Trading Systems (ETS) should be used if the Paris Agreement's objectives are to be met and climate change is to be effectively addressed. Voluntary Carbon Markets (VCM) are a complementary mechanism to these goals.

  • Carbon market prices in both mechanisms (ETS and VCM) must rise dramatically from current levels.

  • Carbon prices deviate from their fundamental value.

  • Inefficiencies in carbon market term structure provide asymmetric directional opportunities and relative value alpha strategies.

  • Carbon markets are dominated by end-users seeking to manage their carbon risk exposure and "net zero" commitments, resulting in discernible supply/demand behavior and trading patterns. Quantitative modeling and fundamental analysis can be used to identify and profit from these patterns.

  • Carbon markets will expand over the next decade, increasing markets, volatility and active investment opportunities.

Global Advanced Futures and Spread Program (GAFS)  - QEP Only

Bloomberg Ticker: SIGMADV US Equity

 

An absolute return program in commodity markets that focuses on calendar spreads, directional and relative value strategies.

 

Investment Thesis

The program aims to identify and capitalize on term structure inefficiencies caused by:

  • Changes in the cost of carry

  • Supply and Demand Shocks

  • Macroeconomic events

  • Commodity index rolls

  • Extreme spread price deviations 

  • Price deviates from fundamental factors

  • Hedging pressure

  • Weather Events 

  • Mean reversion and seasonal patterns.