Global Sigma CME AGSF fund April 2013 Global Sigma BondVOL

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1 Global Sigma

2 Global Sigma applies a model-driven, high turn over approach to option trading in the S&P500 futures market. Global Sigma began trading managed accounts in late 2009 around the same time the weekly expiry options contract on the S&P500 was launched by the CME. Global Sigma has become one of the most active traders of the weekly expiry option in the CTA industry. The AGSF fund was launched in April Global Sigma also managed the Global Sigma BondVOL fund which applies a volatility relative value approach to the Treasury Bond/Note futures and option markets. The strategy generally seeks to trade inefficiently priced Puts and Calls on the S&P500 that have strikes that are 1.5 to 2 standard deviations away from the current S&P500 price. 90% to 95% of the time, the options expire at $0. The strategy partially hedges the portfolio s Delta/Gamma exposures by taking positions in the S&P500 futures market and by buying underpriced Puts and Calls. Options that are purchased have strikes that are generally 0 to 1 standard deviations away from the current S&P500 price. Risk Exposures & Hedging: Due to the high weekly turn-over of the portfolio, the primary risk exposure of the portfolio is Gamma. This is in contrast to the typical option premium capture portfolio that sells 1-3 month expiry options and is subject to significant vega risk exposures. For example, a 3-month option has 14x the Vega exposure when compared to a 1-week option. Implied Volatility is much more challenging to model/forecast than forecasting short-term Gamma/S&P500 prices. The Delta/Gamma exposure of the portfolio can be hedged 24 hours a day via the S&P500 futures market. This investment is not suitable for everyone. Please refer to the Disclaimer section for information relating to the risks involved. This information is only for Qualified Eligible Clients as defined by the CFTC Regulations. 2

3 Hanming Rao Founder, CIO Millennium Partners, StatisticalArbitrage Group Model Developer, January 2009 to June 2009 SAC Capital, Global Macro Trader, June 2006 to January 2009 Managed approximately$100m in assetsfor the Global Macro division. Instruments traded included short-dated OTC Options/Swaps on Equity ETF and commodities. Ellington Management, Quantitative Analyst,January 2005 to June 2006 Mortgage prepayment modeling. Harvard University, PhD in Engineering Sciences, 2005, Masters in Computer Sciences Ambrose Paxson, COO & CCO Ping Capital Management, January 2008 to February 2015 Co-founder of a Global Macro hedge fund that grew to $300m in assets. Involved in all aspects of firm s growth. As Compliance Officer, managed registration with SEC, and oversaw firm s compliance procedures. SAC Capital, Trader, May 2006 to December 2007 Member of the Global Macro trading group. Hisdesk was next to Global Sigma CIO Hanming Rao. Lehman Brothers, Proprietary Trader, October 1998 to March 2006 Traded G7 and EMG Currencies utilizing Spot, Futures and Option products. Duke University, BA, Economics Paul Eckel 3 rd party marketer for Global Sigma, July 2010 to Present, New York Emerging Manager, CEO; Marketing & COO Consultant Services, 2004 to Present Best Marketer CTA Intelligence, finalist; Quant Marketer of the Year Battle of the Quants Cydonia Capital & MicroCapital, Co-Founder, COO, Marketer Moore Capital & Caxton Corporation, Global Macro & Options Trader 3

4 Ivan Skobtsov, Portfolio Manager, CFA PIMCO, Portfolio Manager, Fixed Income Derivatives, 2002 to 2015 Managed >$100bn (notional) interest rate options book from 2009 to 2012 Deutscher Investment Trust, Portfolio Manager Anglo-American PLC, Portfolio Manager HSBC, Analyst, Asset Mgt. and Treasury Departments State University of New York, M.A. Economics and Finance Moscow State University, Applied Mathematics Tim Fuchs, Trader Graham Capital, Trader in both the US and London offices, Nov 2010 to April 2015 University of Virginia, History Ray Huang, Trader / Risk Manager Optimize Goals, Financial Software Developer Bank of China, Financial Analyst New York University, Master of Science, Financial Engineering, Peking University, Bachelor of Science, Statistics Peter Zhang, Operations Black Phoenix Research, Software Designer, Bank of Jiangsu, Account Manager, People s Bank of China, Research DePaul University, M.S., Computation Finance 4

