Bayes Global Systematic Fund
Description
Launched in January/2022. The global systematic strategy invests on liquid futures, which combines: (i) Momentum factors on different markets; (ii) risk parity framework to allocate risk among different markets; (iii) A model to control exposure using short-tem volatility to reduce drawdown before momentum wanes.
This strategy has audited track-record since 2018 with performance of Sharpe Ratio close to 1.6, maximum drawdown during COVID of -7% for realized volatility of 14% per annum.
Bayes Global Systematic Fund – Class B
ISIN Code: KYF0900P1173
Bloomberg Ticker: BAYESGB:KY