QMS Capital Management LP

QMS Diversified Global Macro

Monthly Performance (%)

Date Range: 05/10 - 01/23
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2023 2.23 2.29   4.57 
2022 4.21 2.25 -4.50 4.69 -1.14 0.48 -0.19 8.53 -0.79 1.16 4.53 5.23  26.55 
2021 3.59 -0.69 2.42 2.95 -0.37 -1.89 -3.49 -1.16 2.10 -4.01 -1.24 5.45  3.23 
2020 2.68 -7.45 -1.33 3.68 -2.50 -0.48 -2.70 -2.03 0.65 0.54 -2.53 0.81  -10.59 
2019 -0.10 1.42 -1.91 4.34 -7.71 -1.06 2.32 -2.63 1.08 2.59 2.65 -4.34  -3.94 
2018 3.30 -1.42 2.29 2.93 -4.58 2.83 -0.55 -0.57 4.51 1.34 -2.90 4.83  12.15 
2017 1.97 2.31 -3.28 -1.11 1.47 -9.05 -1.46 2.88 -4.76 1.32 -0.95 2.92  -8.16 
2016 5.24 2.42 -5.53 -2.34 -4.61 7.03 3.30 -2.55 -2.69 -2.73 -5.04 -2.07  -10.04 
2015 9.26 0.69 3.09 -3.46 -1.05 -5.25 1.58 -3.20 1.59 1.19 -0.17 -0.91  2.64 
2014 -2.77 -0.24 -1.32 -1.16 2.40 -1.44 -7.07 6.56 6.04 1.45 5.92 8.73  17.14 
2013 6.24 0.70 2.06 3.29 -2.45 -0.49 -0.26 -0.27 2.07 0.88 8.13 1.36  22.90 
2012 3.15 6.67 1.38 -1.51 -8.78 -0.20 5.43 3.09 -0.32 -1.48 3.00 0.98  11.04 
2011 0.34 2.00 0.00 0.00 0.84 0.45 4.00 -2.79 -1.87 2.22 0.21 -2.87  2.33 
2010 1.46 0.76 2.63 1.89 1.05 -2.70 0.52  5.66 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

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. The strategy currently 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 each model facilitates systematic tactical allocation among the various 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.

Performance Statistics

Date Range: 05/10 - 01/23
  Program S&P 500 Coquest 40 
Total Return 88.52% 342.30% 40.63% 
Annualized Return 5.13% 12.37% 2.71% 
Annualized Std. Deviation 11.78% 14.88% 8.41% 
Correlation 0.06 0.41 
Sharpe Ratio (rf=2.5%) 0.22 0.66 0.02 
Worst Month -9.05% -12.35% -6.10% 
Date of Worst Month 06/2017 03/2020 02/2018 
Worst Drawdown -29.50% -23.86% -15.74% 
Date of Worst Drawdown 3/15 - 11/21 12/21 - 9/22 4/11 - 9/13 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 05/10 - 01/23
Year or YTD Program S&P 500 Coquest 40 
2023 4.57 3.69 -1.11 
2022 26.55 -18.10 17.65 
2021 3.23 28.72 6.26 
2020 -10.59 18.40 0.97 
2019 -3.94 31.50 7.53 
2018 12.15 -4.38 -4.29 
2017 -8.16 21.84 1.24 
2016 -10.04 11.98 -3.13 
2015 2.64 1.41 0.09 
2014 17.14 13.69 15.75 
2013 22.90 32.41 -2.45 
2012 11.04 15.98 -4.75 
2011 2.33 2.12 -3.23 
2010 5.66 16.82 9.79 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 05/10 - 01/23
Date: 1/31/2023 Perf: $1,441.14 Date: 12/31/2022 Perf: $1,457.32 Date: 11/30/2022 Perf: $1,466.71 Date: 10/31/2022 Perf: $1,548.30 Date: 9/30/2022 Perf: $1,537.39 Date: 8/31/2022 Perf: $1,474.57 Date: 7/31/2022 Perf: $1,434.13 Date: 6/30/2022 Perf: $1,467.89 Date: 5/31/2022 Perf: $1,449.62 Date: 4/30/2022 Perf: $1,456.47 Date: 3/31/2022 Perf: $1,381.19 Date: 2/28/2022 Perf: $1,289.75 Date: 1/31/2022 Perf: $1,261.86 Date: 12/31/2021 Perf: $1,238.70 Date: 11/30/2021 Perf: $1,237.46 Date: 10/31/2021 Perf: $1,268.93 Date: 9/30/2021 Perf: $1,244.17 Date: 8/31/2021 Perf: $1,237.98 Date: 7/31/2021 Perf: $1,237.74 Date: 6/30/2021 Perf: $1,232.31 Date: 5/31/2021 Perf: $1,237.01 Date: 4/30/2021 Perf: $1,219.21 Date: 3/31/2021 Perf: $1,198.13 Date: 2/28/2021 Perf: $1,182.28 Date: 1/31/2021 Perf: $1,155.14 Date: 12/31/2020 Perf: $1,165.75 Date: 11/30/2020 Perf: $1,123.39 Date: 10/31/2020 Perf: $1,113.60 Date: 9/30/2020 Perf: $1,117.17 Date: 8/31/2020 Perf: $1,133.72 Date: 7/31/2020 Perf: $1,146.68 Date: 6/30/2020 Perf: $1,125.19 Date: 5/31/2020 Perf: $1,139.78 Date: 4/30/2020 Perf: $1,153.27 Date: 3/31/2020 Perf: $1,149.48 Date: 2/29/2020 Perf: $1,148.79 Date: 1/31/2020 Perf: $1,166.16 Date: 12/31/2019 Perf: $1,154.50 Date: 11/30/2019 Perf: $1,161.71 Date: 10/31/2019 Perf: $1,150.43 Date: 9/30/2019 Perf: $1,176.43 Date: 