QMS Capital Management LP : QMS Financials-Only Global Macro Strategy

Year-to-Date
3.67%
Aug Performance
-4.51%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.22%
Sharpe (RFR=1%)
0.31
CAROR
4.16%
Assets
$ 118.0M
Worst DD
-20.59
S&P Correlation
-0.02

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
9/2013
QMS Financials-Only Global Macro Strategy -4.51 -3.33 -3.67 8.39 -6.59 22.89 - 27.73
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 72.26
+/- S&P 500 -2.70 -9.67 -20.40 7.54 -40.02 -21.70 - -44.53

Strategy Description

Summary

The QMS Financials-Only 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... 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
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Financial & Metals 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 Financials-Only 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. 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 Capital Management LP ("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. The information contained in this presentation is believed to be reliable but QMS makes no representation or warranty as to its accuracy or completeness.

Net returns are net of an annual pro-forma management fee of 2% and an annual 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 the three months of 2013 was 0.49%. Gross returns do not reflect the deduction of management or incentive fees. These gross returns would be reduced by the management and/or incentive fees charged to client accounts. Returns are net of actual brokerage commissions, dealer spreads, give-up fees, NFA fees, exchange fees, and related transaction fees and expenses. Returns include interest earned and interest charges on margin posted at FCMs/FX prime brokers.

Prior to June 2016, monthly returns are not compounded daily. Beginning June 2016, monthly returns are compounded daily. All annual returns are compounded monthly. All performance numbers are unaudited. The Financials-Only Global Macro strategy (the "Strategy”) commenced live trading on September 25, 2013. Performance numbers show the performance of a blended composite of all of QMS’s accounts that traded in the Strategy for the full reported month. The composite includes both a US Dollar denominated account and a Euro denominated account. Performance numbers have been computed by QMS using account-level performance numbers provided by NAV Consulting, Inc., an independent fund administration service provider that is not affiliated with QMS. Returns do not represent the return of any individual client of QMS. Individual client returns differed from the returns presented.

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 Financials-Only 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. The strategy trades in highly liquid global futures and forwards, including currencies, sovereign rates/bonds, and equity indices. 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. The strategy targets an annualized volatility of 15%, based on daily gross returns.

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
-20.59 32 - 3/1/2015 11/1/2017
-10.37 7 2 12/1/2013 7/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
48.11 8 8/1/2014 3/1/2015
13.19 5 12/1/2017 4/1/2018
11.67 2 6/1/2016 7/1/2016
8.59 3 10/1/2013 12/1/2013
8.47 2 9/1/2018 10/1/2018
6.51 3 12/1/2018 2/1/2019
5.41 2 1/1/2016 2/1/2016
4.27 3 12/1/2016 2/1/2017
2.53 1 2/1/2014 2/1/2014
2.49 2 5/1/2014 6/1/2014
2.29 1 7/1/2019 7/1/2019
2.26 1 4/1/2019 4/1/2019
1.44 1 7/1/2018 7/1/2018
1.09 1 9/1/2015 9/1/2015
1.06 1 5/1/2017 5/1/2017
0.50 1 7/1/2015 7/1/2015
0.16 1 8/1/2017 8/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.38 3 3/1/2016 5/1/2016
-9.60 2 6/1/2017 7/1/2017
-7.87 1 7/1/2014 7/1/2014
-6.87 2 5/1/2018 6/1/2018
-5.87 3 4/1/2015 6/1/2015
-5.27 4 8/1/2016 11/1/2016
-5.06 3 9/1/2017 11/1/2017
-4.51 1 8/1/2019 8/1/2019
-4.44 2 3/1/2014 4/1/2014
-3.88 3 10/1/2015 12/1/2015
-3.86 2 5/1/2019 6/1/2019
-3.73 1 8/1/2018 8/1/2018
-3.12 1 1/1/2014 1/1/2014
-2.87 2 3/1/2017 4/1/2017
-1.76 1 8/1/2015 8/1/2015
-1.32 1 3/1/2019 3/1/2019
-1.00 1 11/1/2018 11/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods72.0070.0067.0061.0055.0049.0037.0025.00
Percent Profitable52.7850.0053.7360.6650.9148.9851.3568.00
Average Period Return0.401.352.685.497.075.706.279.08
Average Gain2.936.519.3213.2820.3919.3418.9715.27
Average Loss-2.49-3.80-5.04-6.53-6.74-7.39-7.14-4.08
Best Period8.7823.1339.2940.1244.1641.1136.7425.77
Worst Period-8.46-10.38-14.03-14.15-13.21-15.12-12.56-7.73
Standard Deviation3.536.8610.5613.7916.5816.3915.7810.56
Gain Standard Deviation2.505.829.9812.0012.7512.5011.586.19
Loss Standard Deviation2.052.643.804.743.674.823.821.89
Sharpe Ratio (1%)0.090.160.210.330.340.230.210.48
Average Gain / Average Loss1.171.711.852.043.022.622.663.74
Profit / Loss Ratio1.351.712.153.143.142.512.807.95
Downside Deviation (10%)2.394.005.737.9010.4713.3316.8416.16
Downside Deviation (5%)2.223.404.555.556.307.527.564.71
Downside Deviation (0%)2.173.254.275.025.356.265.612.52
Sortino Ratio (10%)0.000.030.040.06-0.05-0.34-0.56-0.77
Sortino Ratio (5%)0.140.330.480.810.880.490.431.06
Sortino Ratio (0%)0.180.420.631.091.320.911.123.61

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 6 4.20 10/2018
IASG CTA Index Month 5 4.10 9/2018
Systematic Trader Index Month 5 4.10 9/2018
IASG CTA Index Month 5 4.10 9/2018
Systematic Trader Index Month 5 4.10 9/2018

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