Beam Bayesian Efficient Asset Management LLC : FX (Proprietary)

archived programs
Year-to-Date
3.47%
Jun Performance
0.00%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
6.31%
Sharpe (RFR=1%)
0.31
CAROR
2.80%
Assets
$ 1.0M
Worst DD
-41.34
S&P Correlation
0.03

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
10/1997
FX (Proprietary) 0.00 2.77 3.47 4.15 -23.20 -34.67 -27.51 72.43
S&P 500 0.33 2.41 8.08 15.29 23.44 77.64 60.93 164.51
+/- S&P 500 -0.33 0.36 -4.61 -11.14 -46.63 -112.31 -88.43 -92.09

Strategy Description

Summary

The 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... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
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
221 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Currency 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

Counter-trend
10.00%
Fundamental
50.00%
Momentum
10.00%
Technical
20.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

The 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 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
-41.34 65 - 8/1/2011 1/1/2017
-8.02 7 11 7/1/2008 2/1/2009
-5.96 4 11 6/1/1998 10/1/1998
-5.77 6 5 11/1/2005 5/1/2006
-5.72 10 4 3/1/2001 1/1/2002
-4.98 8 6 2/1/2004 10/1/2004
-3.86 1 3 10/1/2007 11/1/2007
-3.49 2 1 6/1/2003 8/1/2003
-2.86 1 2 7/1/2007 8/1/2007
-2.82 3 4 12/1/2010 3/1/2011
-2.76 2 1 6/1/2005 8/1/2005
-2.56 1 2 5/1/2000 6/1/2000
-2.55 2 3 1/1/2007 3/1/2007
-1.32 1 2 1/1/2003 2/1/2003
-1.23 1 2 4/1/2010 5/1/2010
-0.75 1 2 2/1/2008 3/1/2008
-0.64 1 1 1/1/2001 2/1/2001
-0.41 1 1 2/1/2010 3/1/2010
-0.38 2 1 9/1/2010 11/1/2010
-0.12 1 1 8/1/2000 9/1/2000
-0.05 1 1 6/1/2002 7/1/2002
-0.04 1 1 8/1/2002 9/1/2002
-0.02 1 1 1/1/1998 2/1/1998
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Consecutive Gains