8/31/2019 Perf: $1,209.95 Date: 7/31/2019 Perf: $1,167.68 Date: 6/30/2019 Perf: $1,129.17 Date: 5/31/2019 Perf: $1,107.03 Date: 4/30/2019 Perf: $1,129.16 Date: 3/31/2019 Perf: $1,098.94 Date: 2/28/2019 Perf: $1,060.86 Date: 1/31/2019 Perf: $1,054.11 Date: 12/31/2018 Perf: $1,073.65 Date: 11/30/2018 Perf: $1,069.16 Date: 10/31/2018 Perf: $1,082.15 Date: 9/30/2018 Perf: $1,109.55 Date: 8/31/2018 Perf: $1,114.57 Date: 7/31/2018 Perf: $1,086.85 Date: 6/30/2018 Perf: $1,095.07 Date: 5/31/2018 Perf: $1,085.95 Date: 4/30/2018 Perf: $1,100.14 Date: 3/31/2018 Perf: $1,088.38 Date: 2/28/2018 Perf: $1,089.36 Date: 1/31/2018 Perf: $1,160.13 Date: 12/31/2017 Perf: $1,121.77 Date: 11/30/2017 Perf: $1,109.67 Date: 10/31/2017 Perf: $1,108.23 Date: 9/30/2017 Perf: $1,063.66 Date: 8/31/2017 Perf: $1,086.59 Date: 7/31/2017 Perf: $1,068.85 Date: 6/30/2017 Perf: $1,064.69 Date: 5/31/2017 Perf: $1,096.72 Date: 4/30/2017 Perf: $1,094.64 Date: 3/31/2017 Perf: $1,101.25 Date: 2/28/2017 Perf: $1,117.56 Date: 1/31/2017 Perf: $1,093.72 Date: 12/31/2016 Perf: $1,108.01 Date: 11/30/2016 Perf: $1,099.66 Date: 10/31/2016 Perf: $1,111.89 Date: 9/30/2016 Perf: $1,141.33 Date: 8/31/2016 Perf: $1,156.25 Date: 7/31/2016 Perf: $1,188.21 Date: 6/30/2016 Perf: $1,176.21 Date: 5/31/2016 Perf: $1,128.26 Date: 4/30/2016 Perf: $1,148.36 Date: 3/31/2016 Perf: $1,177.92 Date: 2/29/2016 Perf: $1,212.73 Date: 1/31/2016 Perf: $1,183.61 Date: 12/31/2015 Perf: $1,143.81 Date: 11/30/2015 Perf: $1,170.74 Date: 10/31/2015 Perf: $1,132.13 Date: 9/30/2015 Perf: $1,152.18 Date: 8/31/2015 Perf: $1,127.71 Date: 7/31/2015 Perf: $1,147.56 Date: 6/30/2015 Perf: $1,104.38 Date: 5/31/2015 Perf: $1,164.96 Date: 4/30/2015 Perf: $1,173.40 Date: 3/31/2015 Perf: $1,220.52 Date: 2/28/2015 Perf: $1,194.13 Date: 1/31/2015 Perf: $1,196.04 Date: 12/31/2014 Perf: $1,142.79 Date: 11/30/2014 Perf: $1,123.02 Date: 10/31/2014 Perf: $1,059.95 Date: 9/30/2014 Perf: $1,044.60 Date: 8/31/2014 Perf: $1,029.26 Date: 7/31/2014 Perf: $987.49 Date: 6/30/2014 Perf: $995.45 Date: 5/31/2014 Perf: $986.97 Date: 4/30/2014 Perf: $962.33 Date: 3/31/2014 Perf: $955.07 Date: 2/28/2014 Perf: $969.42 Date: 1/31/2014 Perf: $961.54 Date: 12/31/2013 Perf: $987.30 Date: 11/30/2013 Perf: $988.69 Date: 10/31/2013 Perf: $971.11 Date: 9/30/2013 Perf: $949.37 Date: 8/31/2013 Perf: $955.10 Date: 7/31/2013 Perf: $973.80 Date: 6/30/2013 Perf: $982.34 Date: 5/31/2013 Perf: $1,021.04 Date: 4/30/2013 Perf: $1,066.92 Date: 3/31/2013 Perf: $1,040.09 Date: 2/28/2013 Perf: $1,025.32 Date: 1/31/2013 Perf: $1,031.30 Date: 12/31/2012 Perf: $1,012.07 Date: 11/30/2012 Perf: $1,007.14 Date: 10/31/2012 Perf: $1,004.33 Date: 9/30/2012 Perf: $1,042.05 Date: 8/31/2012 Perf: $1,059.53 Date: 7/31/2012 Perf: $1,074.14 Date: 6/30/2012 Perf: $1,031.93 Date: 5/31/2012 Perf: $1,072.25 Date: 4/30/2012 Perf: $1,052.26 Date: 3/31/2012 Perf: $1,045.98 Date: 2/29/2012 Perf: $1,070.28 Date: 1/31/2012 Perf: $1,065.91 Date: 12/31/2011 Perf: $1,062.51 Date: 11/30/2011 Perf: $1,052.40 Date: 10/31/2011 Perf: $1,049.25 Date: 9/30/2011 Perf: $1,092.52 Date: 8/31/2011 Perf: $1,093.17 Date: 7/31/2011 Perf: $1,095.37 Date: 6/30/2011 Perf: $1,057.40 Date: 5/31/2011 Perf: $1,085.63 Date: 4/30/2011 Perf: $1,126.76 Date: 3/31/2011 Perf: $1,084.46 Date: 2/28/2011 Perf: $1,101.31 Date: 1/31/2011 Perf: $1,082.90 Date: 12/31/2010 Perf: $1,097.95 Date: 11/30/2010 Perf: $1,052.78 Date: 10/31/2010 Perf: $1,091.42 Date: 9/30/2010 Perf: $1,050.65 Date: 8/31/2010 Perf: $1,031.87 Date: 7/31/2010 Perf: $990.85 Date: 6/30/2010 Perf: $1,003.80 Date: 5/31/2010 Perf: $1,000.00 Date: 2/28/2023 Perf: $4,689.74 Date: 1/31/2023 Perf: $4,807.03 Date: 12/31/2022 Perf: $4,522.99 Date: 11/30/2022 Perf: $4,799.44 Date: 10/31/2022 Perf: $4,545.35 Date: 9/30/2022 Perf: $4,204.77 Date: 8/31/2022 Perf: $4,631.31 Date: 7/31/2022 Perf: $4,828.31 Date: 6/30/2022 Perf: $4,420.72 Date: 5/31/2022 Perf: $4,818.22 Date: 4/30/2022 Perf: $4,809.56 Date: 3/31/2022 Perf: $5,269.02 Date: 2/28/2022 Perf: $5,080.53 Date: 1/31/2022 Perf: $5,237.12 Date: 12/31/2021 Perf: $5,522.64 Date: 11/30/2021 Perf: $5,285.84 Date: 10/31/2021 Perf: $5,322.56 Date: 9/30/2021 Perf: $4,973.89 Date: 8/31/2021 Perf: $5,216.46 Date: 7/31/2021 Perf: $5,062.56 Date: 6/30/2021 Perf: $4,944.87 Date: 5/31/2021 Perf: $4,832.28 Date: 4/30/2021 Perf: $4,798.69 Date: 3/31/2021 Perf: $4,555.43 Date: 2/28/2021 Perf: $4,364.27 Date: 1/31/2021 Perf: $4,247.05 Date: 12/31/2020 Perf: $4,290.39 Date: 11/30/2020 Perf: $4,131.73 Date: 10/31/2020 Perf: $3,723.95 Date: 9/30/2020 Perf: $3,825.72 Date: 8/31/2020 Perf: $3,976.84 Date: 7/31/2020 Perf: $3,710.08 Date: 6/30/2020 Perf: $3,512.01 Date: 5/31/2020 Perf: $3,443.48 Date: 4/30/2020 Perf: $3,287.02 Date: 3/31/2020 Perf: $2,913.51 Date: 2/29/2020 Perf: $3,324.02 Date: 1/31/2020 Perf: $3,622.12 Date: 12/31/2019 Perf: $3,623.57 Date: 11/30/2019 Perf: $3,517.35 Date: 10/31/2019 Perf: $3,394.14 Date: 9/30/2019 Perf: $3,322.05 Date: 8/31/2019 Perf: $3,261.07 Date: 7/31/2019 Perf: $3,313.42 Date: 6/30/2019 Perf: $3,266.39 Date: 5/31/2019 Perf: $3,051.27 Date: 4/30/2019 Perf: $3,258.17 Date: 3/31/2019 Perf: $3,131.35 Date: 2/28/2019 Perf: $3,071.76 Date: 1/31/2019 Perf: $2,976.22 Date: 12/31/2018 Perf: $2,755.50 Date: 11/30/2018 Perf: $3,029.02 Date: 10/31/2018 Perf: $2,968.47 Date: 9/30/2018 Perf: $3,186.42 Date: 8/31/2018 Perf: $3,168.36 Date: 7/31/2018 Perf: $3,068.33 Date: 6/30/2018 Perf: $2,958.28 Date: 5/31/2018 Perf: $2,940.05 Date: 4/30/2018 Perf: $2,870.87 Date: 3/31/2018 Perf: $2,860.00 Date: 2/28/2018 Perf: $2,934.54 Date: 1/31/2018 Perf: $3,046.97 Date: 12/31/2017 Perf: $2,881.84 Date: 11/30/2017 Perf: $2,850.20 Date: 10/31/2017 Perf: $2,765.31 Date: 9/30/2017 Perf: $2,702.34 Date: 8/31/2017 Perf: $2,647.80 Date: 7/31/2017 Perf: $2,639.62 Date: 6/30/2017 Perf: $2,586.34 Date: 5/31/2017 Perf: $2,570.40 Date: 4/30/2017 Perf: $2,534.66 Date: 3/31/2017 Perf: $2,508.82 Date: 2/28/2017 Perf: $2,505.81 Date: 1/31/2017 Perf: $2,410.13 Date: 12/31/2016 Perf: $2,365.19 Date: 11/30/2016 Perf: $2,319.27 Date: 10/31/2016 Perf: $2,236.52 Date: 9/30/2016 Perf: $2,277.98 Date: 8/31/2016 Perf: $2,277.52 Date: 7/31/2016 Perf: $2,274.34 Date: 6/30/2016 Perf: $2,193.40 Date: 5/31/2016 Perf: $2,187.72 Date: 4/30/2016 Perf: $2,149.03 Date: 3/31/2016 Perf: $2,140.68 Date: 2/29/2016 Perf: $2,004.76 Date: 1/31/2016 Perf: $2,007.37 Date: 12/31/2015 Perf: $2,112.13 Date: 11/30/2015 Perf: $2,146.04 Date: 10/31/2015 Perf: $2,139.62 Date: 9/30/2015 Perf: $1,973.09 Date: 8/31/2015 Perf: $2,023.06 Date: 7/31/2015 Perf: $2,152.88 Date: 6/30/2015 Perf: $2,108.60 Date: 5/31/2015 Perf: $2,150.32 Date: 4/30/2015 Perf: $2,122.93 Date: 3/31/2015 Perf: $2,102.74 Date: 2/28/2015 Perf: $2,136.50 Date: 1/31/2015 Perf: $2,020.33 Date: 12/31/2014 Perf: $2,082.82 Date: 11/30/2014 Perf: $2,088.04 Date: 10/31/2014 Perf: $2,033.34 Date: 9/30/2014 Perf: $1,984.91 Date: 8/31/2014 Perf: $2,013.09 Date: 7/31/2014 Perf: $1,935.66 Date: 6/30/2014 Perf: $1,962.75 Date: 5/31/2014 Perf: $1,922.94 Date: 4/30/2014 Perf: $1,878.79 Date: 3/31/2014 Perf: $1,864.99 Date: 2/28/2014 Perf: $1,849.46 Date: 1/31/2014 Perf: $1,768.63 Date: 12/31/2013 Perf: $1,832.02 Date: 11/30/2013 Perf: $1,786.81 Date: 10/31/2013 Perf: $1,733.93 Date: 9/30/2013 Perf: $1,657.67 Date: 8/31/2013 Perf: $1,607.21 Date: 7/31/2013 Perf: $1,655.21 Date: 6/30/2013 Perf: $1,575.04 Date: 5/31/2013 Perf: $1,596.43 Date: 4/30/2013 Perf: $1,559.93 Date: 3/31/2013 Perf: $1,530.39 Date: 2/28/2013 Perf: $1,475.08 Date: 1/31/2013 Perf: $1,455.29 Date: 12/31/2012 