Beam Bayesian Efficient Asset Management LLC : BOND&FX Client Composite

archived programs
Year-to-Date
N / A
Mar Performance
-0.55%
Min Investment
$ 5,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
8.48%
Sharpe (RFR=1%)
0.62
CAROR
6.07%
Assets
$ 3.9M
Worst DD
-15.81
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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
3/2009
BOND&FX Client Composite -0.55 1.41 - 0.49 -5.63 19.48 - 43.09
S&P 500 -1.74 0.44 - 10.44 46.82 76.80 - 159.13
+/- S&P 500 1.19 0.97 - -9.95 -52.44 -57.32 - -116.05

Strategy Description

Summary

The BOND&FX program is a systematic global investment strategy. The program typically has low correlations to other active and passive investment programs because of its use of proprietary Bayesian formulation to forecasting, portfolio optimization and risk management. The program... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
769 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Financial & Metals Traders

Holding Periods

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

Decision-Making

Discretionary
95.00%
Systematic
5.00%

Strategy

Fundamental
80.00%
Technical
20.00%
Strategy Pie Chart

Composition

Currency Futures
50.00%
Interest Rates
50.00%
Composition Pie Chart

Summary

The BOND&FX program is a systematic global investment strategy. The program typically has low correlations to other active and passive investment programs because of its use of proprietary Bayesian formulation to forecasting, portfolio optimization and risk management. The program incorporates forecasting errors into its learning process and makes adjustments in the portfolio to adapt to structural changes occurring in the markets. It is designed to provide portable scalable alpha with superior risk-adjusted long-term returns. The portfolio takes positions in fixed income and currency futures.

   

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
-15.81 26 - 7/1/2012 9/1/2014
-9.25 6 5 9/1/2010 3/1/2011
-4.50 2 4 1/1/2012 3/1/2012
-2.86 1 2 10/1/2011 11/1/2011
-2.10 1 1 11/1/2009 12/1/2009
-0.77 1 1 2/1/2010 3/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
22.32 6 4/1/2010 9/1/2010
17.75 7 4/1/2011 10/1/2011
16.99 9 3/1/2009 11/1/2009
7.10 4 4/1/2012 7/1/2012
5.37 2 1/1/2010 2/1/2010
4.41 2 12/1/2011 1/1/2012
3.66 2 9/1/2013 10/1/2013
3.62 2 10/1/2014 11/1/2014
3.23 1 1/1/2015 1/1/2015
2.61 1 4/1/2013 4/1/2013
2.15 2 4/1/2014 5/1/2014
1.94 2 1/1/2014 2/1/2014
1.30 1 2/1/2013 2/1/2013
0.77 2 11/1/2012 12/1/2012
0.31 1 2/1/2011 2/1/2011
0.21 1 8/1/2014 8/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.77 4 10/1/2010 1/1/2011
-8.13 4 5/1/2013 8/1/2013
-4.57 2 11/1/2013 12/1/2013
-4.50 2 2/1/2012 3/1/2012
-4.21 1 3/1/2013 3/1/2013
-3.81 1 9/1/2014 9/1/2014
-2.98 1 1/1/2013 1/1/2013
-2.86 1 11/1/2011 11/1/2011
-2.48 2 6/1/2014 7/1/2014
-2.31 3 8/1/2012 10/1/2012
-2.10 1 12/1/2009 12/1/2009
-1.76 2 2/1/2015 3/1/2015
-0.83 1 3/1/2011 3/1/2011
-0.77 1 3/1/2010 3/1/2010
-0.46 1 3/1/2014 3/1/2014
-0.40 1 12/1/2014 12/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable61.6466.2063.2466.1358.9358.0071.0588.46
Average Period Return0.521.643.276.058.7710.6016.8020.75
Average Gain1.994.117.4912.1619.8924.2626.2123.79
Average Loss-1.84-3.21-3.99-5.89-7.19-8.25-6.30-2.55
Best Period8.5813.7922.3229.6645.7939.5558.1057.10
Worst Period-4.61-6.44-9.71-12.22-12.70-13.98-10.76-6.67
Standard Deviation2.454.587.3411.2516.2218.4822.7017.78
Gain Standard Deviation1.643.435.668.4911.5311.4120.2616.57
Loss Standard Deviation1.481.852.753.913.593.203.663.58
Sharpe Ratio (1%)0.180.300.380.450.450.470.610.94
Average Gain / Average Loss1.081.281.882.062.772.944.169.32
Profit / Loss Ratio1.742.513.234.033.974.0610.2271.42
Downside Deviation (10%)1.662.794.286.869.8512.2413.4111.65
Downside Deviation (5%)1.492.273.174.596.016.955.382.58
Downside Deviation (0%)1.452.142.924.095.135.723.871.32
Sortino Ratio (10%)0.070.150.190.150.120.030.08-0.07
Sortino Ratio (5%)0.290.610.871.101.211.242.566.46
Sortino Ratio (0%)0.360.771.121.481.711.854.3415.73

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 8 2.97 9/2013
Discretionary Trader Index Month 5 8.58 8/2010
Discretionary Trader Index Month 8 4.88 1/2010

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