Global Bayesian Dynamics, LLC : SBF (Proprietary) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 21.67% May Performance -2.00% Min Investment $ 3,000k Mgmt. Fee 0.75% Perf. Fee 20.00% Annualized Vol 9.73% Sharpe (RFR=1%) 0.49 CAROR 5.39% Assets $ 2.6M Worst DD -22.83 S&P Correlation 0.24 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 May Qtr YTD 1yr 3yr 5yr 10yr Since10/2006 SBF (Proprietary) -2.00 -2.77 -21.67 -21.40 -1.76 16.21 37.58 104.88 S&P 500 4.53 3.05 -5.77 10.62 24.94 42.99 176.56 122.67 +/- S&P 500 -6.53 -5.82 -15.90 -32.02 -26.70 -26.78 -138.98 -17.79 Strategy Description SummaryThe 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... Read More 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% 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% Composition Stock Indices 34.00% Currency Futures 33.00% Interest Rates 33.00% SummaryThe 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 ManagementRisk 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -22.83 6 - 11/1/2019 5/1/2020 -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 Show More 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 1.46 1 1/1/2020 1/1/2020 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 Show More Consecutive Losses Run-up Length (Mos.) Start End -22.80 4 2/1/2020 5/1/2020 -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 -1.48 1 12/1/2019 12/1/2019 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods164.00162.00159.00153.00147.00141.00129.00117.00105.00 Percent Profitable60.3766.6775.4781.7087.0787.2394.57100.00100.00 Average Period Return0.481.493.277.0610.5013.4320.1526.2032.17 Average Gain2.073.975.919.5612.8016.0521.4926.2032.17 Average Loss-1.95-3.46-4.83-4.11-5.02-4.46-3.25 Best Period11.8916.8027.3630.6032.9637.3747.6262.3667.01 Worst Period-16.37-21.22-22.83-12.06-11.88-9.60-8.691.233.42 Standard Deviation2.815.216.807.699.099.7612.5614.5015.40 Gain Standard Deviation1.833.434.895.997.207.3511.5314.5015.40 Loss Standard Deviation2.244.615.303.103.592.993.21 Sharpe Ratio (1%)0.140.240.410.790.991.171.361.531.76 Average Gain / Average Loss1.061.151.222.332.553.606.61 Profit / Loss Ratio1.622.293.7610.3817.1924.58115.21 Downside Deviation (10%)2.043.794.484.285.115.896.726.707.39 Downside Deviation (5%)1.903.403.702.552.672.541.680.280.21 Downside Deviation (0%)1.863.313.532.192.201.901.03 Sortino Ratio (10%)0.030.070.180.480.570.540.650.690.61 Sortino Ratio (5%)0.210.370.752.383.374.4910.2079.46130.99 Sortino Ratio (0%)0.260.450.933.234.777.0619.64 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. x {{title}} x {{title}} Add Cancel