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Global Sigma Bond Vol Fund

New York City

Global Sigma Bond Vol is a model-driven, high turnover trading approach to the Treasury Bond and Note options markets. The strategy manages a portfolio of Wednesday and Friday Put and Call options on the Treasury Bond and Note futures. The program employs rigorous historical and simulated future statistical testing to uncover option pricing inefficiencies. Tbond and Tnote futures are employed to partially hedge portfolio exposures to certain directional and volatility risks. About 75% of the exposure is concentrated in the Tbond and 25% in the Tnote.

Global Sigma's CIO Hanming Rao was a Quantitative Model Developer at Millennium Partners prior to Global Sigma.

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