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Global Bayesian Dynamics, LLC (GBD)

Risk Parity Prop. QEP only

Investment Strategy

The Risk Parity program is a global systematic multi-asset class investment strategy which 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%.

Performance (VAMI)

Monthly Returns

Fund Manager

Dr. Quintana is the architect of the Bayesian Efficient Strategic Trading, LLC (BEST) strategy. He has been implementing Bayesian technology in the investments field for more than 30 years. BEST was founded in 2001 to develop, license and implement investment strategies to manage proprietary and client assets. In August 2017, Dr. Quintana launched a joint venture together with Ms. Diana Wyant and Mr. Wei Wei to form Global Bayesian Dynamics, LLC (GBD). BEST provides research, information technology and operations support services to GBD.

 From June 2007 through 2017, Dr. Quintana teamed up with Ms. Wyant to manage client assets using the BEST strategies and founded BEAM Bayesian Efficient Asset Management, LLC (BEAM).

 Until December 2006, Dr. Quintana was concurrently the Portfolio Manager for the Global Dynamic Asset Allocation Group (over $1.5 billion assets) with Nikko Alternative Asset Management, Inc. (NAAM). He was registered as an associated person of NAAM from March 2002 to May 2007 and a principal from April 2002 to May 2007. He continued to provide consulting services to NAAM as the BEST Representative through September 2017. Dr. Quintana joined NAAM in 2002 together with his team from CDC Investment Management Corporation (CDC) where he was a Managing Director and co-Head of the Global Dynamic Asset Allocation Group (approximately $1 billion in assets) from May 1997 to February 2002. He was registered as an associated person and principal of CDC from August 2001 to March 2002.

 From 1995 to April 1997, Dr. Quintana was a Vice President and Head of Quantitative Research in the Global Investment Management Group at Bankers Trust Company. Dr. Quintana was responsible for the development and implementation of quantitative strategic dynamic global and domestic asset allocation strategies ($1.5 billion assets approximately), supervising the trading execution of these strategies via derivatives (forwards, futures options and portfolio swaps).

 Formerly, Dr. Quintana was a Vice President in the Global Risk Management Sector of Chase Manhattan Bank from 1991 to 1995 where he was responsible for developing and implementing global asset allocation strategies. Prior to that, Dr. Quintana was a Vice President of Chase Investors Management Corporation’s Indexing and Hedging Group from 1988 to 1991 and was responsible for developing and maintaining forecasting and optimization models to manage client portfolios of currency forward contracts. Dr. Quintana also served as a staff supervisor for AT&T’s Market Analysis and Forecasting Directorate from 1987 to 1988.

 Dr. Quintana has published several articles on dynamic statistical modeling, optimization algorithms and portfolio management methodologies. He has made presentations at several international conferences and institutions, including the University of Chicago and Duke University. Dr. Quintana earned a Ph.D. in Statistics from Warwick University in England, (Thesis: Multivariate Bayesian Forecasting Models) in 1987 an M.S. in Statistics & O.R. in 1981 and a B.A. in Actuary from Autonomous University of Mexico in 1976.

Wei Wei, CFA, Principal, Co-Founder, Co-CIO & Head of Trading
Wei Wei launched the joint venture together with Dr. Quintana and Ms. Wyant to form Global Bayesian Dynamics, LLC (GBD) in August 2017. He is currently GBD’s Co-CIO & Head of Trading. He also oversees the research and portfolio management of all the strategies offered by GBD.

 Prior to GBD, Mr. Wei joined Dr Quintana’s team in 2011. He has contributed to the advancement of the investment process in a variety of areas.  Wei played a key role in developing forecast factors and optimization parameters in the Global Dynamic Asset Allocation strategy and commodities strategy.  In addition, Wei is instrumental in setting up the trading capabilities of GBD.
Wei worked as an analyst at Bank of America Merrill Lynch Global Wealth Management division, where he provided portfolio management and research assistance to Merrill’s main office in Cleveland, Ohio. Previously, he was a portfolio analyst intern focusing on investment strategy building and performance back testing of international ADR and global macroeconomic dynamic asset allocation funds at Boyd Watterson Asset Management.

 Mr. Wei received an MBA specialized in quantitative finance from New York University Stern School of Business in New York, NY, and an M.S. in Finance from Weatherhead School of Management at Case Western Reserve University in Cleveland, OH. He also holds a B.S. in management from Central University of Finance & Economics in Beijing, China. Mr. Wei becomes a CFA charter holder in 2016. He has passed all three levels of the CFA program tests on his first trial.

Fund Information

Inception DateJul 2014
Minimum Investment3,000,000 USD
Management Fee0.50%
Performance Fee0.00%
Highwater MarkYes
Phone786-497-5500
E-mail[email protected], [email protected]
Websitewww.globalbayesian.com

Statistics

Total Return Cumulative 54.10%
Sharpe Ratio 0.42
Sortino Ratio 0.52
Winning Months (%) 57.00%
Correlation vs. S&P 500 TR 0.61

Monthly Performance

Export Data
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2022 -3.57 0.85 -4.63 -6.31 -2.24 -8.64 7.69 -7.17 -6.10 1.44 -26.10
2021 0.26 -3.40 1.91 9.70 3.49 0.36 5.75 -2.14 -6.38 0.51 0.16 2.57 12.50
2020 2.26 -4.50 -13.68 1.28 3.18 6.51 3.05 3.09 1.29 -1.15 10.52 6.28 17.23
2019 9.99 3.45 6.91 0.30 4.48 11.10 -0.29 2.78 -0.07 0.27 -0.96 0.55 44.84
2018 -0.43 -2.24 2.56 1.44 1.96 -4.59 -0.21 -1.19 -1.74 -5.27 -0.46 -0.62 -10.56
2017 0.52 5.79 -0.69 3.11 2.78 -5.06 3.47 1.99 -1.66 4.73 1.17 1.43 18.51
2016 2.38 2.81 2.18 4.04 3.32 5.62 0.38 -2.03 2.53 -5.94 -2.17 2.86 16.54
2015 4.03 2.89 -0.74 0.28 -1.20 -3.11 -0.83 -3.28 -0.48 4.30 -5.08 -5.59 -9.00
2014 -3.43 7.21 -9.63 4.70 -0.02 -0.84 -2.88
Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
No data filled

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

No data filled

Return Statistics

Last Month -
Year To Date -26.10%
3 Month ROR -11.58%
12 Months ROR -24.08%
36 Month ROR -2.94%
Total Return Cumulative 54.10%
Total Return Annualized 5.33%
Best Month 11.10%
Winning Months (%) 57.00%
Gain Deviation 2.73

Risk Statistics

Standard Deviation Annualized 14.96%
Max Drawdown (Monthly) -31.08%
Max Drawdown # of Months 14
Worst Month -13.68%
Losing Months (%) 43.00%
Average Losing Month -3.25%
Loss Deviation 2.94
Correlation vs S&P 500 0.61
Correlation vs DJ/CS MF 0.09

Risk/Reward Statistics

Sharpe Ratio 0.42
Sortino Ratio 0.52
Omega Ratio 0.83
Skewness -0.23
Kurtosis 0.87

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -31.08% 14 0 08/2021 -
2 -17.57% 2 8 02/2020 11/2020
3 -14.99% 10 6 03/2015 06/2016
4 -13.38% 7 3 06/2018 03/2019
5 -9.63% 1 5 09/2014 02/2015

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 11.10%-13.68%0.53%0.45%1.44%57.00%
3 Months 21.65%-16.51%1.69%1.30%-11.58%56.12%
6 Months 41.63%-22.39%4.02%3.20%-14.95%61.05%
1 Year 49.11%-25.00%9.55%8.82%-24.08%73.03%
2 Years 69.79%-4.84%23.57%23.38%-2.34%97.40%
3 Years 91.01%-4.06%37.48%35.01%-2.94%96.92%
5 Years 109.73%29.17%70.40%62.80%29.56%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg5.33%17.71%46.97%158.53%1056.75%3790.34%
% Positive57.00%56.12%61.05%73.03%97.40%96.92%
Avg. Pos. Period3.38%7.46%11.78%16.63%24.30%38.78%
Avg. Neg. Period-3.25%-5.68%-8.14%-9.63%-3.59%-3.50%
Sharpe Ratio0.420.721.101.945.305.74
Sortino Ratio0.521.011.804.37128.04198.92
Standard Deviation4.32%8.13%12.62%17.03%15.41%22.62%
Downside Deviation2.87%4.71%6.27%6.53%0.61%0.62%
No data filled

