For the not so many years Sigma has been alive, he's been used by everyone around him---once he was no longer useful, they got rid of him---including Fyodor Dostoevsky. He never once had a home, not a friend, nothing.

So when you came along and randomly took him, Sigma was beyond confused. You had momentarily kidnapped him for some reason he didn't quite understand.

From what you told him, you needed him for a mission. He'd lie if he hadn't heard that before. However, you had something against Fyodor---which led to you needing his help.

"What are we even doing..? Why do you need me..?!" Sigma said for the fifth time, following you from behind. He was getting a bit annoyed but also quite worried about your plans.