Perf: $1,383.61 Date: 11/30/2012 Perf: $1,371.14 Date: 10/31/2012 Perf: $1,363.23 Date: 9/30/2012 Perf: $1,388.93 Date: 8/31/2012 Perf: $1,353.99 Date: 7/31/2012 Perf: $1,324.20 Date: 6/30/2012 Perf: $1,306.04 Date: 5/31/2012 Perf: $1,254.36 Date: 4/30/2012 Perf: $1,334.57 Date: 3/31/2012 Perf: $1,343.03 Date: 2/29/2012 Perf: $1,300.25 Date: 1/31/2012 Perf: $1,246.41 Date: 12/31/2011 Perf: $1,192.96 Date: 11/30/2011 Perf: $1,180.92 Date: 10/31/2011 Perf: $1,183.52 Date: 9/30/2011 Perf: $1,066.91 Date: 8/31/2011 Perf: $1,147.59 Date: 7/31/2011 Perf: $1,213.48 Date: 6/30/2011 Perf: $1,238.62 Date: 5/31/2011 Perf: $1,259.66 Date: 4/30/2011 Perf: $1,274.05 Date: 3/31/2011 Perf: $1,237.43 Date: 2/28/2011 Perf: $1,236.93 Date: 1/31/2011 Perf: $1,195.91 Date: 12/31/2010 Perf: $1,168.22 Date: 11/30/2010 Perf: $1,095.07 Date: 10/31/2010 Perf: $1,094.96 Date: 9/30/2010 Perf: $1,054.78 Date: 8/31/2010 Perf: $968.40 Date: 7/31/2010 Perf: $1,014.13 Date: 6/30/2010 Perf: $947.70 Date: 5/31/2010 Perf: $1,000.00 Date: 2/28/2023 Perf: $1,928.41 Date: 1/31/2023 Perf: $1,885.24 Date: 12/31/2022 Perf: $1,844.12 Date: 11/30/2022 Perf: $1,752.46 Date: 10/31/2022 Perf: $1,676.52 Date: 9/30/2022 Perf: $1,657.29 Date: 8/31/2022 Perf: $1,670.49 Date: 7/31/2022 Perf: $1,539.20 Date: 6/30/2022 Perf: $1,542.13 Date: 5/31/2022 Perf: $1,534.76 Date: 4/30/2022 Perf: $1,552.46 Date: 3/31/2022 Perf: $1,482.91 Date: 2/28/2022 Perf: $1,552.78 Date: 1/31/2022 Perf: $1,518.62 Date: 12/31/2021 Perf: $1,457.27 Date: 11/30/2021 Perf: $1,381.95 Date: 10/31/2021 Perf: $1,399.30 Date: 9/30/2021 Perf: $1,457.76 Date: 8/31/2021 Perf: $1,427.77 Date: 7/31/2021 Perf: $1,444.53 Date: 6/30/2021 Perf: $1,496.77 Date: 5/31/2021 Perf: $1,525.60 Date: 4/30/2021 Perf: $1,531.27 Date: 3/31/2021 Perf: $1,487.39 Date: 2/28/2021 Perf: $1,452.24 Date: 1/31/2021 Perf: $1,462.33 Date: 12/31/2020 Perf: $1,411.66 Date: 11/30/2020 Perf: $1,400.31 Date: 10/31/2020 Perf: $1,436.66 Date: 9/30/2020 Perf: $1,428.94 Date: 8/31/2020 Perf: $1,419.72 Date: 7/31/2020 Perf: $1,449.13 Date: 6/30/2020 Perf: $1,489.35 Date: 5/31/2020 Perf: $1,496.53 Date: 4/30/2020 Perf: $1,534.90 Date: 3/31/2020 Perf: $1,480.42 Date: 2/29/2020 Perf: $1,500.38 Date: 1/31/2020 Perf: $1,621.15 Date: 12/31/2019 Perf: $1,578.84 Date: 11/30/2019 Perf: $1,650.47 Date: 10/31/2019 Perf: $1,607.86 Date: 9/30/2019 Perf: $1,567.27 Date: 8/31/2019 Perf: $1,550.52 Date: 7/31/2019 Perf: $1,592.40 Date: 6/30/2019 Perf: $1,556.30 Date: 5/31/2019 Perf: $1,572.97 Date: 4/30/2019 Perf: $1,704.38 Date: 3/31/2019 Perf: $1,633.49 Date: 2/28/2019 Perf: $1,665.29 Date: 1/31/2019 Perf: $1,641.98 Date: 12/31/2018 Perf: $1,643.62 Date: 11/30/2018 Perf: $1,567.89 Date: 10/31/2018 Perf: $1,614.72 Date: 9/30/2018 Perf: $1,593.37 Date: 8/31/2018 Perf: $1,524.61 Date: 7/31/2018 Perf: $1,533.35 Date: 6/30/2018 Perf: $1,541.83 Date: 5/31/2018 Perf: $1,499.39 Date: 4/30/2018 Perf: $1,571.36 Date: 3/31/2018 Perf: $1,526.63 Date: 2/28/2018 Perf: $1,492.46 Date: 1/31/2018 Perf: $1,513.95 Date: 12/31/2017 Perf: $1,465.59 Date: 11/30/2017 Perf: $1,424.01 Date: 10/31/2017 Perf: $1,437.67 Date: 9/30/2017 Perf: $1,418.94 Date: 8/31/2017 Perf: $1,489.85 Date: 7/31/2017 Perf: $1,448.15 Date: 6/30/2017 Perf: $1,469.60 Date: 5/31/2017 Perf: $1,615.84 Date: 4/30/2017 Perf: $1,592.43 Date: 3/31/2017 Perf: $1,610.30 Date: 2/28/2017 Perf: $1,664.91 Date: 1/31/2017 Perf: $1,627.32 Date: 12/31/2016 Perf: $1,595.88 Date: 11/30/2016 Perf: $1,629.61 Date: 10/31/2016 Perf: $1,716.11 Date: 9/30/2016 Perf: $1,764.27 Date: 8/31/2016 Perf: $1,813.04 Date: 7/31/2016 Perf: $1,860.48 Date: 6/30/2016 Perf: $1,801.05 Date: 5/31/2016 Perf: $1,682.75 Date: 4/30/2016 Perf: $1,764.08 Date: 3/31/2016 Perf: $1,806.34 Date: 2/29/2016 Perf: $1,912.08 Date: 