B.A.M. Investments AG : BAM Espresso Fund SPC Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since4/2012 BAM Espresso Fund SPC -1.53 - - - - - - -26.89 S&P 500 -1.50 - - - - - - 147.85 +/- S&P 500 -0.03 - - - - - - -174.74 Strategy Description SummaryBAM 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% Composition Currency FX 25.00% Energy 25.00% Interest Rates 25.00% Stock Indices 25.00% SummaryBAM 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%. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel