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BAYESIAN EFFICIENT STRATEGIC TRADING, LLC
Bond & FX Strategy

  • CTA Name : Bayesian Efficient Strategic Trading, LLC
  • Program Name : Bond & FX Strategy
  • Start Date : 2003-01-01
  • Trading Strategy
  • Systematic : 90%
  • Discretionary : 10%
  • Fundamental : -
  • Technical : Yes
  • Diversified Market Strategy : Yes
  • Sector Specific Strategy : -
  • Trade Duration
  • Long-Term : -
  • Mid-Term : -
  • Short-Term : -
  • Multi-Term : Yes
  • Markets Traded
  • Stock Index : -
  • Interest Rates : Yes
  • Currencies : Yes
  • Metals : -
  • Energy : -
  • Grains : -
  • Meats : -
  • Softs : -

Bayesian Efficient Strategic Trading, LLC

Bond & FX Strategy


There is no performance data for this program

PLEASE NOTE: DATA IS PROFORMA. ALL DATA IS PRESESENTED AFTER TRANSACTION COSTS AND BEFORE FEES---Description: The Global Macro Bond & FX Strategy is a highly liquid, long/short relative value strategy that invest in futures and forward currency markets and governement bond futures of G-7 and other mature markets in Europe, Asia and N. America, and designed to provide returns that have a low correlation to global equity, fixed income and currency markets. Its performance objective is one month US dollar Libor + 900 to 1200 basis points annually or according to client specifications. Methodology: We use a four step, disciplined approach using both fundamental and quantitative information. Four Step Process Using readily available fundamental and economic data, a proprietary Bayesian statistical model generates expectations of excess return, volatility of forecasting errors, and correlations among those errors. The model is a single integrated forecasting proprietary model that simultaneously forecasts all outputs. It is designed to recognize the interdependence of markets and the asset allocation decisions that investors make.



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