1/31/2016 Perf: $1,866.90 Date: 12/31/2015 Perf: $1,773.95 Date: 11/30/2015 Perf: $1,790.24 Date: 10/31/2015 Perf: $1,793.29 Date: 9/30/2015 Perf: $1,772.20 Date: 8/31/2015 Perf: $1,744.46 Date: 7/31/2015 Perf: $1,802.13 Date: 6/30/2015 Perf: $1,774.10 Date: 5/31/2015 Perf: $1,872.40 Date: 4/30/2015 Perf: $1,892.27 Date: 3/31/2015 Perf: $1,960.09 Date: 2/28/2015 Perf: $1,901.34 Date: 1/31/2015 Perf: $1,888.31 Date: 12/31/2014 Perf: $1,728.27 Date: 11/30/2014 Perf: $1,589.51 Date: 10/31/2014 Perf: $1,500.67 Date: 9/30/2014 Perf: $1,479.22 Date: 8/31/2014 Perf: $1,394.96 Date: 7/31/2014 Perf: $1,309.09 Date: 6/30/2014 Perf: $1,408.68 Date: 5/31/2014 Perf: $1,429.26 Date: 4/30/2014 Perf: $1,395.76 Date: 3/31/2014 Perf: $1,412.14 Date: 2/28/2014 Perf: $1,431.03 Date: 1/31/2014 Perf: $1,434.48 Date: 12/31/2013 Perf: $1,475.34 Date: 11/30/2013 Perf: $1,455.55 Date: 10/31/2013 Perf: $1,346.11 Date: 9/30/2013 Perf: $1,334.37 Date: 8/31/2013 Perf: $1,307.30 Date: 7/31/2013 Perf: $1,310.84 Date: 6/30/2013 Perf: $1,314.26 Date: 5/31/2013 Perf: $1,320.73 Date: 4/30/2013 Perf: $1,353.90 Date: 3/31/2013 Perf: $1,310.78 Date: 2/28/2013 Perf: $1,284.32 Date: 1/31/2013 Perf: $1,275.39 Date: 12/31/2012 Perf: $1,200.48 Date: 11/30/2012 Perf: $1,188.83 Date: 10/31/2012 Perf: $1,154.21 Date: 9/30/2012 Perf: $1,171.55 Date: 8/31/2012 Perf: $1,175.31 Date: 7/31/2012 Perf: $1,140.08 Date: 6/30/2012 Perf: $1,081.36 Date: 5/31/2012 Perf: $1,083.53 Date: 4/30/2012 Perf: $1,187.82 Date: 3/31/2012 Perf: $1,206.03 Date: 2/29/2012 Perf: $1,189.61 Date: 1/31/2012 Perf: $1,115.23 Date: 12/31/2011 Perf: $1,081.17 Date: 11/30/2011 Perf: $1,113.12 Date: 10/31/2011 Perf: $1,110.78 Date: 9/30/2011 Perf: $1,086.66 Date: 8/31/2011 Perf: $1,107.37 Date: 7/31/2011 Perf: $1,139.15 Date: 6/30/2011 Perf: $1,095.34 Date: 5/31/2011 Perf: $1,090.43 Date: 4/30/2011 Perf: $1,081.35 Date: 3/31/2011 Perf: $1,081.35 Date: 2/28/2011 Perf: $1,081.35 Date: 1/31/2011 Perf: $1,060.14 Date: 12/31/2010 Perf: $1,056.55 Date: 11/30/2010 Perf: $1,051.09 Date: 10/31/2010 Perf: $1,080.25 Date: 9/30/2010 Perf: $1,069.03 Date: 8/31/2010 Perf: $1,049.20 Date: 7/31/2010 Perf: $1,022.31 Date: 6/30/2010 Perf: $1,014.60 Date: 5/31/2010 Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 05/10 - 01/23
Date: 2/28/2023 Return: 2.29 % Date: 1/31/2023 Return: 2.23 % Date: 12/31/2022 Return: 5.23 % Date: 11/30/2022 Return: 4.53 % Date: 10/31/2022 Return: 1.16 % Date: 9/30/2022 Return: -0.79 % Date: 8/31/2022 Return: 8.53 % Date: 7/31/2022 Return: -0.19 % Date: 6/30/2022 Return: 0.48 % Date: 5/31/2022 Return: -1.14 % Date: 4/30/2022 Return: 4.69 % Date: 3/31/2022 Return: -4.50 % Date: 2/28/2022 Return: 2.25 % Date: 1/31/2022 Return: 4.21 % Date: 12/31/2021 Return: 5.45 % Date: 11/30/2021 Return: -1.24 % Date: 10/31/2021 Return: -4.01 % Date: 9/30/2021 Return: 2.10 % Date: 8/31/2021 Return: -1.16 % Date: 7/31/2021 Return: -3.49 % Date: 6/30/2021 Return: -1.89 % Date: 5/31/2021 Return: -0.37 % Date: 4/30/2021 Return: 2.95 % Date: 3/31/2021 Return: 2.42 % Date: 2/28/2021 Return: -0.69 % Date: 1/31/2021 Return: 3.59 % Date: 12/31/2020 Return: 0.81 % Date: 11/30/2020 Return: -2.53 % Date: 10/31/2020 Return: 0.54 % Date: 9/30/2020 Return: 0.65 % Date: 8/31/2020 Return: -2.03 % Date: 7/31/2020 Return: -2.70 % Date: 6/30/2020 Return: -0.48 % Date: 5/31/2020 Return: -2.50 % Date: 4/30/2020 Return: 3.68 % Date: 3/31/2020 Return: -1.33 % Date: 2/29/2020 Return: -7.45 % Date: 1/31/2020 Return: 2.68 % Date: 12/31/2019 Return: -4.34 % Date: 11/30/2019 Return: 2.65 % Date: 10/31/2019 Return: 2.59 % Date: 9/30/2019 Return: 1.08 % Date: 8/31/2019 Return: -2.63 % Date: 7/31/2019 Return: 2.32 % Date: 6/30/2019 Return: -1.06 % Date: 5/31/2019 Return: -7.71 % Date: 4/30/2019 Return: 4.34 % Date: 