5 Portfolio Profile Strategy Description Buy/Sell inefficiently-priced, model-driven, high turnover approach Instruments Traded Weekly Put & Call Options on emini S&P500 futures, and emini S&P futures 3 Models 1) Option Pricing, 2) Volatility/VIX Predictor, 3) S&P500 Range/Direction Predictor Inputs Technical; price, volume, associated Greeks, significant CIO discretionary input. Option Holding Periods 1 to 7 days; Weekly-expiry options begin trading the Thursday proceeding the following week s Friday 4:00pm expiration period Avg. Daily Delta Exp since inception, since Jan Margin to Equity 50% average over the 7-day cycle of the weekly options, 10% to 80% range Hedge Instruments Risk Management Strategy Capacity Est. emini S&P500 Futures; trades 24 hours a day on CME Globex market platform and Weekly Puts & Calls on S&P500 futures Partial hedging generally occurs when the NAV is -0.5% for the week. -3% NAV for the week, attempt to fully hedge the Delta/Gamma exposures. -10% NAV, objective is to liquidate to cash if market liquidity permits $600m. Capacity is largely defined by ability to hedge via futures since the strategy does not have to buy-back the short option positions that expire at $0. At $200m AUM, GS estimates the program volume is approximately 0.8% of total true volume (emini S&P500 + CBOE S&P500/100, CME S&P500/100 + SPY 100 ETF Options + OTC) 5

6 Fund and SMA Returns (thru 7/15) Strategy total AUM $182m Fund AUM $95m Jan Feb Mar April May June July Aug Sep Oct Nov Dec YTD % 1.6% 1.8% 1.6% 1.2% 1.8% 0.6% 10.1% % 1.4% 1.6% 1.3% 2.0% 1.9% 1.4% -8.8% 4.3% -9.0% 1.6% 2.0% 0.3% % 2.3% 1.9% 1.1% 1.3% 1.1% -0.3% 2.3% 1.9% 0.1% 2.4% 2.7% 19.8% 2013 AGSF Fund Launch 1.1% 1.6% 2.1% 1.2% 1.8% 1.8% 2.4% 1.2% 2.8% 17.2% SMA returns below assume a fully-funded, non-notionalized account. SMAs can be leveraged by 20% % 1.0% 1.0% 1.0% 0.7% 1.2% 0.5% 6.2% % 1.0% 1.2% 0.9% 1.4% 1.3% 1.0% -7.6% 2.8% -7.0% 1.0% 1.3% -2.2% % 1.7% 1.4% 0.7% 0.9% 0.7% -0.4% 1.7% 1.4% -0.1% 1.8% 1.9% 13.4% % 1.0% 1.5% 0.8% 1.1% 1.6% 1.0% 1.1% 1.4% 1.8% 0.9% 2.1% 15.9% % 1.4% 1.8% 1.3% 1.8% 0.1% -0.4% 1.1% 1.8% 1.4% 1.5% 1.3% 15.1% % 1.4% 1.6% 1.2% 2.0% 1.2% 2.4% -1.6% 3.9% 1.7% 1.9% 1.3% 20.2% % 1.7% 1.2% 1.2% 3.0% 2.1% 1.3% 1.0% 2.5% 1.6% 1.8% 1.4% 23.3% 2009 SMA Launch 2.1% 1.4% 3.6% Blue: Estimated Average Net Return of the AGSF fund; Green: Average Net Return of all of the Separately Managed Accounts Avg Annual Return 14% Sharpe Ratio 1.7 Maximum Monthly DD -9.0% Profitable Months 93% AGSF Fund 3.2 year track record SMA Net Returns Fund Net Returns 100 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 The material contained herein does not constitute an offer to purchase a security or to invest in a fund or managed futures product. Such offers are made only by a sponsor's 4.7 exempt disclosure document and trading authorization agreement (which contains a detailed description of risk factors) or the Fund s PPM. There are material risks associated with the ownership of investments including limited liquidity and potential to lose more than account value if a managed account is selected by the investor. This investment is not suitable for everyone, an investment is suitable for qualified eligible persons only. Past performance is not indicative of future performance. Please consult your own financial, legal, due diligence and tax counsel before making an investment in this product. Please disregard this informational report if you are a EU Fund allocator and did not initiate communication with Global Sigma Group or Emerging Manager Advisors, LLC (and affiliates). Products may be offered by broker dealer and Introducing Broker Emerging Manager Advisors, LLC. 6

