QMS Capital Management LP : QMS Diversified Global Macro Strategy

Year-to-Date
5.31%
Jun Performance
-1.06%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.14%
Sharpe (RFR=1%)
0.38
CAROR
4.99%
Assets
$ 2,634.8M
Worst DD
-27.57
S&P Correlation
0.15

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
6/2010
QMS Diversified Global Macro Strategy -1.06 -4.73 -5.31 0.94 -13.58 10.53 - 55.69
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 - 182.46
+/- S&P 500 -7.95 -8.51 -22.65 -7.27 -52.31 -38.01 - -126.77

Strategy Description

Summary

The QMS Diversified Global Macro strategy is a quantitative, systematic, long-short investment program, well-diversified across asset classes, conceptual investing themes, modeling approaches, and trading time-horizons. PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Fundamental
50.00%
Technical
50.00%
Strategy Pie Chart

Composition

Summary

The QMS Diversified Global Macro strategy is a quantitative, systematic, long-short investment program, well-diversified across asset classes, conceptual investing themes, modeling approaches, and trading time-horizons. PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT. The investment strategies described in this presentation carry certain risks, including the risk of loss of some, all, or amounts in excess of, the principal invested. Net returns are net of an annual pro-forma management fee of 2% and a pro-forma incentive fee of 20%, subject to a high water mark, that was assessed on an annual (calendar year) basis prior to March 2015 and on a quarterly basis beginning March 2015. The management fee deducted for 2012 and 2013 was 1.99%. Gross performance returns do not reflect the deduction of management or incentive fees. The returns would be reduced by the management and/or incentive fees charged to client accounts, and any other expenses that may be incurred in the management of such accounts. Except as set forth in the next sentence, all returns are net of actual brokerage commissions, dealer spreads, give-up fees, NFA fees, exchange fees, and related transaction fees and expenses (collectively, “Transaction Costs”). Returns through May 1, 2011 do not reflect deduction of any Transaction Costs because Transaction Costs were not charged to client accounts during that period. From April 2014 forward, returns for commodity pools (“Pools”) for which QMS Capital Management LP (“QMS”) serves as commodity pool operator are gross of custody and other operating expenses paid by such Pools. Prior to April 2014, returns for QMS Pools are net of custody and other operating expenses paid by such Pools. Returns include interest earned and interest charges on margin posted at FCMs/FX prime brokers for certain accounts. In addition, returns include Pools’ income from excess cash and cash equivalents, and income from futures exchange memberships owned by such Pools. Prior to June 2016, monthly returns are not compounded daily. Beginning June 2016, monthly returns are compounded daily. All performance numbers are unaudited. Performance numbers have been computed by QMS. QMS’s Diversified Global Macro strategy (the “Strategy”) commenced live trading in mid-May 2010. Performance numbers show the performance of a blended composite of all of QMS’s accounts (including client and proprietary accounts) that traded in the Strategy for the full reported month. Performance numbers from May 2011 forward were computed by QMS using account-level performance numbers provided by NAV Consulting, Inc. (“NAV”), an independent fund administration service provider that is not affiliated with QMS. Performance through February 2011 is pro-forma, based on actual trading, scaled to 15% ex-ante annual volatility, and intended for illustration purposes. March-April 2011 performance is hypothetical, combining pro forma trading results, scaled to 15% ex-ante annual volatility, from March 1 to March 17, and a paper traded portfolio from March 18 through April 30. May-August 2011 performance numbers are derived from a live track record on the dbSelect Managed futures platform. This performance may vary from dbSelect reports, due to the deduction of transaction costs on dbSelect reports and differences in month-end prices used by NAV and dbSelect. Currently, the Strategy trades commodity futures. Prior to May 2011, the Strategy did not trade commodity futures. Excepting March-April 2011, the returns shown are derived from actual trading. Returns do not represent the return of any individual client of QMS. Individual client returns differed from the returns presented. The information contained in this presentation has been prepared solely for informational purposes and is not an offer to sell or purchase or a solicitation of an offer to sell or purchase any interests or shares in funds managed by QMS. Any such offer will be made only pursuant to an offering memorandum and the documents relating thereto describing such securities. The risk of loss in trading futures and foreign exchange can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. The high degree of leverage that is often obtainable in futures trading can lead to large losses, including the loss of some, all, or amounts in excess of, your entire investment. You should only invest risk capital. “Assets” is the sum of the nominal account sizes for partially-funded accounts plus the actual account size for fully-funded accounts, and includes both client and proprietary capital. For partially-funded accounts, QMS does not have sufficient information regarding the funding of such accounts to determine the actual level of funds in the accounts. The information contained in this presentation is believed to be reliable but QMS makes no representation or warranty as to its accuracy or completeness. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. No representation is made that results similar to those shown can be achieved. This material is strictly confidential. This presentation is provided to you on a confidential basis and is intended solely for the use of the person to whom it is provided. It may not be modified, reproduced or redistributed in whole or in part without the prior written consent of QMS. For Australian Investors: QMS is exempt from the requirement to hold an Australian financial services license under the Corporations Act 2001 (Cth) in respect of the financial services. QMS is regulated by the Securities and Exchange Commission of the United States of America under US laws which differ from Australian laws.

Investment Strategy

The QMS Diversified Global Macro strategy trades in highly liquid global futures and forwards, including equity indices, sovereign rates/bonds, commodities, and currencies. QMS believes substantial value is recognized by combining lower frequency fundamental economic views with higher frequency trades driven by market-based signals. A fundamental understanding of the economic environment most suitable for various models facilitates systematic tactical allocation among the styles of investing employed. Strict risk management is embedded in the portfolio optimization process and is managed at the individual model level, the thematic level, the asset class level, and the portfolio level. Over the long term, the strategy expects to generate returns uncorrelated to the asset classes in which it trades. QMS blends academic research with practitioner experience to source the best practices of quantitative investing and portfolio construction. The strategy targets an annualized standard deviation of daily returns of 15%.

