Quantitative Investment Management, LLC

Global Program *QEP*

Monthly Performance (%)

Date Range: 09/03 - 04/23
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2023 -1.07 -3.27 0.44 1.49 -1.73   -4.14 
2022 10.15 -0.40 8.75 1.24 0.69 0.11 1.11 -2.40 -5.56 4.87 2.76 -2.12  19.69 
2021 -1.92 0.61 -1.05 -0.42 2.18 -5.40 2.66 -1.16 3.63 -0.33 2.68 -3.41  -2.31 
2020 8.82 -1.17 -8.60 -1.57 0.94 -4.06 -2.24 -1.33 1.58 -0.74 6.15 -1.29  -4.51 
2019 -1.48 -4.22 -0.65 -2.56 -1.75 3.47 5.33 -5.52 -1.63 1.84 4.02 2.33  -1.45 
2018 -1.37 -6.84 1.30 0.97 3.55 0.82 -2.93 1.42 0.19 -5.82 -0.57 2.70  -6.93 
2017 3.17 1.06 0.99 -0.09 -0.05 0.18 0.13 -2.93 2.99 2.40 -1.59 1.04  7.36 
2016 2.59 6.16 -2.98 0.15 1.59 0.84 0.14 0.62 1.92 -1.26 2.51 3.55  16.69 
2015 -0.18 2.27 -1.42 5.07 0.73 3.95 -1.46 3.17 4.60 0.23 4.07 -1.62  20.82 
2014 0.99 0.43 -2.43 -4.90 -0.36 -0.13 -0.75 -1.39 2.61 -2.88 -0.09 -3.90  -12.30 
2013 -2.51 -0.43 -2.61 -1.32 -0.05 -0.38 0.43 1.30 -1.15 0.04 2.21 4.24  -0.43 
2012 -4.49 -1.41 1.20 5.77 7.17 1.29 -2.05 0.52 0.32 -1.81 -2.99 1.66  4.65 
2011 0.33 1.29 -0.41 -2.33 -3.22 -0.90 1.14 0.30 4.55 3.01 4.36 -2.87  4.99 
2010 -4.32 -0.45 -1.01 0.08 -1.28 0.45 -0.77 1.39 0.40 2.50 -1.90 1.97  -3.08 
2009 5.99 -0.10 -2.29 4.29 3.43 -0.52 1.82 0.70 1.45 -2.38 2.18 -3.70  10.93 
2008 -7.59 5.30 3.55 1.86 5.78 -1.53 -1.84 3.36 3.10 -2.54 2.31 0.90  12.51 
2007 1.67 1.37 5.40 1.27 -3.80 1.18 2.03 7.56 1.04 4.27 3.40 1.19  29.53 
2006 0.57 1.60 1.48 -2.15 5.02 -2.31 2.34 -0.02 -1.19 2.29 0.10 -1.16  6.51 
2005 -0.40 -1.65 4.26 5.77 2.85 -1.97 0.55 1.40 0.86 0.56 2.04 3.05  18.43 
2004 0.92 3.51 -8.93 -0.63 2.94 1.44 2.07 0.10 6.05 5.75 9.58 -1.69  21.85 
2003 5.88 -2.64 3.35  6.54 

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 Global Program pursues a fully systematic short-term trading strategy. The manager is quantitatively-focused and employs sophisticated, pattern-based time series prediction methods to capture short-term trading opportunities across global futures markets. These models are generally derived from cyclical analysis, statistical probabilities, momentum oscillators, and moving average of prices, among other methods. Due to its short-term focus, QIM provides a distinct return profile that exhibits a low level of correlation to both traditional market indices and longer-term managed futures strategies.