7 Custodian FCMs Wells Fargo & FC Stone Execution FCM FC Stone Auditor EisnerAmper Fund Administrator NAV Consulting Counsel Compliance Consultant Swiss Representative / Agent Bank Sadis & Goldberg, Ogier (Offshore) Futures Accounting & Compliance; JG Advisory Services FundBase Fund Services & Neue Helvetische Bank Fund Names Fees Minimum Investment AGSF, LP (Master) and AGSF, Ltd (BVI feeder) 2% Management & 20% Incentive $1 million 7

8 Disclaimer This document was created by Emerging Manager, LLC. The information contained herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any managed account, limited partnership interests or shares in any Global Sigma Group products including AGSF, LP & AGSF, Ltd, Global Sigma BondVOL, LP & Ltd ( Fund ) or to participate in any trading strategy. If any offer of a managed account, limited partnership interests is made, it shall be pursuant to a 4.7 exempt disclosure document and trading authorization agreement (which contains a detailed description of risk factors), private placement memorandum that will describe in greater detail the Fund and which would contain material information not contained herein and which shall supersede this information in its entirety. Any decision to invest in a managed account or limited partnership interests in the Fund should be made after reviewing such definitive documents, conducting such investigations as the investor deems necessary and consulting the investor s own investment, legal, due diligence, accounting and tax advisors in order to make an independent determination of the suitability and consequences of an investment in managed accounts or the Fund. This Investment is not suitable for everyone. Investments are suitable for qualified eligible persons only. Significant risks are involved when investing in these type of products including limited liquidity and the potential to lose more than the account value if a managed account is selected by the investor. Please disregard this material if you or your firm is an Fund investor and a EU member and you did not initial communication with Global Sigma Group, LLC (and its affiliates) or Emerging Manager Advisors, LLC (and its affiliates). Products may be offered by broker dealer and Introducing Broker Emerging Manager Advisors, LLC This presentation and its contents are proprietary information of the Fund, and any reproduction of this information, in whole or in part, without the prior written consent of the Fund or of the Investment Manager is prohibited. Neither, the Fund, Global Sigma Group nor any of their respective partners, members, officers, directors, managers or affiliates are acting as your advisor or agent. Hedge fund and futures investing is speculative and involves substantial investment, liquidity and other risks. Hedge funds and futures trading can be leveraged and their performance results can be volatile. Past performance is no indication of future results. There is no public market for the investors interest in the Fund and the Fund s limited partnership agreement will impose significant transfer restrictions. Furthermore, the limited partnership agreement will limit the investor s ability to redeem its investment in the Fund. As a result, an investor may lose its entire investment therein. Fees and expenses of the GP and the Investment Manager may offset the Fund s profits. This document contains certain forward-looking statements that involve risks and uncertainties, including, in particular, those regarding the ability of the Fund to achieve expected performance targets from its investments and to continue to meet its future operating obligations. Other factors that could cause or contribute to such risks and uncertainties include, but are not limited to, the Fund s ability to meet its targeted level of overhead expenditure, changes in general economic and business conditions, unanticipated effects of competition, changes in technology and methods of marketing, and various other factors beyond the control of the Fund and the Investment Manager. In addition, any forward-looking statements represent our estimates only as of today and should not be relied upon as representing our estimates as of any subsequent date. While we may elect to update forward-looking statements at some point in the future, we specifically disclaim any obligation to do so, even if our estimates changes. The AGSF, Ltd. Fund is compliant with Swiss law for distribution to qualified investors in or from Switzerland. The Swiss representative is Fundbase Fund Services AG, Bahnhofstrasse 3, CH-8808 Pfaeffikon SZ. The Swiss paying agent is Neue Helvetische Bank Ltd., Seefeldstrasse 215, CH-8008 Zurich. Investors in Switzerland can obtain the binding documents of the Fund, such as legal fund documents, audited annual reports, directors reports and marketing material free of charge from the Swiss representative. This document may only be issued, circulated or distributed so as not to constitute an offering to the general public in Switzerland. Recipients of the document in Switzerland should not pass it on to anyone without first consulting their legal or other appropriate professional adviser, or the Swiss representative. 8

9 Global Sigma Group 1900 Glades Road Boca Raton, FL Paul Eckel Investor Relations New York 9