B.A.M. Investments AG : BAM Espresso Fund SPC

archived programs
Year-to-Date
N / A
Jun Performance
-1.53%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
13.73%
Sharpe (RFR=1%)
-1.81
CAROR
-
Assets
$ 2.1M
Worst DD
-26.89
S&P Correlation
-0.38

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jun Qtr YTD 1yr 3yr 5yr 10yr Since
4/2012
BAM Espresso Fund SPC -1.53 - - - - - - -26.89
S&P 500 -1.50 - - - - - - 147.85
+/- S&P 500 -0.03 - - - - - - -174.74

Strategy Description

Summary

BAM Espresso Fund SPC uses a multi-strategy program is a global multi-asset class systematic investment strategy. The Fund uses one integrated forward-looking systematic model that is based on a unique Bayesian formulation. A probabilistic Bayes formulation is used in spam-filters... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 10.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD
Worst Peak-to-Trough 17.50%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Currency FX
25.00%
Energy
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Composition Pie Chart

Summary

BAM Espresso Fund SPC uses a multi-strategy program is a global multi-asset class systematic investment strategy. The Fund uses one integrated forward-looking systematic model that is based on a unique Bayesian formulation. A probabilistic Bayes formulation is used in spam-filters and quality management systems in order to make predictions based on uncertainty. The model uses to a large extent economic data and to a lesser extent price data. In contrast to trend-following strategies the model is forward-looking and has an in-built learning capability, adjusting to structural changes in the market. The Bayesian model has been deployed for over 10 years and it trades in the most liquid G10 stock indices, bonds, FX and commodity futures. It is therefore complementary to traditional trend-following strategies. The system is traded with a target annualized volatility of approximately 15%.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-26.89 -1 - 1/1/0001 6/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
5.58 3 5/1/2012 7/1/2012
2.71 2 9/1/2012 10/1/2012
1.70 1 2/1/2013 2/1/2013
1.07 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.90 3 11/1/2012 1/1/2013
-8.42 2 5/1/2013 6/1/2013
-8.30 1 3/1/2013 3/1/2013
-5.50 1 4/1/2012 4/1/2012
-4.00 1 8/1/2012 8/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods15.0013.0010.00
Percent Profitable46.6715.3810.00
Average Period Return-1.99-5.32-10.91
Average Gain1.573.664.10
Average Loss-5.10-6.96-12.58
Best Period3.505.584.10
Worst Period-8.30-14.48-22.19
Standard Deviation3.966.409.65
Gain Standard Deviation1.132.71
Loss Standard Deviation2.575.418.57
Sharpe Ratio (1%)-0.52-0.87-1.18
Average Gain / Average Loss0.310.530.33
Profit / Loss Ratio0.270.100.04
Downside Deviation (10%)4.398.9016.20
Downside Deviation (5%)4.178.1514.58
Downside Deviation (0%)4.127.9714.18
Sortino Ratio (10%)-0.55-0.74-0.83
Sortino Ratio (5%)-0.50-0.68-0.78
Sortino Ratio (0%)-0.48-0.67-0.77

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.