Fund Information

Minimum Investment3,000,000 USD (notional funding: 40.00%)
AUM2,260,000 USD
Management Fee0.50%
Performance Fee0.00%
Highwater MarkYes
RT per Million345
Margin to Equity12.00%
Legal StructureUnknown
Investment RestrictionOnly for Qualified Eligible Persons

Company Information

CompanyGlobal Bayesian Dynamics, LLC (GBD)
PrincipalJosé Mario Quintana, Wei Wei, Diana Wyant
Phone786-497-5500
E-mail[email protected], [email protected]
License NumberNFA 519221
Location -
Performance Compiled by -

Monthly Performance

Export Data
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2022 -3.57 0.85 -4.63 -6.31 -2.24 -8.64 7.69 -7.17 -6.10 1.44 -26.10
2021 0.26 -3.40 1.91 9.70 3.49 0.36 5.75 -2.14 -6.38 0.51 0.16 2.57 12.50
2020 2.26 -4.50 -13.68 1.28 3.18 6.51 3.05 3.09 1.29 -1.15 10.52 6.28 17.23
2019 9.99 3.45 6.91 0.30 4.48 11.10 -0.29 2.78 -0.07 0.27 -0.96 0.55 44.84
2018 -0.43 -2.24 2.56 1.44 1.96 -4.59 -0.21 -1.19 -1.74 -5.27 -0.46 -0.62 -10.56
2017 0.52 5.79 -0.69 3.11 2.78 -5.06 3.47 1.99 -1.66 4.73 1.17 1.43 18.51
2016 2.38 2.81 2.18 4.04 3.32 5.62 0.38 -2.03 2.53 -5.94 -2.17 2.86 16.54
2015 4.03 2.89 -0.74 0.28 -1.20 -3.11 -0.83 -3.28 -0.48 4.30 -5.08 -5.59 -9.00
2014 -3.43 7.21 -9.63 4.70 -0.02 -0.84 -2.88
Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

The Risk Parity program is a global systematic multi-asset class investment strategy which 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%.

Return Statistics

Last Month -
Year To Date -26.10%
3 Month ROR -11.58%
12 Months ROR -24.08%
36 Month ROR -2.94%
Total Return Cumulative 54.10%
Total Return Annualized 5.33%
Best Month 11.10%
Winning Months (%) 57.00%
Gain Deviation 2.73

Risk Statistics

Standard Deviation Annualized 14.96%
Max Drawdown (Monthly) -31.08%
Max Drawdown # of Months 14
Worst Month -13.68%
Losing Months (%) 43.00%
Average Losing Month -3.25%
Loss Deviation 2.94
Correlation vs S&P 500 0.61
Correlation vs DJ/CS MF 0.09

Risk/Reward Statistics

Sharpe Ratio 0.42
Sortino Ratio 0.52
Omega Ratio 0.83
Skewness -0.23
Kurtosis 0.87

Monthly Returns

Performance (VAMI)

Fund Manager

Dr. Quintana is the architect of the Bayesian Efficient Strategic Trading, LLC (BEST) strategy. He has been implementing Bayesian technology in the investments field for more than 30 years. BEST was founded in 2001 to develop, license and implement investment strategies to manage proprietary and client assets. In August 2017, Dr. Quintana launched a joint venture together with Ms. Diana Wyant and Mr. Wei Wei to form Global Bayesian Dynamics, LLC (GBD). BEST provides research, information technology and operations support services to GBD.

 From June 2007 through 2017, Dr. Quintana teamed up with Ms. Wyant to manage client assets using the BEST strategies and founded BEAM Bayesian Efficient Asset Management, LLC (BEAM).

 Until December 2006, Dr. Quintana was concurrently the Portfolio Manager for the Global Dynamic Asset Allocation Group (over $1.5 billion assets) with Nikko Alternative Asset Management, Inc. (NAAM). He was registered as an associated person of NAAM from March 2002 to May 2007 and a principal from April 2002 to May 2007. He continued to provide consulting services to NAAM as the BEST Representative through September 2017. Dr. Quintana joined NAAM in 2002 together with his team from CDC Investment Management Corporation (CDC) where he was a Managing Director and co-Head of the Global Dynamic Asset Allocation Group (approximately $1 billion in assets) from May 1997 to February 2002. He was registered as an associated person and principal of CDC from August 2001 to March 2002.