3/31/2019 Return: -1.91 % Date: 2/28/2019 Return: 1.42 % Date: 1/31/2019 Return: -0.10 % Date: 12/31/2018 Return: 4.83 % Date: 11/30/2018 Return: -2.90 % Date: 10/31/2018 Return: 1.34 % Date: 9/30/2018 Return: 4.51 % Date: 8/31/2018 Return: -0.57 % Date: 7/31/2018 Return: -0.55 % Date: 6/30/2018 Return: 2.83 % Date: 5/31/2018 Return: -4.58 % Date: 4/30/2018 Return: 2.93 % Date: 3/31/2018 Return: 2.29 % Date: 2/28/2018 Return: -1.42 % Date: 1/31/2018 Return: 3.30 % Date: 12/31/2017 Return: 2.92 % Date: 11/30/2017 Return: -0.95 % Date: 10/31/2017 Return: 1.32 % Date: 9/30/2017 Return: -4.76 % Date: 8/31/2017 Return: 2.88 % Date: 7/31/2017 Return: -1.46 % Date: 6/30/2017 Return: -9.05 % Date: 5/31/2017 Return: 1.47 % Date: 4/30/2017 Return: -1.11 % Date: 3/31/2017 Return: -3.28 % Date: 2/28/2017 Return: 2.31 % Date: 1/31/2017 Return: 1.97 % Date: 12/31/2016 Return: -2.07 % Date: 11/30/2016 Return: -5.04 % Date: 10/31/2016 Return: -2.73 % Date: 9/30/2016 Return: -2.69 % Date: 8/31/2016 Return: -2.55 % Date: 7/31/2016 Return: 3.30 % Date: 6/30/2016 Return: 7.03 % Date: 5/31/2016 Return: -4.61 % Date: 4/30/2016 Return: -2.34 % Date: 3/31/2016 Return: -5.53 % Date: 2/29/2016 Return: 2.42 % Date: 1/31/2016 Return: 5.24 % Date: 12/31/2015 Return: -0.91 % Date: 11/30/2015 Return: -0.17 % Date: 10/31/2015 Return: 1.19 % Date: 9/30/2015 Return: 1.59 % Date: 8/31/2015 Return: -3.20 % Date: 7/31/2015 Return: 1.58 % Date: 6/30/2015 Return: -5.25 % Date: 5/31/2015 Return: -1.05 % Date: 4/30/2015 Return: -3.46 % Date: 3/31/2015 Return: 3.09 % Date: 2/28/2015 Return: 0.69 % Date: 1/31/2015 Return: 9.26 % Date: 12/31/2014 Return: 8.73 % Date: 11/30/2014 Return: 5.92 % Date: 10/31/2014 Return: 1.45 % Date: 9/30/2014 Return: 6.04 % Date: 8/31/2014 Return: 6.56 % Date: 7/31/2014 Return: -7.07 % Date: 6/30/2014 Return: -1.44 % Date: 5/31/2014 Return: 2.40 % Date: 4/30/2014 Return: -1.16 % Date: 3/31/2014 Return: -1.32 % Date: 2/28/2014 Return: -0.24 % Date: 1/31/2014 Return: -2.77 % Date: 12/31/2013 Return: 1.36 % Date: 11/30/2013 Return: 8.13 % Date: 10/31/2013 Return: 0.88 % Date: 9/30/2013 Return: 2.07 % Date: 8/31/2013 Return: -0.27 % Date: 7/31/2013 Return: -0.26 % Date: 6/30/2013 Return: -0.49 % Date: 5/31/2013 Return: -2.45 % Date: 4/30/2013 Return: 3.29 % Date: 3/31/2013 Return: 2.06 % Date: 2/28/2013 Return: 0.70 % Date: 1/31/2013 Return: 6.24 % Date: 12/31/2012 Return: 0.98 % Date: 11/30/2012 Return: 3.00 % Date: 10/31/2012 Return: -1.48 % Date: 9/30/2012 Return: -0.32 % Date: 8/31/2012 Return: 3.09 % Date: 7/31/2012 Return: 5.43 % Date: 6/30/2012 Return: -0.20 % Date: 5/31/2012 Return: -8.78 % Date: 4/30/2012 Return: -1.51 % Date: 3/31/2012 Return: 1.38 % Date: 2/29/2012 Return: 6.67 % Date: 1/31/2012 Return: 3.15 % Date: 12/31/2011 Return: -2.87 % Date: 11/30/2011 Return: 0.21 % Date: 10/31/2011 Return: 2.22 % Date: 9/30/2011 Return: -1.87 % Date: 8/31/2011 Return: -2.79 % Date: 7/31/2011 Return: 4.00 % Date: 6/30/2011 Return: 0.45 % Date: 5/31/2011 Return: 0.84 % Date: 4/30/2011 Return: 0.00 % Date: 3/31/2011 Return: 0.00 % Date: 2/28/2011 Return: 2.00 % Date: 1/31/2011 Return: 0.34 % Date: 12/31/2010 Return: 0.52 % Date: 11/30/2010 Return: -2.70 % Date: 10/31/2010 Return: 1.05 % Date: 9/30/2010 Return: 1.89 % Date: 8/31/2010 Return: 2.63 % Date: 7/31/2010 Return: 0.76 % Date: 6/30/2010 Return: 1.46 % Date: 5/31/2010 Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 05/10 - 01/23
Return: -4.00 % Count: 3 Return: -8.00 % Count: 1 Return: -6.00 % Count: 1 Return: -5.00 % Count: 5 Return: 9.00 % Count: 3 Return: -7.00 % Count: 2 Return: 8.00 % Count: 1 Return: 6.00 % Count: 3 Return: -1.00 % Count: 19 Return: 5.00 % Count: 8 Return: -9.00 % Count: 2 Return: 7.00 % Count: 3 Return: -2.00 % Count: 9 Return: 4.00 % Count: 5 Return: -3.00 % Count: 15 Return: 2.00 % Count: 18 Return: 3.00 % Count: 16 Return: 1.00 % Count: 22 Return: 0.00 % Count: 18