Performance Statistics

Date Range: 09/03 - 04/23
  Program S&P 500 Coquest 40 
Total Return 272.19% 510.91% 98.03% 
Annualized Return 6.94% 9.64% 3.54% 
Annualized Std. Deviation 10.56% 14.78% 8.88% 
Correlation 0.08 0.11 
Sharpe Ratio (rf=2.5%) 0.42 0.48 0.12 
Worst Month -8.93% -16.79% -6.22% 
Date of Worst Month 03/2004 10/2008 04/2004 
Worst Drawdown -18.15% -50.95% -15.74% 
Date of Worst Drawdown 10/17 - 6/21 10/07 - 2/09 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: 09/03 - 04/23
Year or YTD Program S&P 500 Coquest 40 
2023 -4.14 9.64 -2.82 
2022 19.69 -18.10 17.65 
2021 -2.31 28.72 6.26 
2020 -4.51 18.40 0.97 
2019 -1.45 31.50 7.53 
2018 -6.93 -4.38 -4.29 
2017 7.36 21.84 1.24 
2016 16.69 11.98 -3.13 
2015 20.82 1.41 0.09 
2014 -12.30 13.69 15.75 
2013 -0.43 32.41 -2.45 
2012 4.65 15.98 -4.75 
2011 4.99 2.12 -3.23 
2010 -3.08 15.06 11.33 
2009 10.93 26.45 -7.98 
2008 12.51 -36.99 15.47 
2007 29.53 5.50 7.18 
2006 6.51 15.79 6.70 
2005 18.43 4.89 4.51 
2004 21.85 10.87 2.57 
2003 6.54 12.18 6.36 

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: 09/03 - 04/23
Date: 4/30/2023 Perf: $1,989.45 Date: 3/31/2023 Perf: $1,956.97 Date: 2/28/2023 Perf: $2,074.60 Date: 1/31/2023 Perf: $2,026.96 Date: 12/31/2022 Perf: $2,047.23 Date: 11/30/2022 Perf: $2,060.42 Date: 10/31/2022 Perf: $2,175.04 Date: 9/30/2022 Perf: $2,159.71 Date: 8/31/2022 Perf: $2,071.46 Date: 7/31/2022 Perf: $2,014.65 Date: 6/30/2022 Perf: $2,062.08 Date: 5/31/2022 Perf: $2,036.42 Date: 4/30/2022 Perf: $2,046.04 Date: 3/31/2022 Perf: $1,940.29 Date: 2/28/2022 Perf: $1,811.83 Date: 1/31/2022 Perf: $1,772.66 Date: 12/31/2021 Perf: $1,740.12 Date: 11/30/2021 Perf: $1,738.38 Date: 10/31/2021 Perf: $1,782.59 Date: 9/30/2021 Perf: $1,747.80 Date: 8/31/2021 Perf: $1,739.11 Date: 7/31/2021 Perf: $1,738.76 Date: 6/30/2021 Perf: $1,731.14 Date: 5/31/2021 Perf: $1,737.75 Date: 4/30/2021 Perf: $1,712.74 Date: 3/31/2021 Perf: $1,683.12 Date: 2/28/2021 Perf: $1,660.86 Date: 1/31/2021 Perf: $1,622.73 Date: 12/31/2020 Perf: $1,637.63 Date: 11/30/2020 Perf: $1,578.14 Date: 10/31/2020 Perf: $1,564.37 Date: 9/30/2020 Perf: $1,569.39 Date: 8/31/2020 Perf: $1,592.64 Date: 7/31/2020 Perf: $1,610.85 Date: 6/30/2020 Perf: $1,580.66 Date: 5/31/2020 Perf: $1,601.15 Date: 4/30/2020 Perf: $1,620.11 Date: 3/31/2020 Perf: $1,614.78 Date: 2/29/2020 Perf: $1,613.81 Date: 1/31/2020 Perf: $1,638.22 Date: 12/31/2019 Perf: $1,621.84 Date: 11/30/2019 Perf: $1,631.96 Date: 10/31/2019 Perf: $1,616.12 Date: 9/30/2019 Perf: $1,652.64 Date: 8/31/2019 Perf: $1,699.72 Date: 7/31/2019 Perf: $1,640.34 Date: 6/30/2019 