Run-up Length (Mos.) Start End
16.40 10 8/1/1999 5/1/2000
15.84 6 9/1/2003 2/1/2004
11.80 5 2/1/2002 6/1/2002
11.31 4 10/1/2006 1/1/2007
10.32 4 3/1/1998 6/1/1998
9.11 4 3/1/2003 6/1/2003
7.73 4 10/1/1997 1/1/1998
6.43 4 10/1/2002 1/1/2003
6.20 3 9/1/2005 11/1/2005
6.16 4 6/1/2010 9/1/2010
6.13 6 6/1/2009 11/1/2009
5.84 4 4/1/2007 7/1/2007
5.75 3 12/1/2007 2/1/2008
5.56 3 4/1/2005 6/1/2005
5.13 4 4/1/2008 7/1/2008
4.95 4 11/1/2004 2/1/2005
4.65 5 4/1/2011 8/1/2011
4.53 4 10/1/2000 1/1/2001
4.52 3 6/1/2006 8/1/2006
3.55 2 9/1/2007 10/1/2007
3.49 2 7/1/2000 8/1/2000
3.48 5 1/1/1999 5/1/1999
3.30 1 5/1/2017 5/1/2017
2.56 1 3/1/2001 3/1/2001
2.50 2 1/1/2010 2/1/2010
2.40 1 10/1/2011 10/1/2011
2.40 1 6/1/2001 6/1/2001
2.34 2 12/1/2011 1/1/2012
2.29 1 2/1/2017 2/1/2017
1.98 2 3/1/2009 4/1/2009
1.97 1 7/1/2004 7/1/2004
1.87 3 9/1/2016 11/1/2016
1.47 1 7/1/2015 7/1/2015
1.46 2 6/1/2012 7/1/2012
1.44 1 5/1/2016 5/1/2016
1.42 3 2/1/2014 4/1/2014
1.25 1 11/1/1998 11/1/1998
1.18 2 10/1/2015 11/1/2015
1.13 1 4/1/2010 4/1/2010
1.02 2 8/1/2001 9/1/2001
0.98 1 12/1/2010 12/1/2010
0.62 1 9/1/2013 9/1/2013
0.54 1 4/1/2012 4/1/2012
0.45 1 11/1/2008 11/1/2008
0.37 1 5/1/2004 5/1/2004
0.33 1 9/1/2004 9/1/2004
0.27 1 8/1/2002 8/1/2002
0.22 1 7/1/2013 7/1/2013
0.13 1 1/1/2015 1/1/2015
0.08 1 1/1/2006 1/1/2006
0.04 1 2/1/2011 2/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.91 11 8/1/2012 6/1/2013
-9.83 3 6/1/2016 8/1/2016
-8.03 8 5/1/2014 12/1/2014
-6.92 3 8/1/2008 10/1/2008
-6.39 5 2/1/2015 6/1/2015
-6.32 5 12/1/2015 4/1/2016
-5.98 2 2/1/2012 3/1/2012
-5.96 4 7/1/1998 10/1/1998
-5.02 4 10/1/2001 1/1/2002
-4.62 4 10/1/2013 1/1/2014
-4.34 4 2/1/2006 5/1/2006
-3.86 1 11/1/2007 11/1/2007
-3.77 2 8/1/2015 9/1/2015
-3.55 1 9/1/2011 9/1/2011
-3.49 2 4/1/2001 5/1/2001
-3.49 2 7/1/2003 8/1/2003
-3.02 2 3/1/2004 4/1/2004
-2.86 1 8/1/2007 8/1/2007
-2.76 2 7/1/2005 8/1/2005
-2.56 1 6/1/2000 6/1/2000
-2.55 2 2/1/2007 3/1/2007
-2.47 1 1/1/2011 1/1/2011
-2.15 1 6/1/2004 6/1/2004
-1.99 2 12/1/2016 1/1/2017
-1.85 1 8/1/2004 8/1/2004
-1.62 3 12/1/2008 2/1/2009
-1.57 1 12/1/2005 12/1/2005
-1.32 1 2/1/2003 2/1/2003
-1.28 1 11/1/2011 11/1/2011
-1.23 1 5/1/2010 5/1/2010
-0.76 2 6/1/1999 7/1/1999
-0.75 1 3/1/2008 3/1/2008
-0.73 2 3/1/2017 4/1/2017
-0.67 1 5/1/2012 5/1/2012
-0.65 1 10/1/2004 10/1/2004
-0.64 1 2/1/2001 2/1/2001
-0.63 1 3/1/2005 3/1/2005
-0.57 1 7/1/2001 7/1/2001
-0.41 1 3/1/2010 3/1/2010
-0.40 1 3/1/2011 3/1/2011
-0.38 2 10/1/2010 11/1/2010
-0.32 1 8/1/2013 8/1/2013
-0.29 1 9/1/2006 9/1/2006
-0.18 1 12/1/2009 12/1/2009
-0.15 1 12/1/1998 12/1/1998
-0.12 1 9/1/2000 9/1/2000
-0.05 1 7/1/2002 7/1/2002
-0.04 1 9/1/2002 9/1/2002
-0.03 1 5/1/2009 5/1/2009
-0.02 1 2/1/1998 2/1/1998
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods237.00235.00232.00226.00220.00214.00202.00190.00178.00
Percent Profitable55.7061.2859.0563.2769.0972.4372.7773.6870.22
Average Period Return0.250.711.392.644.346.3710.7515.9722.55
Average Gain1.452.865.178.4211.4314.8622.5530.1041.17
Average Loss-1.28-2.69-4.07-7.32-11.51-15.93-20.78-23.62-21.37
Best Period6.5210.2415.8421.9828.9742.4241.5053.7571.54
Worst Period-9.33-9.85-13.36-16.26-20.46-26.26-29.19-37.96-41.24
Standard Deviation1.823.475.589.0412.2615.5421.0726.7232.47
Gain Standard Deviation1.112.263.515.266.607.958.9112.9915.78
Loss Standard Deviation1.342.042.764.194.934.516.8110.2113.99
Sharpe Ratio (1%)0.110.170.200.240.290.350.440.520.62
Average Gain / Average Loss1.131.071.271.150.990.931.091.271.93
Profit / Loss Ratio1.441.691.841.982.222.452.903.574.54
Downside Deviation (10%)1.432.764.577.9811.0914.1619.5424.1928.16
Downside Deviation (5%)1.252.163.275.377.349.2012.1514.1415.07
Downside Deviation (0%)1.232.103.145.116.958.6911.4013.1813.90
Sortino Ratio (10%)-0.11-0.19-0.24-0.30-0.29-0.27-0.26-0.23-0.18
Sortino Ratio (5%)0.160.270.350.400.490.580.760.991.33
Sortino Ratio (0%)0.200.340.440.520.620.730.941.211.62

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.