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 05/10 - 01/23
Date: 2/28/2023 Drawdown: -1.62 % Date: 1/31/2023 Drawdown: -3.82 % Date: 12/31/2022 Drawdown: -5.92 % Date: 11/30/2022 Drawdown: -10.59 % Date: 10/31/2022 Drawdown: -14.47 % Date: 9/30/2022 Drawdown: -15.45 % Date: 8/31/2022 Drawdown: -14.77 % Date: 7/31/2022 Drawdown: -21.47 % Date: 6/30/2022 Drawdown: -21.32 % Date: 5/31/2022 Drawdown: -21.70 % Date: 4/30/2022 Drawdown: -20.80 % Date: 3/31/2022 Drawdown: -24.34 % Date: 2/28/2022 Drawdown: -20.78 % Date: 1/31/2022 Drawdown: -22.52 % Date: 12/31/2021 Drawdown: -25.65 % Date: 11/30/2021 Drawdown: -29.50 % Date: 10/31/2021 Drawdown: -28.61 % Date: 9/30/2021 Drawdown: -25.63 % Date: 8/31/2021 Drawdown: -27.16 % Date: 7/31/2021 Drawdown: -26.30 % Date: 6/30/2021 Drawdown: -23.64 % Date: 5/31/2021 Drawdown: -22.17 % Date: 4/30/2021 Drawdown: -21.88 % Date: 3/31/2021 Drawdown: -24.12 % Date: 2/28/2021 Drawdown: -25.91 % Date: 1/31/2021 Drawdown: -25.39 % Date: 12/31/2020 Drawdown: -27.98 % Date: 11/30/2020 Drawdown: -28.56 % Date: 10/31/2020 Drawdown: -26.70 % Date: 9/30/2020 Drawdown: -27.10 % Date: 8/31/2020 Drawdown: -27.57 % Date: 7/31/2020 Drawdown: -26.07 % Date: 6/30/2020 Drawdown: -24.02 % Date: 5/31/2020 Drawdown: -23.65 % Date: 4/30/2020 Drawdown: -21.69 % Date: 3/31/2020 Drawdown: -24.47 % Date: 2/29/2020 Drawdown: -23.45 % Date: 1/31/2020 Drawdown: -17.29 % Date: 12/31/2019 Drawdown: -19.45 % Date: 11/30/2019 Drawdown: -15.80 % Date: 10/31/2019 Drawdown: -17.97 % Date: 9/30/2019 Drawdown: -20.04 % Date: 8/31/2019 Drawdown: -20.90 % Date: 7/31/2019 Drawdown: -18.76 % Date: 6/30/2019 Drawdown: -20.60 % Date: 5/31/2019 Drawdown: -19.75 % Date: 4/30/2019 Drawdown: -13.05 % Date: 3/31/2019 Drawdown: -16.66 % Date: 2/28/2019 Drawdown: -15.04 % Date: 1/31/2019 Drawdown: -16.23 % Date: 12/31/2018 Drawdown: -16.15 % Date: 11/30/2018 Drawdown: -20.01 % Date: 10/31/2018 Drawdown: -17.62 % Date: 9/30/2018 Drawdown: -18.71 % Date: 8/31/2018 Drawdown: -22.22 % Date: 7/31/2018 Drawdown: -21.77 % Date: 6/30/2018 Drawdown: -21.34 % Date: 5/31/2018 Drawdown: -23.50 % Date: 4/30/2018 Drawdown: -19.83 % Date: 3/31/2018 Drawdown: -22.11 % Date: 2/28/2018 Drawdown: -23.86 % Date: 1/31/2018 Drawdown: -22.76 % Date: 12/31/2017 Drawdown: -25.23 % Date: 11/30/2017 Drawdown: -27.35 % Date: 10/31/2017 Drawdown: -26.65 % Date: 9/30/2017 Drawdown: -27.61 % Date: 8/31/2017 Drawdown: -23.99 % Date: 7/31/2017 Drawdown: -26.12 % Date: 6/30/2017 Drawdown: -25.02 % Date: 5/31/2017 Drawdown: -17.56 % Date: 4/30/2017 Drawdown: -18.76 % Date: 3/31/2017 Drawdown: -17.85 % Date: 2/28/2017 Drawdown: -15.06 % Date: 1/31/2017 Drawdown: -16.98 % Date: 12/31/2016 Drawdown: -18.58 % Date: 11/30/2016 Drawdown: -16.86 % Date: 10/31/2016 Drawdown: -12.45 % Date: 9/30/2016 Drawdown: -9.99 % Date: 8/31/2016 Drawdown: -7.50 % Date: 7/31/2016 Drawdown: -5.08 % Date: 6/30/2016 Drawdown: -8.11 % Date: 5/31/2016 Drawdown: -14.15 % Date: 4/30/2016 Drawdown: -10.00 % Date: 3/31/2016 Drawdown: -7.84 % Date: 2/29/2016 Drawdown: -2.45 % Date: 1/31/2016 Drawdown: -4.75 % Date: 12/31/2015 Drawdown: -9.50 % Date: 11/30/2015 Drawdown: -8.67 % Date: 10/31/2015 Drawdown: -8.51 % Date: 9/30/2015 Drawdown: -9.59 % Date: 8/31/2015 Drawdown: -11.00 % Date: 7/31/2015 Drawdown: -8.06 % Date: 6/30/2015 Drawdown: -9.49 % Date: 5/31/2015 Drawdown: -4.47 % Date: 4/30/2015 Drawdown: -3.46 % Date: 3/31/2015 Drawdown: 0.00 % Date: 2/28/2015 Drawdown: 0.00 % Date: 1/31/2015 Drawdown: 0.00 % Date: 12/31/2014 Drawdown: 0.00 % Date: 11/30/2014 Drawdown: 0.00 % Date: 10/31/2014 Drawdown: 0.00 % Date: 9/30/2014 