Summary

BAM Espresso Fund SPC uses a multi-strategy program is a global multi-asset class systematic investment strategy. The Fund uses one integrated forward-looking systematic model that is based on a unique Bayesian formulation. A probabilistic Bayes formulation is used in spam-filters and quality management systems in order to make predictions based on uncertainty. The model uses to a large extent economic data and to a lesser extent price data. In contrast to trend-following strategies the model is forward-looking and has an in-built learning capability, adjusting to structural changes in the market. The Bayesian model has been deployed for over 10 years and it trades in the most liquid G10 stock indices, bonds, FX and commodity futures. It is therefore complementary to traditional trend-following strategies. The system is traded with a target annualized volatility of approximately 15%.