Risk Management

Strict risk management is embedded in the portfolio optimization process and is managed at the individual model level, the thematic level, the asset class level, and the portfolio level.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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
-27.57 30 - 3/1/2015 9/1/2017
-11.27 7 2 12/1/2013 7/1/2014
-10.34 3 7 3/1/2012 6/1/2012
-5.09 5 2 7/1/2011 12/1/2011
-3.44 4 3 4/1/2013 8/1/2013
-2.70 1 3 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
49.73 8 8/1/2014 3/1/2015
17.30 6 11/1/2012 4/1/2013
12.84 4 9/1/2013 12/1/2013
11.55 3 1/1/2012 3/1/2012
10.56 2 6/1/2016 7/1/2016
8.69 2 7/1/2012 8/1/2012
8.03 5 6/1/2010 10/1/2010
7.81 2 1/1/2016 2/1/2016
6.32 2 12/1/2017 1/1/2018
5.91 2 9/1/2018 10/1/2018
5.35 3 5/1/2011 7/1/2011
5.29 2 3/1/2018 4/1/2018
4.83 1 12/1/2018 12/1/2018
4.34 1 4/1/2019 4/1/2019
4.33 2 1/1/2017 2/1/2017
2.88 1 8/1/2017 8/1/2017
2.88 3 12/1/2010 2/1/2011
2.83 1 6/1/2018 6/1/2018
2.81 2 9/1/2015 10/1/2015
2.43 2 10/1/2011 11/1/2011
2.40 1 5/1/2014 5/1/2014
1.58 1 7/1/2015 7/1/2015
1.47 1 5/1/2017 5/1/2017
1.42 1 2/1/2019 2/1/2019
1.32 1 10/1/2017 10/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.21 5 8/1/2016 12/1/2016
-11.98 3 3/1/2016 5/1/2016
-10.38 2 6/1/2017 7/1/2017
-10.34 3 4/1/2012 6/1/2012
-9.49 3 4/1/2015 6/1/2015
-8.69 2 5/1/2019 6/1/2019
-8.41 2 6/1/2014 7/1/2014
-5.39 4 1/1/2014 4/1/2014
-4.76 1 9/1/2017 9/1/2017
-4.61 2 8/1/2011 9/1/2011
-4.58 1 5/1/2018 5/1/2018
-4.35 2 3/1/2017 4/1/2017
-3.44 4 5/1/2013 8/1/2013
-3.20 1 8/1/2015 8/1/2015
-2.90 1 11/1/2018 11/1/2018
-2.87 1 12/1/2011 12/1/2011
-2.70 1 11/1/2010 11/1/2010
-1.91 1 3/1/2019 3/1/2019
-1.80 2 9/1/2012 10/1/2012
-1.42 1 2/1/2018 2/1/2018
-1.12 2 7/1/2018 8/1/2018
-1.08 2 11/1/2015 12/1/2015
-0.95 1 11/1/2017 11/1/2017
-0.10 1 1/1/2019 1/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods109.00107.00104.0098.0092.0086.0074.0062.0050.00
Percent Profitable54.1359.8164.4271.4369.5770.9370.2783.87100.00
Average Period Return0.471.513.036.039.1912.1020.9831.4139.52
Average Gain2.955.347.7211.9818.1522.9335.0939.1639.52
Average Loss-2.56-4.19-5.45-8.85-11.27-14.31-12.36-8.90
Best Period9.2625.8344.2538.8046.8849.5272.7981.2587.22
Worst Period-9.05-11.98-12.52-22.15-22.41-21.93-22.08-16.627.76
Standard Deviation3.506.479.5112.6816.9120.2326.3328.4823.90
Gain Standard Deviation2.215.068.409.2411.3112.6117.2624.1623.90
Loss Standard Deviation2.253.413.856.196.385.265.466.14
Sharpe Ratio (1%)0.110.190.270.400.450.500.680.961.44
Average Gain / Average Loss1.151.271.421.351.611.602.844.40
Profit / Loss Ratio1.411.902.573.393.683.916.7122.89
Downside Deviation (10%)2.464.055.278.1511.0313.7215.7513.987.73
Downside Deviation (5%)2.303.534.216.187.859.238.885.70
Downside Deviation (0%)2.253.413.965.747.128.207.344.27
Sortino Ratio (10%)0.020.070.110.130.150.130.330.701.54
Sortino Ratio (5%)0.170.360.600.810.981.092.024.79
Sortino Ratio (0%)0.210.440.771.051.291.482.867.36

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 2 4.51 9/2018
IASG CTA Index Month 3 4.51 9/2018
Systematic Trader Index Month 3 4.51 9/2018
Systematic Trader Index Month 3 4.51 9/2018
IASG CTA Index Month 3 4.51 9/2018
Diversified Trader Index Month 2 4.51 9/2018
Diversified Trader Index Month 10 2.83 6/2018
Systematic Trader Index Month 10 2.93 4/2018
Diversified Trader Index Month 5 2.93 4/2018
Systematic Trader Index Month 9 2.93 4/2018
Diversified Trader Index Month 5 2.93 4/2018
Diversified Trader Index Month 10 2.29 3/2018
Diversified Trader Index Month 10 8.13 11/2013
Systematic Trader Index Month 9 8.13 11/2013

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.