Global Bayesian Dynamics, LLC : BOND&FX (Proprietary)

Year-to-Date
4.98%
Jul Performance
-1.31%
Min Investment
$ 3,000k
Mgmt. Fee
0.75%
Perf. Fee
20.00%
Annualized Vol
10.04%
Sharpe (RFR=1%)
0.32
CAROR
3.81%
Assets
$ 2.3M
Worst DD
-15.69
S&P Correlation
-0.04

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
BOND&FX (Proprietary) -1.31 0.24 4.98 -3.69 23.39 - - 18.67
S&P 500 5.51 12.32 1.25 9.76 31.27 - - 78.57
+/- S&P 500 -6.82 -12.08 3.73 -13.44 -7.89 - - -59.90

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 $ 3,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0.75%
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 310 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 25.00%
4-12 Months 25.00%
1-3 Months 25.00%
1-30 Days 25.00%
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
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.

Risk Management

Risk Management is embedded within the investment process from forecasting throughout the ongoing monitoring. Forecasting The risk and expected return formulations are blended to produce a single consistent forecasting in GBD’s proprietary Bayesian forecasting model. Optimization The process aims to produce attractive returns while controlling the portfolio’s risk, liquidity, and turnover. Portfolio Review Non-quantifiable risk factors are carefully analyzed on a discretionary basis and addressed by management within this step. Execution & Monitoring GBD’s trading system disaggregates the portfolio sources of risk position by position on a daily basis. Any necessary adjustments are executed as needed

   

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
-15.69 12 27 1/1/2016 1/1/2017
-8.26 4 2 8/1/2019 12/1/2019
-5.39 1 - 2/1/2020 3/1/2020
-0.99 1 1 6/1/2019 7/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
10.56 3 4/1/2019 6/1/2019
10.26 1 8/1/2019 8/1/2019
10.14 7 2/1/2017 8/1/2017
9.94 2 1/1/2020 2/1/2020
7.16 7 8/1/2018 2/1/2019
6.62 5 2/1/2018 6/1/2018
3.58 1 1/1/2016 1/1/2016
2.27 3 4/1/2020 6/1/2020
1.84 2 9/1/2016 10/1/2016
1.17 1 5/1/2016 5/1/2016
0.98 1 12/1/2017 12/1/2017
0.84 1 12/1/2016 12/1/2016
0.78 1 10/1/2019 10/1/2019
0.60 1 10/1/2017 10/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.94 3 6/1/2016 8/1/2016
-5.39 1 3/1/2020 3/1/2020
-4.92 1 1/1/2018 1/1/2018
-4.77 1 9/1/2019 9/1/2019
-4.41 2 11/1/2019 12/1/2019
-3.46 3 2/1/2016 4/1/2016
-2.64 1 1/1/2017 1/1/2017
-1.34 1 3/1/2019 3/1/2019
-1.31 1 7/1/2020 7/1/2020
-1.21 1 11/1/2017 11/1/2017
-0.99 1 7/1/2019 7/1/2019
-0.83 1 11/1/2016 11/1/2016
-0.68 1 9/1/2017 9/1/2017
-0.64 1 7/1/2018 7/1/2018
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Time Windows Analysis

 5 Year1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods205.00181.0055.0053.0050.0044.0038.0032.0020.00
Percent Profitable84.8889.5065.4567.9274.0084.0984.2181.2590.00
Average Period Return51.0178.730.351.002.246.5810.4213.2521.11
Average Gain62.2388.461.823.485.459.4013.4617.9723.57
Average Loss-12.00-4.18-2.43-4.27-6.88-8.29-5.80-7.24-0.97
Best Period111.22154.3810.2613.6919.0827.4735.0136.1839.90
Worst Period-22.11-9.35-8.39-12.94-13.84-15.69-8.12-12.00-1.76
Standard Deviation38.2650.232.904.767.059.2510.8812.4513.75
Gain Standard Deviation29.7043.752.082.924.416.888.988.1012.14
Loss Standard Deviation5.762.642.073.384.754.781.413.581.12
Sharpe Ratio (1%)1.201.420.090.160.250.600.820.901.32
Average Gain / Average Loss5.1921.140.750.820.791.132.322.4824.36
Profit / Loss Ratio29.11180.251.421.732.255.9912.3810.76219.22
Downside Deviation (10%)17.0518.492.053.635.365.795.657.797.70
Downside Deviation (5%)7.033.931.893.164.424.112.954.251.45
Downside Deviation (0%)5.161.591.853.054.213.752.363.440.40
Sortino Ratio (10%)1.372.06-0.03-0.06-0.040.270.500.380.69
Sortino Ratio (5%)6.5318.200.140.240.391.363.022.6412.48
Sortino Ratio (0%)9.8849.500.190.330.531.764.413.8553.31

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.