Global Bayesian Dynamics, LLC : Risk Parity + (Proprietary)

Year-to-Date
0.20%
Oct Performance
-1.15%
Min Investment
$ 3,000k
Mgmt. Fee
0.50%
Perf. Fee
Annualized Vol
13.84%
Sharpe (RFR=1%)
0.52
CAROR
7.47%
Assets
$ 2.2M
Worst DD
-17.56
S&P Correlation
0.51

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2014
Risk Parity + (Proprietary) -1.15 0.13 -0.20 0.35 31.13 68.56 - 57.79
S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 - 67.65
+/- S&P 500 1.62 0.16 -1.41 -7.30 4.17 12.91 - -9.86

Strategy Description

Summary

The Risk Parity + program is a global systematic multi-asset class investment strategy that seeks to distribute risk evenly among the instruments within three classes: government bonds, equities, and commodities. The instruments within these asset classes have different levels of risk... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 3,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.50
Management Fee 0.50%
Performance Fee
Average Commission
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 350 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 40.00%
4-12 Months 30.00%
1-3 Months 20.00%
1-30 Days 10.00%
Intraday

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Interest Rates
59.00%
Stock Indices
18.00%
Energy
15.00%
Grains
4.00%
Precious Metals
2.00%
Industrial Metals
1.00%
Softs
1.00%
Composition Pie Chart

Summary

The Risk Parity + program is a global systematic multi-asset class investment strategy that seeks to distribute risk evenly among the instruments within three classes: government bonds, equities, and commodities. The instruments within these asset classes have different levels of risk with government bonds tending to be the least volatile while commodities are often the most volatile. Unlike GBD's other strategies, the risk parity program is a long-only strategy. The program incorporates forecasting errors into its learning process and makes adjustments in the portfolio to adapt to ongoing changes in the relative volatility and correlations of different markets. The Risk Parity program targets an annualized volatility of 15%.

Investment Strategy

Using fundamental and technical data, a proprietary Bayesian statistical model forecasts expected excess returns, error volatility, and correlations. The formulation is a single integrated forecasting proprietary model that is designed to recognize the interdependence of markets which simultaneously forecasts all outputs in a consistent manner. The risk outputs of the forecasting model become the inputs for a risk parity allocation process. Which aims to distribute risk evenly among the instruments within three classes: Government bonds futures, equity indexes futures, and commodities 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
-17.56 2 - 1/1/2020 3/1/2020
-14.99 10 6 2/1/2015 12/1/2015
-13.38 7 3 5/1/2018 12/1/2018
-9.63 1 5 8/1/2014 9/1/2014
-7.98 2 3 9/1/2016 11/1/2016
-5.06 1 2 5/1/2017 6/1/2017
-3.43 1 1 1/1/0001 7/1/2014
-2.66 2 2 12/1/2017 2/1/2018
-2.03 1 1 7/1/2016 8/1/2016
-1.66 1 1 8/1/2017 9/1/2017
-0.96 1 2 10/1/2019 11/1/2019
-0.69 1 1 2/1/2017 3/1/2017
-0.29 1 1 6/1/2019 7/1/2019
-0.07 1 1 8/1/2019 9/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
41.63 6 1/1/2019 6/1/2019
22.57 7 1/1/2016 7/1/2016
19.77 6 4/1/2020 9/1/2020
9.38 3 12/1/2016 2/1/2017
7.47 3 10/1/2017 12/1/2017
7.21 1 8/1/2014 8/1/2014
7.04 2 1/1/2015 2/1/2015
6.08 3 3/1/2018 5/1/2018
5.98 2 4/1/2017 5/1/2017
5.53 2 7/1/2017 8/1/2017
4.70 1 10/1/2014 10/1/2014
4.30 1 10/1/2015 10/1/2015
2.82 2 12/1/2019 1/1/2020
2.78 1 8/1/2019 8/1/2019
2.53 1 9/1/2016 9/1/2016
0.28 1 4/1/2015 4/1/2015
0.27 1 10/1/2019 10/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.56 2 2/1/2020 3/1/2020
-13.38 7 6/1/2018 12/1/2018
-10.39 2 11/1/2015 12/1/2015
-9.63 1 9/1/2014 9/1/2014
-8.62 5 5/1/2015 9/1/2015
-7.98 2 10/1/2016 11/1/2016
-5.06 1 6/1/2017 6/1/2017
-3.43 1 7/1/2014 7/1/2014
-2.66 2 1/1/2018 2/1/2018
-2.03 1 8/1/2016 8/1/2016
-1.66 1 9/1/2017 9/1/2017
-1.15 1 10/1/2020 10/1/2020
-0.96 1 11/1/2019 11/1/2019
-0.86 2 11/1/2014 12/1/2014
-0.74 1 3/1/2015 3/1/2015
-0.69 1 3/1/2017 3/1/2017
-0.29 1 7/1/2019 7/1/2019
-0.07 1 9/1/2019 9/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods76.0074.0071.0065.0059.0053.0041.0029.00
Percent Profitable56.5860.8163.3873.8586.44100.00100.00100.00
Average Period Return0.682.164.368.6814.6319.5930.0841.15
Average Gain3.286.8510.5313.6217.6619.5930.0841.15
Average Loss-2.70-5.13-6.31-5.27-4.72
Best Period11.1021.6541.6344.8335.8942.9957.0478.90
Worst Period-13.68-16.51-15.82-10.56-11.632.239.4312.15
Standard Deviation4.007.5411.2713.5211.8011.9313.0520.87
Gain Standard Deviation2.415.139.1712.179.4611.9313.0520.87
Loss Standard Deviation2.994.064.534.004.31
Sharpe Ratio (1%)0.150.250.340.571.111.472.071.78
Average Gain / Average Loss1.211.341.672.583.74
Profit / Loss Ratio1.582.072.897.2923.84
Downside Deviation (10%)2.824.705.985.825.032.491.353.29
Downside Deviation (5%)2.674.194.923.782.73
Downside Deviation (0%)2.634.074.673.352.29
Sortino Ratio (10%)0.100.200.320.631.403.7510.585.95
Sortino Ratio (5%)0.220.460.792.034.80
Sortino Ratio (0%)0.260.530.932.596.40

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.