Global Bayesian Dynamics, LLC : SBF (Proprietary)

Year-to-Date: 20.98%
Nov Performance: 0.61%

Min Investment: $ 3,000k
Mgmt. Fee: 0.75%
Perf. Fee: 20.00%

Annualized Vol: 8.54%
Sharpe (RFR=1%): 0.80
CAROR: 7.70%

Assets: $ 3.6M
Worst DD: -12.93
S&P Correlation: 0.15

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Growth of 1,000 - VAMI

Monthly Performance

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	Nov	Qtr	2019	1yr	3yr	5yr	10yr	Since 10/2006
SBF (Proprietary)	0.61	2.86	20.98	23.28	39.78	54.19	85.64	165.49
S&P 500	3.40	7.33	25.29	13.79	41.40	50.37	183.72	125.59
+/- S&P 500	-2.79	-4.47	-4.30	9.49	-1.61	3.82	-98.08	39.89

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 3,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 1.00
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: 450 RT/YR/$M
Avg. Margin-to-Equity: 12%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus: Diversified 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%

Summary

The SBF 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 futures positions in stock indices, bonds, currencies.

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.

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Index: Chart Type:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Compare to:

Index:

Monthly Annual

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
-12.93	19	15	1/1/2012	8/1/2013
-8.69	3	11	7/1/2008	10/1/2008
-7.03	6	6	9/1/2010	3/1/2011
-6.69	4	5	7/1/2018	11/1/2018
-6.20	2	3	1/1/2007	3/1/2007
-5.34	3	4	3/1/2015	6/1/2015
-4.37	2	2	1/1/2018	3/1/2018
-3.97	2	5	6/1/2007	8/1/2007
-3.03	2	1	10/1/2011	12/1/2011
-2.57	1	3	6/1/2019	7/1/2019
-1.70	1	1	5/1/2016	6/1/2016
-1.69	2	1	9/1/2016	11/1/2016
-1.56	5	2	10/1/2015	3/1/2016
-1.56	3	4	9/1/2009	12/1/2009
-1.20	1	2	5/1/2017	6/1/2017
-1.02	1	1	12/1/2016	1/1/2017
-0.69	1	1	7/1/2016	8/1/2016
-0.38	1	1	5/1/2018	6/1/2018

Consecutive Gains

Run-up	Length (Mos.)	Start	End
28.84	8	12/1/2007	7/1/2008
16.80	3	4/1/2019	6/1/2019
13.90	7	3/1/2010	9/1/2010
13.32	6	10/1/2014	3/1/2015
11.83	4	10/1/2006	1/1/2007
9.62	4	2/1/2017	5/1/2017
8.24	7	7/1/2017	1/1/2018
7.81	3	4/1/2007	6/1/2007
7.72	4	7/1/2011	10/1/2011
7.26	4	6/1/2009	9/1/2009
6.69	3	9/1/2013	11/1/2013
5.86	3	5/1/2012	7/1/2012
5.58	2	4/1/2011	5/1/2011
5.12	1	7/1/2015	7/1/2015
4.99	2	4/1/2018	5/1/2018
4.66	3	12/1/2018	2/1/2019
4.53	4	8/1/2019	11/1/2019
4.43	2	4/1/2014	5/1/2014
4.18	2	1/1/2014	2/1/2014
3.86	2	9/1/2015	10/1/2015
3.65	2	9/1/2007	10/1/2007
3.16	1	1/1/2012	1/1/2012
3.14	2	3/1/2009	4/1/2009
2.64	1	8/1/2014	8/1/2014
2.43	1	12/1/2016	12/1/2016
2.39	1	7/1/2016	7/1/2016
2.36	2	11/1/2008	12/1/2008
2.34	2	4/1/2016	5/1/2016
2.22	1	7/1/2018	7/1/2018
1.82	1	9/1/2008	9/1/2008
1.51	1	9/1/2012	9/1/2012
1.47	1	4/1/2013	4/1/2013
1.12	1	9/1/2016	9/1/2016
1.02	1	7/1/2013	7/1/2013
0.90	1	2/1/2011	2/1/2011
0.89	1	1/1/2016	1/1/2016
0.73	1	1/1/2010	1/1/2010
0.57	1	5/1/2015	5/1/2015
0.46	1	2/1/2013	2/1/2013
0.16	1	12/1/2012	12/1/2012

