Beam Bayesian Efficient Asset Management LLC : Multi-Strategy Client Composite

archived programs
Year-to-Date
N / A
Mar Performance
1.25%
Min Investment
$ 25,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
9.88%
Sharpe (RFR=1%)
0.29
CAROR
3.43%
Assets
$ 0k
Worst DD
-20.32
S&P Correlation
-0.12

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
3/2010
Multi-Strategy Client Composite 1.25 6.58 - 9.60 -3.12 19.36 - 18.70
S&P 500 -1.74 0.44 - 10.44 46.82 76.80 - 76.80
+/- S&P 500 2.99 6.14 - -0.84 -49.94 -57.44 - -58.10

Strategy Description

Summary

The Multi-Strategy program is a global multi-asset class systematic 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... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 25,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
N/A
Worst Peak-to-Trough
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
0%
Systematic
100.00%

Strategy

Fundamental
80.00%
Technical
20.00%
Strategy Pie Chart

Composition

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

Summary

The Multi-Strategy program is a global multi-asset class systematic 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 in the markets. It is designed to provide portable scalable alpha with superior risk-adjusted long-term returns. The portfolio takes positions in futures for stock indices, bonds, currencies, and commodities (energy complex.

   

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
-20.32 20 - 10/1/2011 6/1/2013
-6.46 6 2 9/1/2010 3/1/2011
-1.69 1 1 5/1/2011 6/1/2011
-0.55 1 1 1/1/0001 3/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
21.49 6 4/1/2010 9/1/2010
10.77 4 7/1/2011 10/1/2011
8.71 2 4/1/2011 5/1/2011
7.08 1 1/1/2015 1/1/2015
4.70 3 4/1/2014 6/1/2014
4.41 3 5/1/2012 7/1/2012
4.19 2 9/1/2013 10/1/2013
2.90 2 9/1/2012 10/1/2012
2.89 1 2/1/2014 2/1/2014
2.81 2 12/1/2011 1/1/2012
2.54 1 11/1/2014 11/1/2014
2.09 3 12/1/2010 2/1/2011
1.36 1 7/1/2013 7/1/2013
1.25 1 3/1/2015 3/1/2015
1.19 1 2/1/2013 2/1/2013
0.85 1 4/1/2013 4/1/2013
0.43 1 8/1/2014 8/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.36 3 2/1/2012 4/1/2012
-6.43 2 10/1/2010 11/1/2010
-5.61 2 5/1/2013 6/1/2013
-5.57 3 11/1/2012 1/1/2013
-5.51 1 3/1/2013 3/1/2013
-3.80 2 9/1/2014 10/1/2014
-3.64 1 11/1/2011 11/1/2011
-2.82 1 8/1/2012 8/1/2012
-2.77 3 11/1/2013 1/1/2014
-2.61 1 3/1/2014 3/1/2014
-2.09 1 3/1/2011 3/1/2011
-1.70 1 2/1/2015 2/1/2015
-1.69 1 6/1/2011 6/1/2011
-1.27 1 8/1/2013 8/1/2013
-0.76 1 12/1/2014 12/1/2014
-0.55 1 3/1/2010 3/1/2010
-0.09 1 7/1/2014 7/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods61.0059.0056.0050.0044.0038.0026.0014.00
Percent Profitable57.3857.6358.9350.0047.7339.4719.2364.29
Average Period Return0.320.941.331.230.51-2.53-5.012.39
Average Gain2.214.266.179.6711.649.878.535.99
Average Loss-2.23-3.58-5.61-7.21-9.65-10.61-8.24-4.10
Best Period8.9613.7221.4916.5330.5830.7018.5211.20
Worst Period-6.26-10.36-11.74-12.89-18.47-18.45-18.19-8.51
Standard Deviation2.855.017.439.6613.2612.088.445.74
Gain Standard Deviation1.943.335.125.339.828.607.542.85
Loss Standard Deviation1.632.923.783.675.435.024.583.01
Sharpe Ratio (1%)0.080.140.110.02-0.07-0.38-0.95-0.29
Average Gain / Average Loss0.991.191.101.341.210.931.041.46
Profit / Loss Ratio1.341.621.581.341.100.610.252.63
Downside Deviation (10%)2.013.655.729.0713.1916.9722.3619.95
Downside Deviation (5%)1.833.114.586.348.9410.5310.915.18
Downside Deviation (0%)1.792.984.315.707.979.098.422.93
Sortino Ratio (10%)-0.04-0.08-0.20-0.42-0.54-0.75-0.93-0.96
Sortino Ratio (5%)0.130.220.180.04-0.11-0.43-0.74-0.32
Sortino Ratio (0%)0.180.310.310.220.06-0.28-0.600.81

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.