Perf: $1,586.25 Date: 5/31/2019 Perf: $1,555.15 Date: 4/30/2019 Perf: $1,586.24 Date: 3/31/2019 Perf: $1,543.79 Date: 2/28/2019 Perf: $1,490.28 Date: 1/31/2019 Perf: $1,480.81 Date: 12/31/2018 Perf: $1,508.26 Date: 11/30/2018 Perf: $1,501.95 Date: 10/31/2018 Perf: $1,520.19 Date: 9/30/2018 Perf: $1,558.69 Date: 8/31/2018 Perf: $1,565.74 Date: 7/31/2018 Perf: $1,526.80 Date: 6/30/2018 Perf: $1,538.34 Date: 5/31/2018 Perf: $1,525.53 Date: 4/30/2018 Perf: $1,545.46 Date: 3/31/2018 Perf: $1,528.95 Date: 2/28/2018 Perf: $1,530.33 Date: 1/31/2018 Perf: $1,629.74 Date: 12/31/2017 Perf: $1,575.85 Date: 11/30/2017 Perf: $1,558.86 Date: 10/31/2017 Perf: $1,556.83 Date: 9/30/2017 Perf: $1,494.22 Date: 8/31/2017 Perf: $1,526.43 Date: 7/31/2017 Perf: $1,501.51 Date: 6/30/2017 Perf: $1,495.67 Date: 5/31/2017 Perf: $1,540.66 Date: 4/30/2017 Perf: $1,537.74 Date: 3/31/2017 Perf: $1,547.02 Date: 2/28/2017 Perf: $1,569.94 Date: 1/31/2017 Perf: $1,536.45 Date: 12/31/2016 Perf: $1,556.53 Date: 11/30/2016 Perf: $1,544.79 Date: 10/31/2016 Perf: $1,561.97 Date: 9/30/2016 Perf: $1,603.34 Date: 8/31/2016 Perf: $1,624.29 Date: 7/31/2016 Perf: $1,669.19 Date: 6/30/2016 Perf: $1,652.34 Date: 5/31/2016 Perf: $1,584.97 Date: 4/30/2016 Perf: $1,613.21 Date: 3/31/2016 Perf: $1,654.74 Date: 2/29/2016 Perf: $1,703.63 Date: 1/31/2016 Perf: $1,662.73 Date: 12/31/2015 Perf: $1,606.81 Date: 11/30/2015 Perf: $1,644.64 Date: 10/31/2015 Perf: $1,590.41 Date: 9/30/2015 Perf: $1,618.57 Date: 8/31/2015 Perf: $1,584.19 Date: 7/31/2015 Perf: $1,612.08 Date: 6/30/2015 Perf: $1,551.42 Date: 5/31/2015 Perf: $1,636.52 Date: 4/30/2015 Perf: $1,648.39 Date: 3/31/2015 Perf: $1,714.57 Date: 2/28/2015 Perf: $1,677.50 Date: 1/31/2015 Perf: $1,680.19 Date: 12/31/2014 Perf: $1,605.38 Date: 11/30/2014 Perf: $1,577.61 Date: 10/31/2014 Perf: $1,489.01 Date: 9/30/2014 Perf: $1,467.44 Date: 8/31/2014 Perf: $1,445.90 Date: 7/31/2014 Perf: $1,387.22 Date: 6/30/2014 Perf: $1,398.41 Date: 5/31/2014 Perf: $1,386.48 Date: 4/30/2014 Perf: $1,351.88 Date: 3/31/2014 Perf: $1,341.68 Date: 2/28/2014 Perf: $1,361.83 Date: 1/31/2014 Perf: $1,350.76 Date: 12/31/2013 Perf: $1,386.96 Date: 11/30/2013 Perf: $1,388.90 Date: 10/31/2013 Perf: $1,364.21 Date: 9/30/2013 Perf: $1,333.67 Date: 8/31/2013 Perf: $1,341.72 Date: 7/31/2013 Perf: $1,367.98 Date: 6/30/2013 Perf: $1,379.99 Date: 5/31/2013 Perf: $1,434.35 Date: 4/30/2013 Perf: $1,498.80 Date: 3/31/2013 Perf: $1,461.10 Date: 2/28/2013 Perf: $1,440.36 Date: 1/31/2013 Perf: $1,448.77 Date: 12/31/2012 Perf: $1,421.75 Date: 11/30/2012 Perf: $1,414.82 Date: 10/31/2012 Perf: $1,410.87 Date: 9/30/2012 Perf: $1,463.86 Date: 8/31/2012 Perf: $1,488.42 Date: 7/31/2012 Perf: $1,508.94 Date: 6/30/2012 Perf: $1,449.65 Date: 5/31/2012 Perf: $1,506.29 Date: 4/30/2012 Perf: $1,478.20 Date: 3/31/2012 Perf: $1,469.38 Date: 2/29/2012 Perf: $1,503.51 Date: 1/31/2012 Perf: $1,497.38 Date: 12/31/2011 Perf: $1,492.60 Date: 11/30/2011 Perf: $1,478.41 Date: 10/31/2011 Perf: $1,473.98 Date: 9/30/2011 Perf: $1,534.76 Date: 8/31/2011 Perf: $1,535.68 Date: 7/31/2011 Perf: $1,538.76 Date: 6/30/2011 Perf: $1,485.43 Date: 5/31/2011 Perf: $1,525.09 Date: 4/30/2011 Perf: $1,582.86 Date: 3/31/2011 Perf: $1,523.45 Date: 2/28/2011 Perf: $1,547.12 Date: 1/31/2011 Perf: $1,521.25 Date: 12/31/2010 Perf: $1,542.39 Date: 11/30/2010 Perf: $1,478.94 Date: 10/31/2010 Perf: $1,533.21 Date: 9/30/2010 Perf: $1,475.95 Date: 8/31/2010 Perf: $1,449.57 Date: 7/31/2010 Perf: $1,391.94 Date: 6/30/2010 Perf: $1,410.13 Date: 5/31/2010 Perf: $1,404.79 Date: 4/30/2010 Perf: $1,439.63 Date: 3/31/2010 Perf: $1,417.80 Date: 2/28/2010 Perf: $1,363.66 Date: 1/31/2010 Perf: $1,350.96 Date: 12/31/2009 Perf: $1,385.46 Date: 11/30/2009 Perf: $1,443.19 Date: 10/31/2009 Perf: $1,387.28 Date: 9/30/2009 Perf: $1,423.73 Date: 8/31/2009 Perf: $1,390.63 Date: 7/31/2009 Perf: $1,386.06 Date: 6/30/2009 Perf: $1,387.58 Date: 5/31/2009 Perf: $1,425.50 Date: 4/30/2009 Perf: $1,406.10 Date: 3/31/2009 Perf: $1,453.63 Date: 2/28/2009 Perf: $1,495.04 Date: 1/31/2009 Perf: $1,495.79 Date: 12/31/2008 Perf: $1,505.58 Date: 11/30/2008 Perf: $1,467.85 Date: 10/31/2008 Perf: $1,415.89 Date: 9/30/2008 Perf: $1,346.54 Date: 8/31/2008 Perf: $1,343.72 Date: 7/31/2008 Perf: $1,380.58 Date: 6/30/2008 Perf: $1,447.00 Date: 5/31/2008 Perf: $1,409.37 Date: 4/30/2008 Perf: $1,380.92 Date: 3/31/2008 Perf: $1,396.99 Date: 2/29/2008 Perf: $1,403.16 Date: 1/31/2008 Perf: $1,327.62 Date: 12/31/2007 Perf: $1,303.89 Date: 11/30/2007 Perf: $1,306.89 Date: 10/31/2007 Perf: $1,315.45 Date: 9/30/2007 Perf: $1,261.09 Date: 8/31/2007 Perf: $1,204.83 Date: 7/31/2007 Perf: $1,251.51 Date: 6/30/2007 Perf: $1,291.41 Date: 5/31/2007 Perf: $1,255.14 Date: 4/30/2007 Perf: $1,211.88 Date: 3/31/2007 Perf: $1,163.03 Date: 2/28/2007 Perf: $1,190.89 Date: 1/31/2007 Perf: $1,237.29 Date: 12/31/2006 Perf: $1,216.49 Date: 11/30/2006 Perf: $1,176.72 Date: 10/31/2006 Perf: $1,148.58 Date: 9/30/2006 Perf: $1,136.08 Date: 8/31/2006 Perf: $1,148.25 Date: 7/31/2006 Perf: $1,135.53 Date: 6/30/2006 Perf: $1,152.59 Date: 5/31/2006 Perf: $1,168.60 Date: 4/30/2006 Perf: $1,200.41 Date: 3/31/2006 Perf: $1,171.82 Date: 2/28/2006 Perf: $1,141.24 Date: 1/31/2006 