Drawdown: 0.00 % Date: 8/31/2014 Drawdown: -5.45 % Date: 7/31/2014 Drawdown: -11.27 % Date: 6/30/2014 Drawdown: -4.52 % Date: 5/31/2014 Drawdown: -3.12 % Date: 4/30/2014 Drawdown: -5.39 % Date: 3/31/2014 Drawdown: -4.28 % Date: 2/28/2014 Drawdown: -3.00 % Date: 1/31/2014 Drawdown: -2.77 % Date: 12/31/2013 Drawdown: 0.00 % Date: 11/30/2013 Drawdown: 0.00 % Date: 10/31/2013 Drawdown: -0.58 % Date: 9/30/2013 Drawdown: -1.44 % Date: 8/31/2013 Drawdown: -3.44 % Date: 7/31/2013 Drawdown: -3.18 % Date: 6/30/2013 Drawdown: -2.93 % Date: 5/31/2013 Drawdown: -2.45 % Date: 4/30/2013 Drawdown: 0.00 % Date: 3/31/2013 Drawdown: 0.00 % Date: 2/28/2013 Drawdown: 0.00 % Date: 1/31/2013 Drawdown: 0.00 % Date: 12/31/2012 Drawdown: -0.46 % Date: 11/30/2012 Drawdown: -1.43 % Date: 10/31/2012 Drawdown: -4.30 % Date: 9/30/2012 Drawdown: -2.86 % Date: 8/31/2012 Drawdown: -2.55 % Date: 7/31/2012 Drawdown: -5.47 % Date: 6/30/2012 Drawdown: -10.34 % Date: 5/31/2012 Drawdown: -10.16 % Date: 4/30/2012 Drawdown: -1.51 % Date: 3/31/2012 Drawdown: 0.00 % Date: 2/29/2012 Drawdown: 0.00 % Date: 1/31/2012 Drawdown: -2.10 % Date: 12/31/2011 Drawdown: -5.09 % Date: 11/30/2011 Drawdown: -2.29 % Date: 10/31/2011 Drawdown: -2.49 % Date: 9/30/2011 Drawdown: -4.61 % Date: 8/31/2011 Drawdown: -2.79 % Date: 7/31/2011 Drawdown: 0.00 % Date: 6/30/2011 Drawdown: 0.00 % Date: 5/31/2011 Drawdown: 0.00 % Date: 4/30/2011 Drawdown: 0.00 % Date: 3/31/2011 Drawdown: 0.00 % Date: 2/28/2011 Drawdown: 0.00 % Date: 1/31/2011 Drawdown: -1.86 % Date: 12/31/2010 Drawdown: -2.19 % Date: 11/30/2010 Drawdown: -2.70 % Date: 10/31/2010 Drawdown: 0.00 % Date: 9/30/2010 Drawdown: 0.00 % Date: 8/31/2010 Drawdown: 0.00 % Date: 7/31/2010 Drawdown: 0.00 % Date: 6/30/2010 Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  QMS Capital Management LP
Address: 240 Leigh Farm Rd., Suite 450
City: Durham
State: NC
Zip: 27707
Country: USA

Key People

Name:  Michael W. Brandt, Ph.D
Position:  Principal
Biography: 

Michael Brandt is a Managing Principal at QMS Capital Management LP, where he is responsible for overseeing the research and investment process. Dr. Brandt is also the Kalman J. Cohen Professor of Finance at Duke University's Fuqua School of Business. His research on portfolio management, quantitative trading strategies, risk management, and financial econometrics has been published in leading financial and economic journals. Prior to QMS Capital, Dr. Brandt spent considerable time serving as a consultant to large financial institutions, implementing quantitative trading and risk management strategies. He served as an editor and on editorial boards of leading academic journals and is a Faculty Research Associate of the National Bureau of Economic Research. Prior to joining Duke University, he was a faculty member at the Wharton School of the University of Pennsylvania for six years, and previous to that he worked in research at J.P. Morgan Futures and J.P. Morgan Securities, where he assisted in the early development of the risk management systems subsequently used as the basis for Risk Metrics. Dr. Brandt holds a Ph.D. and MBA in Finance from the University of Chicago and an MSc in Economics from the London School of Economics.

Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Forex Yes 
 Mini-Futures Yes 
 Investment Methodology
 Fundamental Analysis Yes 
 Macro-economic Yes 
 Systematic Yes 
 Diversified Yes 
 Long Bias Yes 
 Short Bias Yes 
 Instruments Traded
 Forwards Yes 
 Futures Yes 
 Currencies Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Medium Term Yes 
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $50,000,000 
 Margin / Equity Ratio: 20% 
 Managed Account Availability: Open 
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