Global Bayesian Dynamics, LLC : Multi-Strategy (Prop)

Year-to-Date
25.20%
Jun Performance
15.01%
Min Investment
$ 5,000k
Mgmt. Fee
0.75%
Perf. Fee
20.00%
Annualized Vol
10.72%
Sharpe (RFR=1%)
0.70
CAROR
8.22%
Assets
$ 10.0M
Worst DD
-22.66
S&P Correlation
0.09

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
6/2007
Multi-Strategy (Prop) 15.01 21.67 25.20 23.31 57.39 50.69 85.97 159.62
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 93.66
+/- S&P 500 8.12 17.88 7.86 15.10 18.65 2.14 -130.72 65.96

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
$ 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

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. The proprietary capital currently invested in the Multi-Strategy program is invested in the Multi-Strategy Fund, and therefore already counted in the Multi-Strategy Client Composite AUM.

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
-22.66 61 13 10/1/2011 11/1/2016
-8.23 4 10 6/1/2008 10/1/2008
-7.82 3 2 12/1/2017 3/1/2018
-6.48 6 2 9/1/2010 3/1/2011
-5.33 4 3 7/1/2018 11/1/2018
-5.13 2 2 6/1/2007 8/1/2007
-1.74 1 1 5/1/2011 6/1/2011
-1.62 1 1 11/1/2009 12/1/2009
-1.44 1 1 2/1/2019 3/1/2019
-0.88 1 1 2/1/2010 3/1/2010
-0.53 1 1 10/1/2007 11/1/2007
-0.04 1 1 5/1/2018 6/1/2018
-0.01 1 1 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
39.85 7 12/1/2007 6/1/2008
21.09 6 4/1/2010 9/1/2010
15.60 4 2/1/2017 5/1/2017
15.01 1 6/1/2019 6/1/2019
13.04 6 6/1/2009 11/1/2009
10.38 4 7/1/2011 10/1/2011
8.73 2 4/1/2018 5/1/2018
8.51 3 10/1/2017 12/1/2017
8.46 2 4/1/2011 5/1/2011
7.26 2 9/1/2007 10/1/2007
7.15 1 1/1/2015 1/1/2015
5.82 3 12/1/2018 2/1/2019
5.80 1 4/1/2019 4/1/2019
5.36 6 11/1/2008 4/1/2009
4.67 3 4/1/2014 6/1/2014
4.58 2 7/1/2017 8/1/2017
4.27 2 1/1/2010 2/1/2010
4.09 3 5/1/2012 7/1/2012
3.92 2 9/1/2013 10/1/2013
3.79 1 7/1/2015 7/1/2015
2.75 2 9/1/2012 10/1/2012
2.74 1 2/1/2014 2/1/2014
2.72 3 9/1/2015 11/1/2015
2.69 2 4/1/2016 5/1/2016
2.65 1 7/1/2018 7/1/2018
2.52 1 12/1/2016 12/1/2016
2.41 1 11/1/2014 11/1/2014
2.26 2 12/1/2011 1/1/2012
2.19 1 3/1/2015 3/1/2015
1.50 3 12/1/2010 2/1/2011
1.32 1 7/1/2016 7/1/2016
1.28 1 2/1/2013 2/1/2013
1.24 1 6/1/2007 6/1/2007
1.21 1 7/1/2013 7/1/2013
0.92 1 9/1/2016 9/1/2016
0.45 1 4/1/2013 4/1/2013
0.41 1 8/1/2014 8/1/2014
0.40 1 1/1/2016 1/1/2016
0.19 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.42 3 2/1/2012 4/1/2012
-8.23 4 7/1/2008 10/1/2008
-7.82 3 1/1/2018 3/1/2018
-6.11 3 11/1/2012 1/1/2013
-5.86 2 5/1/2013 6/1/2013
-5.86 2 10/1/2010 11/1/2010
-5.66 1 4/1/2015 4/1/2015
-5.47 1 3/1/2013 3/1/2013
-5.33 4 8/1/2018 11/1/2018
-5.13 2 7/1/2007 8/1/2007
-4.09 2 9/1/2014 10/1/2014
-3.96 1 6/1/2015 6/1/2015
-3.41 1 11/1/2011 11/1/2011
-3.24 1 6/1/2016 6/1/2016
-3.17 1 8/1/2015 8/1/2015
-3.16 3 11/1/2013 1/1/2014
-3.01 1 8/1/2012 8/1/2012
-2.67 1 3/1/2014 3/1/2014
-2.13 1 3/1/2011 3/1/2011
-1.99 2 10/1/2016 11/1/2016
-1.74 1 6/1/2017 6/1/2017
-1.74 1 6/1/2011 6/1/2011
-1.72 1 8/1/2016 8/1/2016
-1.71 2 2/1/2016 3/1/2016
-1.71 1 1/1/2017 1/1/2017
-1.64 1 2/1/2015 2/1/2015
-1.62 1 12/1/2009 12/1/2009
-1.44 1 3/1/2019 3/1/2019
-1.40 1 8/1/2013 8/1/2013
-1.11 1 12/1/2015 12/1/2015
-0.97 1 5/1/2009 5/1/2009
-0.88 1 3/1/2010 3/1/2010
-0.72 1 12/1/2014 12/1/2014
-0.53 1 11/1/2007 11/1/2007
-0.42 1 9/1/2017 9/1/2017
-0.08 1 7/1/2014 7/1/2014
-0.04 1 6/1/2018 6/1/2018
-0.01 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods145.00143.00140.00134.00128.00122.00110.0098.0086.00
Percent Profitable60.0061.5467.1464.1870.3166.3963.6469.3970.93
Average Period Return0.711.983.887.4610.1913.3317.5219.2918.56
Average Gain2.535.257.9414.7018.0024.2532.8433.0830.57
Average Loss-2.02-3.26-4.43-5.51-8.30-8.24-9.29-11.95-10.74
Best Period15.0125.1437.5441.5542.5953.8795.40110.7895.38
Worst Period-6.57-10.42-12.38-14.27-20.07-20.67-21.08-19.74-21.26
Standard Deviation3.095.888.6412.7315.8019.8627.8032.7129.30
Gain Standard Deviation2.454.877.409.7511.5714.6723.5130.1626.33
Loss Standard Deviation1.592.723.554.395.996.694.954.786.78
Sharpe Ratio (1%)0.200.290.390.510.550.570.520.470.46
Average Gain / Average Loss1.251.611.792.672.172.943.532.772.85
Profit / Loss Ratio1.872.583.664.785.145.826.196.276.95
Downside Deviation (10%)1.833.254.486.899.4611.7315.9119.9223.10
Downside Deviation (5%)1.662.743.474.686.247.088.019.269.29
Downside Deviation (0%)1.622.623.244.205.556.126.337.116.81
Sortino Ratio (10%)0.160.230.310.360.270.260.11-0.11-0.39
Sortino Ratio (5%)0.380.630.971.381.391.601.811.651.45
Sortino Ratio (0%)0.440.751.201.781.842.182.772.722.73

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.