Perf: $1,161.92 Date: 12/31/2005 Perf: $1,140.14 Date: 11/30/2005 Perf: $1,161.16 Date: 10/31/2005 Perf: $1,113.39 Date: 9/30/2005 Perf: $1,111.62 Date: 8/31/2005 Perf: $1,094.76 Date: 7/31/2005 Perf: $1,088.88 Date: 6/30/2005 Perf: $1,088.22 Date: 5/31/2005 Perf: $1,052.34 Date: 4/30/2005 Perf: $1,020.80 Date: 3/31/2005 Perf: $1,046.43 Date: 2/28/2005 Perf: $1,052.33 Date: 1/31/2005 Perf: $1,045.12 Date: 12/31/2004 Perf: $1,090.93 Date: 11/30/2004 Perf: $1,087.35 Date: 10/31/2004 Perf: $1,031.54 Date: 9/30/2004 Perf: $997.43 Date: 8/31/2004 Perf: $984.14 Date: 7/31/2004 Perf: $990.98 Date: 6/30/2004 Perf: $1,002.41 Date: 5/31/2004 Perf: $1,036.62 Date: 4/30/2004 Perf: $1,053.36 Date: 3/31/2004 Perf: $1,123.23 Date: 2/29/2004 Perf: $1,134.35 Date: 1/31/2004 Perf: $1,073.78 Date: 12/31/2003 Perf: $1,063.57 Date: 11/30/2003 Perf: $1,019.43 Date: 10/31/2003 Perf: $1,022.50 Date: 9/30/2003 Perf: $1,000.00 Date: 5/31/2023 Perf: $6,201.10 Date: 4/30/2023 Perf: $6,174.55 Date: 3/31/2023 Perf: $6,079.71 Date: 2/28/2023 Perf: $5,864.48 Date: 1/31/2023 Perf: $6,011.15 Date: 12/31/2022 Perf: $5,655.96 Date: 11/30/2022 Perf: $6,001.65 Date: 10/31/2022 Perf: $5,683.92 Date: 9/30/2022 Perf: $5,258.02 Date: 8/31/2022 Perf: $5,791.41 Date: 7/31/2022 Perf: $6,037.75 Date: 6/30/2022 Perf: $5,528.06 Date: 5/31/2022 Perf: $6,025.14 Date: 4/30/2022 Perf: $6,014.31 Date: 3/31/2022 Perf: $6,588.86 Date: 2/28/2022 Perf: $6,353.16 Date: 1/31/2022 Perf: $6,548.97 Date: 12/31/2021 Perf: $6,906.01 Date: 11/30/2021 Perf: $6,609.89 Date: 10/31/2021 Perf: $6,655.81 Date: 9/30/2021 Perf: $6,219.81 Date: 8/31/2021 Perf: $6,523.13 Date: 7/31/2021 Perf: $6,330.68 Date: 6/30/2021 Perf: $6,183.51 Date: 5/31/2021 Perf: $6,042.72 Date: 4/30/2021 Perf: $6,000.71 Date: 3/31/2021 Perf: $5,696.52 Date: 2/28/2021 Perf: $5,457.48 Date: 1/31/2021 Perf: $5,310.90 Date: 12/31/2020 Perf: $5,365.09 Date: 11/30/2020 Perf: $5,166.69 Date: 10/31/2020 Perf: $4,656.77 Date: 9/30/2020 Perf: $4,784.02 Date: 8/31/2020 Perf: $4,973.00 Date: 7/31/2020 Perf: $4,639.42 Date: 6/30/2020 Perf: $4,391.73 Date: 5/31/2020 Perf: $4,306.04 Date: 4/30/2020 Perf: $4,110.39 Date: 3/31/2020 Perf: $3,643.31 Date: 2/29/2020 Perf: $4,156.66 Date: 1/31/2020 Perf: $4,529.43 Date: 12/31/2019 Perf: $4,531.24 Date: 11/30/2019 Perf: $4,398.41 Date: 10/31/2019 Perf: $4,244.34 Date: 9/30/2019 Perf: $4,154.20 Date: 8/31/2019 Perf: $4,077.94 Date: 7/31/2019 Perf: $4,143.41 Date: 6/30/2019 Perf: $4,084.59 Date: 5/31/2019 Perf: $3,815.59 Date: 4/30/2019 Perf: $4,074.31 Date: 3/31/2019 Perf: $3,915.72 Date: 2/28/2019 Perf: $3,841.20 