 From 1995 to April 1997, Dr. Quintana was a Vice President and Head of Quantitative Research in the Global Investment Management Group at Bankers Trust Company. Dr. Quintana was responsible for the development and implementation of quantitative strategic dynamic global and domestic asset allocation strategies ($1.5 billion assets approximately), supervising the trading execution of these strategies via derivatives (forwards, futures options and portfolio swaps).

 Formerly, Dr. Quintana was a Vice President in the Global Risk Management Sector of Chase Manhattan Bank from 1991 to 1995 where he was responsible for developing and implementing global asset allocation strategies. Prior to that, Dr. Quintana was a Vice President of Chase Investors Management Corporation’s Indexing and Hedging Group from 1988 to 1991 and was responsible for developing and maintaining forecasting and optimization models to manage client portfolios of currency forward contracts. Dr. Quintana also served as a staff supervisor for AT&T’s Market Analysis and Forecasting Directorate from 1987 to 1988.

 Dr. Quintana has published several articles on dynamic statistical modeling, optimization algorithms and portfolio management methodologies. He has made presentations at several international conferences and institutions, including the University of Chicago and Duke University. Dr. Quintana earned a Ph.D. in Statistics from Warwick University in England, (Thesis: Multivariate Bayesian Forecasting Models) in 1987 an M.S. in Statistics & O.R. in 1981 and a B.A. in Actuary from Autonomous University of Mexico in 1976.

Wei Wei, CFA, Principal, Co-Founder, Co-CIO & Head of Trading
Wei Wei launched the joint venture together with Dr. Quintana and Ms. Wyant to form Global Bayesian Dynamics, LLC (GBD) in August 2017. He is currently GBD’s Co-CIO & Head of Trading. He also oversees the research and portfolio management of all the strategies offered by GBD.

 Prior to GBD, Mr. Wei joined Dr Quintana’s team in 2011. He has contributed to the advancement of the investment process in a variety of areas.  Wei played a key role in developing forecast factors and optimization parameters in the Global Dynamic Asset Allocation strategy and commodities strategy.  In addition, Wei is instrumental in setting up the trading capabilities of GBD.
Wei worked as an analyst at Bank of America Merrill Lynch Global Wealth Management division, where he provided portfolio management and research assistance to Merrill’s main office in Cleveland, Ohio. Previously, he was a portfolio analyst intern focusing on investment strategy building and performance back testing of international ADR and global macroeconomic dynamic asset allocation funds at Boyd Watterson Asset Management.

 Mr. Wei received an MBA specialized in quantitative finance from New York University Stern School of Business in New York, NY, and an M.S. in Finance from Weatherhead School of Management at Case Western Reserve University in Cleveland, OH. He also holds a B.S. in management from Central University of Finance & Economics in Beijing, China. Mr. Wei becomes a CFA charter holder in 2016. He has passed all three levels of the CFA program tests on his first trial.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -31.08% 14 0 08/2021 -
2 -17.57% 2 8 02/2020 11/2020
3 -14.99% 10 6 03/2015 06/2016
4 -13.38% 7 3 06/2018 03/2019
5 -9.63% 1 5 09/2014 02/2015

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 11.10%-13.68%0.53%0.45%1.44%57.00%
3 Months 21.65%-16.51%1.69%1.30%-11.58%56.12%
6 Months 41.63%-22.39%4.02%3.20%-14.95%61.05%
1 Year 49.11%-25.00%9.55%8.82%-24.08%73.03%
2 Years 69.79%-4.84%23.57%23.38%-2.34%97.40%
3 Years 91.01%-4.06%37.48%35.01%-2.94%96.92%
5 Years 109.73%29.17%70.40%62.80%29.56%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg5.33%17.71%46.97%158.53%1056.75%3790.34%
% Positive57.00%56.12%61.05%73.03%97.40%96.92%
Avg. Pos. Period3.38%7.46%11.78%16.63%24.30%38.78%
Avg. Neg. Period-3.25%-5.68%-8.14%-9.63%-3.59%-3.50%
Sharpe Ratio0.420.721.101.945.305.74
Sortino Ratio0.521.011.804.37128.04198.92
Standard Deviation4.32%8.13%12.62%17.03%15.41%22.62%
Downside Deviation2.87%4.71%6.27%6.53%0.61%0.62%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.