QMS Diversified Global Macro Strategy
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%.
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. Prior to April 2014, returns for commodity pools (“Pools”) for which QMS Capital Management LP (“QMS”) serves as commodity pool operator are net of custody and other operating expenses paid by such Pools. From April 2014 through January 2019, returns for Pools are gross of custody and other operating expenses paid by such Pools. If the operating expenses of the Pools were deducted from the returns during that period, the returns would be between 6 bps and 8 bps lower per year during that period. For February 2019 and forward, returns for 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. Except as set forth in the next sentence, 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. Commencing January 1, 2020, each account that trades in the strategy that uses a “constant notional” trading level is not included in the composite. Commencing January 1, 2020, each constant notional account that trades in the strategy is in a separate composite. Please contact QMS if you wish to receive the performance of that composite. Performance numbers from May 2011 forward have been 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. 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 (AFSL) under the Corporations Act 2001 (Cth) in respect of financial services, in reliance on ASIC Class Order 03/824, a copy of which may be obtained at the web site of the Australian Securities and Investments Commission, http://www.asic.gov.au. The class order exempts financial services providers with a limited connection to Australia from the requirement to hold an AFSL where they provide financial services only to wholesale clients in Australia on certain conditions. Financial services provided by QMS may be regulated under non-Australian laws and regulatory requirements, which are different from the laws applying in Australia.