Date: 1/31/2019 Perf: $3,721.73 Date: 12/31/2018 Perf: $3,445.73 Date: 11/30/2018 Perf: $3,787.77 Date: 10/31/2018 Perf: $3,712.04 Date: 9/30/2018 Perf: $3,984.59 Date: 8/31/2018 Perf: $3,962.00 Date: 7/31/2018 Perf: $3,836.92 Date: 6/30/2018 Perf: $3,699.30 Date: 5/31/2018 Perf: $3,676.51 Date: 4/30/2018 Perf: $3,589.99 Date: 3/31/2018 Perf: $3,576.40 Date: 2/28/2018 Perf: $3,669.61 Date: 1/31/2018 Perf: $3,810.21 Date: 12/31/2017 Perf: $3,603.71 Date: 11/30/2017 Perf: $3,564.15 Date: 10/31/2017 Perf: $3,457.99 Date: 9/30/2017 Perf: $3,379.25 Date: 8/31/2017 Perf: $3,311.05 Date: 7/31/2017 Perf: $3,300.81 Date: 6/30/2017 Perf: $3,234.19 Date: 5/31/2017 Perf: $3,214.26 Date: 4/30/2017 Perf: $3,169.57 Date: 3/31/2017 Perf: $3,137.26 Date: 2/28/2017 Perf: $3,133.50 Date: 1/31/2017 Perf: $3,013.85 Date: 12/31/2016 Perf: $2,957.65 Date: 11/30/2016 Perf: $2,900.23 Date: 10/31/2016 Perf: $2,796.75 Date: 9/30/2016 Perf: $2,848.59 Date: 8/31/2016 Perf: $2,848.02 Date: 7/31/2016 Perf: $2,844.04 Date: 6/30/2016 Perf: $2,742.83 Date: 5/31/2016 Perf: $2,735.72 Date: 4/30/2016 Perf: $2,687.34 Date: 3/31/2016 Perf: $2,676.90 Date: 2/29/2016 Perf: $2,506.93 Date: 1/31/2016 Perf: $2,510.20 Date: 12/31/2015 Perf: $2,641.20 Date: 11/30/2015 Perf: $2,683.60 Date: 10/31/2015 Perf: $2,675.58 Date: 9/30/2015 Perf: $2,467.33 Date: 8/31/2015 Perf: $2,529.82 Date: 7/31/2015 Perf: $2,692.16 Date: 6/30/2015 Perf: $2,636.78 Date: 5/31/2015 Perf: $2,688.95 Date: 4/30/2015 Perf: $2,654.70 Date: 3/31/2015 Perf: $2,629.46 Date: 2/28/2015 Perf: $2,671.67 Date: 1/31/2015 Perf: $2,526.41 Date: 12/31/2014 Perf: $2,604.54 Date: 11/30/2014 Perf: $2,611.07 Date: 10/31/2014 Perf: $2,542.67 Date: 9/30/2014 Perf: $2,482.11 Date: 8/31/2014 Perf: $2,517.35 Date: 7/31/2014 Perf: $2,420.53 Date: 6/30/2014 Perf: $2,454.40 Date: 5/31/2014 Perf: $2,404.62 Date: 4/30/2014 Perf: $2,349.41 Date: 3/31/2014 Perf: $2,332.16 Date: 2/28/2014 Perf: $2,312.73 Date: 1/31/2014 Perf: $2,211.66 Date: 12/31/2013 Perf: $2,290.92 Date: 11/30/2013 Perf: $2,234.39 Date: 10/31/2013 Perf: $2,168.26 Date: 9/30/2013 Perf: $2,072.91 Date: 8/31/2013 Perf: $2,009.80 Date: 7/31/2013 Perf: $2,069.82 Date: 6/30/2013 Perf: $1,969.57 Date: 5/31/2013 Perf: $1,996.32 Date: 4/30/2013 Perf: $1,950.68 Date: 3/31/2013 Perf: $1,913.74 Date: 2/28/2013 Perf: $1,844.57 Date: 1/31/2013 Perf: $1,819.82 Date: 12/31/2012 Perf: $1,730.20 Date: 11/30/2012 Perf: $1,714.59 Date: 10/31/2012 Perf: $1,704.71 Date: 9/30/2012 Perf: $1,736.84 Date: 8/31/2012 Perf: $1,693.15 Date: 7/31/2012 Perf: $1,655.90 Date: 6/30/2012 Perf: $1,633.20 Date: 5/31/2012 