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-9.17	3	2/1/2012	4/1/2012
-6.69	4	8/1/2018	11/1/2018
-6.20	2	2/1/2007	3/1/2007
-5.94	1	8/1/2008	8/1/2008
-5.65	4	10/1/2010	1/1/2011
-4.66	1	10/1/2008	10/1/2008
-4.37	2	2/1/2018	3/1/2018
-4.32	1	3/1/2013	3/1/2013
-3.97	2	7/1/2007	8/1/2007
-3.24	2	5/1/2013	6/1/2013
-3.17	1	4/1/2015	4/1/2015
-3.14	1	1/1/2013	1/1/2013
-3.03	2	11/1/2011	12/1/2011
-2.79	1	6/1/2015	6/1/2015
-2.57	1	7/1/2019	7/1/2019
-2.34	1	3/1/2011	3/1/2011
-2.27	1	3/1/2014	3/1/2014
-2.10	2	6/1/2014	7/1/2014
-2.09	1	6/1/2011	6/1/2011
-1.70	1	6/1/2016	6/1/2016
-1.69	2	10/1/2016	11/1/2016
-1.68	1	8/1/2013	8/1/2013
-1.56	3	10/1/2009	12/1/2009
-1.43	1	8/1/2015	8/1/2015
-1.41	2	11/1/2015	12/1/2015
-1.34	1	5/1/2009	5/1/2009
-1.23	1	8/1/2012	8/1/2012
-1.20	1	6/1/2017	6/1/2017
-1.10	1	11/1/2007	11/1/2007
-1.04	2	2/1/2016	3/1/2016
-1.04	2	1/1/2009	2/1/2009
-1.02	1	1/1/2017	1/1/2017
-0.98	1	3/1/2019	3/1/2019
-0.97	1	9/1/2014	9/1/2014
-0.72	1	2/1/2010	2/1/2010
-0.69	1	8/1/2016	8/1/2016
-0.69	2	10/1/2012	11/1/2012
-0.55	1	12/1/2013	12/1/2013
-0.38	1	6/1/2018	6/1/2018

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	158.00	156.00	153.00	147.00	141.00	135.00	123.00	111.00	99.00
Percent Profitable	62.03	67.95	77.12	82.99	88.65	88.89	95.12	100.00	100.00
Average Period Return	0.65	1.95	3.79	7.19	10.75	13.78	20.32	26.32	32.34
Average Gain	2.08	4.03	5.97	9.39	12.77	16.03	21.53	26.32	32.34
Average Loss	-1.68	-2.45	-3.54	-3.52	-5.04	-4.18	-3.30
Best Period	11.89	16.80	27.36	30.60	32.96	37.37	47.62	62.36	67.01
Worst Period	-5.94	-9.17	-9.14	-8.33	-11.88	-8.55	-8.69	1.23	3.42
Standard Deviation	2.46	4.35	6.01	7.34	8.98	9.52	12.29	14.51	15.35
Gain Standard Deviation	1.84	3.44	4.90	5.93	7.28	7.44	11.32	14.51	15.35
Loss Standard Deviation	1.29	2.35	2.64	2.55	3.93	2.92	3.51
Sharpe Ratio (1%)	0.23	0.39	0.55	0.84	1.03	1.24	1.41	1.53	1.77
Average Gain / Average Loss	1.24	1.65	1.68	2.67	2.53	3.83	6.52
Profit / Loss Ratio	2.02	3.49	5.68	13.02	19.78	30.65	127.05
Downside Deviation (10%)	1.51	2.48	3.17	3.85	4.89	5.50	6.44	6.62	7.23
Downside Deviation (5%)	1.34	2.02	2.30	2.13	2.56	2.28	1.61	0.29	0.21
Downside Deviation (0%)	1.30	1.91	2.10	1.78	2.13	1.68	1.02
Sortino Ratio (10%)	0.16	0.29	0.42	0.57	0.65	0.64	0.71	0.72	0.65
Sortino Ratio (5%)	0.42	0.84	1.43	2.90	3.62	5.17	10.71	77.78	127.98
Sortino Ratio (0%)	0.50	1.02	1.80	4.04	5.05	8.20	19.98

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.

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More Programs by Global Bayesian Dynamics, LLC

Program Name	CAROR
Multi-Strategy (Proprietary)	8.72%
Risk Parity + (Proprietary)	8.71%
SBF (Proprietary)	7.70%
BOND&FX (Proprietary)	4.00%

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Global Bayesian Dynamics, LLC : SBF (Proprietary)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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