Global Bayesian Dynamics, LLC : Multi-Strategy (Client + Proprietary, Please see Strategy Summary)

Year-to-Date
11.42%
Jul Performance
-0.80%
Min Investment
$ 5,000k
Mgmt. Fee
0.75%
Perf. Fee
20.00%
Annualized Vol
11.93%
Sharpe (RFR=1%)
0.37
CAROR
4.88%
Assets
$ 5.0M
Worst DD
-14.68
S&P Correlation
0.35

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
1/2015
Multi-Strategy (Client + Proprietary, Please see Strategy Summary) -0.80 -0.20 -11.42 -12.63 13.86 33.95 - 30.45
S&P 500 5.51 12.32 1.25 9.76 31.27 53.90 - 73.67
+/- S&P 500 -6.31 -12.52 -12.67 -22.38 -17.41 -19.95 - -43.22

Strategy Description

Summary

From January 2015 through December 2017, the performance reflects the returns achieved while Dr. Quintana implemented the investment strategy at BEAM Bayesian Efficient Asset Management, LLC (BEAM). Returns include client performance through March 2015, the prior track record is available... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
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 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 700 RT/YR/$M
Avg. Margin-to-Equity 13%
Targeted Worst DD
Worst Peak-to-Trough 0%
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 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

Interest Rates
30.00%
Stock Indices
30.00%
Currency Futures
25.00%
Energy
5.00%
Grains
4.00%
Precious Metals
3.00%
Industrial Metals
2.00%
Softs
1.00%
Composition Pie Chart

Summary

From January 2015 through December 2017, the performance reflects the returns achieved while Dr. Quintana implemented the investment strategy at BEAM Bayesian Efficient Asset Management, LLC (BEAM). Returns include client performance through March 2015, the prior track record is available upon request. Proprietary performance beginning in April 2015. Starting January 2018, the program is traded by Global Bayesian Dynamics, LLC (GBD). From January 2015 through February 2017 the performance represents the Class A shares of the BEAM Multi-Strategy onshore fund. This fund closed in February 2017. It includes T-bill interest income: 0.028% in 2015, 0.134% in 2016 and 0.063% in 2017. The performance is deemed Pro-forma because a 0.75% management and a 20% incentive fee were deducted. All performance is net of transaction costs, brokerage fees, and expenses. 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, metals and grains). Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.

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:
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Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
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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:
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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
-14.68 6 - 1/1/2020 7/1/2020
-10.32 22 5 1/1/2015 11/1/2016
-8.18 3 4 12/1/2017 3/1/2018
-6.00 4 5 7/1/2018 11/1/2018
-2.71 1 1 6/1/2019 7/1/2019
-2.37 1 1 11/1/2019 12/1/2019
-1.82 1 1 5/1/2017 6/1/2017
-0.88 1 1 8/1/2019 9/1/2019
-0.50 1 1 8/1/2017 9/1/2017
-0.21 1 1 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
15.43 4 2/1/2017 5/1/2017
14.82 1 6/1/2019 6/1/2019
8.43 2 4/1/2018 5/1/2018
8.16 3 10/1/2017 12/1/2017
7.08 1 1/1/2015 1/1/2015
5.60 1 4/1/2019 4/1/2019
5.23 3 12/1/2018 2/1/2019
4.40 2 7/1/2017 8/1/2017
3.82 1 1/1/2020 1/1/2020
3.82 1 7/1/2015 7/1/2015
3.81 1 8/1/2019 8/1/2019
2.82 3 9/1/2015 11/1/2015
2.76 2 4/1/2016 5/1/2016
2.56 1 12/1/2016 12/1/2016
2.50 1 7/1/2018 7/1/2018
1.92 2 10/1/2019 11/1/2019
1.36 1 7/1/2016 7/1/2016
1.25 1 3/1/2015 3/1/2015
0.96 1 9/1/2016 9/1/2016
0.60 1 6/1/2020 6/1/2020
0.44 1 1/1/2016 1/1/2016
0.23 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.50 4 2/1/2020 5/1/2020
-8.18 3 1/1/2018 3/1/2018
-6.00 4 8/1/2018 11/1/2018
-5.63 1 4/1/2015 4/1/2015
-3.93 1 6/1/2015 6/1/2015
-3.21 1 6/1/2016 6/1/2016
-3.14 1 8/1/2015 8/1/2015
-2.71 1 7/1/2019 7/1/2019
-2.37 1 12/1/2019 12/1/2019
-1.92 2 10/1/2016 11/1/2016
-1.82 1 6/1/2017 6/1/2017
-1.70 1 2/1/2015 2/1/2015
-1.69 1 8/1/2016 8/1/2016
-1.68 1 1/1/2017 1/1/2017
-1.65 2 2/1/2016 3/1/2016
-1.64 1 3/1/2019 3/1/2019
-1.08 1 12/1/2015 12/1/2015
-0.88 1 9/1/2019 9/1/2019
-0.80 1 7/1/2020 7/1/2020
-0.50 1 9/1/2017 9/1/2017
-0.21 1 5/1/2019 5/1/2019
-0.19 1 6/1/2018 6/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods67.0067.0065.0062.0056.0050.0044.0032.0020.00
Percent Profitable95.5252.2455.3858.0669.6486.0090.91100.00100.00
Average Period Return23.900.461.242.918.0512.7817.8629.7937.13
Average Gain25.092.765.148.2013.1415.7520.1029.7937.13
Average Loss-1.51-2.07-3.59-4.42-3.63-5.40-4.49
Best Period79.9714.8221.0023.7927.7830.7234.7157.8853.68
Worst Period-3.50-10.93-14.00-14.68-11.05-8.13-9.566.2313.74
Standard Deviation21.823.446.098.7210.6510.519.9515.1614.00
Gain Standard Deviation21.592.674.607.018.467.997.2015.1614.00
Loss Standard Deviation1.742.203.834.543.412.493.52
Sharpe Ratio (1%)0.760.110.160.280.661.071.591.772.36
Average Gain / Average Loss16.561.341.431.863.622.924.47
Profit / Loss Ratio353.331.461.782.578.3017.9144.72
Downside Deviation (10%)25.112.274.095.375.255.054.712.092.51
Downside Deviation (5%)2.452.113.594.303.142.722.17
Downside Deviation (0%)0.442.073.484.062.712.201.64
Sortino Ratio (10%)-0.670.020.000.080.581.031.626.726.21
Sortino Ratio (5%)6.810.180.280.562.254.147.32
Sortino Ratio (0%)54.370.220.360.722.975.8210.91

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.