Bayland Capital Management, LLC : The Bayland Trading Program (P)

archived programs
Year-to-Date
N / A
Jan Performance
-2.41%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
41.00%
Sharpe (RFR=1%)
0.65
CAROR
20.42%
Assets
$ 600k
Worst DD
-48.22
S&P Correlation
0.18

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
12/2007
The Bayland Trading Program (P) -2.41 - - - - - -2.35 116.92
S&P 500 4.36 - - - - - 16.10 135.92
+/- S&P 500 -6.77 - - - - - -18.45 -18.99

Strategy Description

Summary

Bayland Capital Management, LLC is an alternative investment management firm engaged in the management of commodity futures trading accounts for qualified investors. Bryan Bonner is founder and President of Bayland Capital Management, LLC. The Bayland Trading Program uses a proprietary... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $20.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 3720 RT/YR/$M
Avg. Margin-to-Equity 35%
Targeted Worst DD
Worst Peak-to-Trough 33.85%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 64.00%
1-3 Months 15.00%
1-30 Days 21.00%
Intraday 0%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Technical
10.00%
Trend-following
90.00%
Strategy Pie Chart

Composition

Interest Rates
14.00%
Softs
14.00%
Grains
13.00%
Currency Futures
12.00%
Industrial Metals
11.00%
Stock Indices
11.00%
Energy
9.00%
Precious Metals
6.00%
Livestock
5.00%
Other
5.00%
Composition Pie Chart

Summary

Bayland Capital Management, LLC is an alternative investment management firm engaged in the management of commodity futures trading accounts for qualified investors. Bryan Bonner is founder and President of Bayland Capital Management, LLC. The Bayland Trading Program uses a proprietary systematic approach that attempts to identify behavioral characteristics and then establishes either long or short positions when those characteristics exist in significant enough force that the price behavior may be expected to persist for a sufficient length of time. The approach is primarily mechanistic, but some limited amount of discretion is used in certain situations which include, but are not limited to, in which delivery months positions are held, which markets are considered viable for the strategy, how new accounts incorporate existing positions, and how much risk the strategy as a whole will accept.

Investment Strategy

The Bayland Trading Program uses a proprietary systematic approach that attempts to identify behavioral characteristics and then establishes either long or short positions when those characteristics exist in significant enough force that the price behavior may be expected to persist for a sufficient length of time. The approach is primarily mechanistic, but some limited amount of discretion is used in certain situations which include, but are not limited to, in which delivery months positions are held, which markets are considered viable for the strategy, how new accounts incorporate existing positions, and how much risk the strategy as a whole will accept. Combining multiple approaches in a unified strategy, the Advisor utilizes long and short positions to seek maximum profits amidst varying durations of price movements. The Advisor believes that diversification among trading approaches increases the number of market environments from which its program can extract profits. The Bayland Trading Program will trade futures and options in a broad array of markets, including, but not limited to, equity indices, government bonds, energies, grains, livestock, precious and base metals and others, traded on U.S. and non-U.S. exchanges.

Risk Management

Positions are established to take advantage of developing trends and managed to limit downside risk during unfavorable market conditions. Effective risk management is a crucial aspect of the trading program. With the goal of limiting potential loss, the Advisor uses risk assessment techniques. Account size, expectation, volatility of market traded and the nature of other positions taken are all factors in deciding whether to take a position and determining the amount of equity committed to that position. Protective stops may be used to control risks. There are times when the Advisor’s trading program is fully positioned in the markets and times when it may not be in the markets at all depending on assessment of the reward and risk ratio. The program is geared toward absolute return. Thus, despite the risk management of the Advisor, the Advisor’s trading will be volatile and there is an inherent downside risk.

   

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
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Sharpe Ratio: (RF=1%)
Skewness:
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Risk
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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
-48.22 5 - 4/1/2011 9/1/2011
-33.85 3 3 6/1/2008 9/1/2008
-28.25 2 6 4/1/2010 6/1/2010
-7.83 2 1 11/1/2009 1/1/2010
-6.10 3 3 2/1/2009 5/1/2009
-5.34 1 1 4/1/2008 5/1/2008
-2.08 1 1 9/1/2009 10/1/2009
-1.69 1 1 2/1/2008 3/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
59.11 5 12/1/2010 4/1/2011
58.27 5 10/1/2008 2/1/2009
41.18 3 2/1/2010 4/1/2010
36.96 3 12/1/2007 2/1/2008
35.65 4 7/1/2010 10/1/2010
21.85 1 11/1/2009 11/1/2009
19.48 3 10/1/2011 12/1/2011
17.40 2 7/1/2011 8/1/2011
14.75 1 6/1/2008 6/1/2008
10.13 4 6/1/2009 9/1/2009
5.60 1 4/1/2008 4/1/2008
0.82 1 4/1/2009 4/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-38.46 1 9/1/2011 9/1/2011
-33.85 3 7/1/2008 9/1/2008
-28.32 2 5/1/2011 6/1/2011
-28.25 2 5/1/2010 6/1/2010
-10.64 1 11/1/2010 11/1/2010
-7.83 2 12/1/2009 1/1/2010
-6.09 1 5/1/2009 5/1/2009
-5.34 1 5/1/2008 5/1/2008
-2.41 1 1/1/2012 1/1/2012
-2.08 1 10/1/2009 10/1/2009
-1.69 1 3/1/2008 3/1/2008
-0.82 1 3/1/2009 3/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods50.0048.0045.0039.0033.0027.0015.00
Percent Profitable66.0064.5864.4487.1893.94100.00100.00
Average Period Return2.326.7211.7428.8347.8869.30110.05
Average Gain8.7518.8526.2935.4752.2569.30110.05
Average Loss-10.17-15.39-14.62-16.37-19.88
Best Period21.8552.3258.5568.13129.81128.30170.36
Worst Period-38.46-33.85-42.76-25.01-20.799.5738.22
Standard Deviation11.8420.6226.1123.5836.3235.9343.83
Gain Standard Deviation5.9013.3818.3816.6532.8935.9343.83
Loss Standard Deviation10.4210.4114.808.231.28
Sharpe Ratio (1%)0.190.310.431.181.281.872.44
Average Gain / Average Loss0.861.221.802.172.63
Profit / Loss Ratio1.672.233.2614.7440.73
Downside Deviation (10%)8.5311.5713.318.136.770.13
Downside Deviation (5%)8.3911.0812.426.765.27
Downside Deviation (0%)8.3610.9612.216.434.90
Sortino Ratio (10%)0.220.470.702.935.95450.24
Sortino Ratio (5%)0.270.580.914.128.80
Sortino Ratio (0%)0.280.610.964.499.77

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.