Perf: $1,568.57 Date: 4/30/2012 Perf: $1,668.87 Date: 3/31/2012 Perf: $1,679.45 Date: 2/29/2012 Perf: $1,625.96 Date: 1/31/2012 Perf: $1,558.62 Date: 12/31/2011 Perf: $1,491.79 Date: 11/30/2011 Perf: $1,476.73 Date: 10/31/2011 Perf: $1,479.98 Date: 9/30/2011 Perf: $1,334.16 Date: 8/31/2011 Perf: $1,435.04 Date: 7/31/2011 Perf: $1,517.44 Date: 6/30/2011 Perf: $1,548.88 Date: 5/31/2011 Perf: $1,575.19 Date: 4/30/2011 Perf: $1,593.19 Date: 3/31/2011 Perf: $1,547.39 Date: 2/28/2011 Perf: $1,546.77 Date: 1/31/2011 Perf: $1,495.48 Date: 12/31/2010 Perf: $1,460.85 Date: 11/30/2010 Perf: $1,369.38 Date: 10/31/2010 Perf: $1,369.24 Date: 9/30/2010 Perf: $1,318.99 Date: 8/31/2010 Perf: $1,210.97 Date: 7/31/2010 Perf: $1,268.16 Date: 6/30/2010 Perf: $1,185.09 Date: 5/31/2010 Perf: $1,250.49 Date: 4/30/2010 Perf: $1,359.08 Date: 3/31/2010 Perf: $1,337.94 Date: 2/28/2010 Perf: $1,261.85 Date: 1/31/2010 Perf: $1,223.91 Date: 12/31/2009 Perf: $1,269.62 Date: 11/30/2009 Perf: $1,245.58 Date: 10/31/2009 Perf: $1,175.07 Date: 9/30/2009 Perf: $1,197.34 Date: 8/31/2009 Perf: $1,154.29 Date: 7/31/2009 Perf: $1,114.07 Date: 6/30/2009 Perf: $1,035.77 Date: 5/31/2009 Perf: $1,033.70 Date: 4/30/2009 Perf: $978.97 Date: 3/31/2009 Perf: $893.47 Date: 2/28/2009 Perf: $821.51 Date: 1/31/2009 Perf: $919.42 Date: 12/31/2008 Perf: $1,004.07 Date: 11/30/2008 Perf: $993.54 Date: 10/31/2008 Perf: $1,070.39 Date: 9/30/2008 Perf: $1,286.37 Date: 8/31/2008 Perf: $1,412.20 Date: 7/31/2008 Perf: $1,392.01 Date: 6/30/2008 Perf: $1,403.81 Date: 5/31/2008 Perf: $1,533.04 Date: 4/30/2008 Perf: $1,513.37 Date: 3/31/2008 Perf: $1,443.09 Date: 2/29/2008 Perf: $1,449.32 Date: 1/31/2008 Perf: $1,498.01 Date: 12/31/2007 Perf: $1,593.62 Date: 11/30/2007 Perf: $1,604.70 Date: 10/31/2007 Perf: $1,674.70 Date: 9/30/2007 Perf: $1,648.49 Date: 8/31/2007 Perf: $1,589.06 Date: 7/31/2007 Perf: $1,565.57 Date: 6/30/2007 Perf: $1,615.66 Date: 5/31/2007 Perf: $1,642.93 Date: 4/30/2007 Perf: $1,587.53 Date: 3/31/2007 Perf: $1,520.18 Date: 2/28/2007 Perf: $1,503.35 Date: 1/31/2007 Perf: $1,533.40 Date: 12/31/2006 Perf: $1,510.59 Date: 11/30/2006 Perf: $1,489.73 Date: 10/31/2006 Perf: $1,461.96 Date: 9/30/2006 Perf: $1,415.80 Date: 8/31/2006 Perf: $1,380.19 Date: 7/31/2006 Perf: $1,348.11 Date: 6/30/2006 Perf: $1,339.80 Date: 5/31/2006 Perf: $1,337.93 Date: 4/30/2006 Perf: $1,377.60 Date: 3/31/2006 Perf: $1,359.39 Date: 2/28/2006 Perf: $1,342.74 Date: 1/31/2006 Perf: $1,339.12 Date: 12/31/2005 Perf: $1,304.55 Date: 11/30/2005 Perf: $1,304.16 Date: 10/31/2005 Perf: $1,256.66 Date: 9/30/2005 Perf: $1,278.00 Date: 8/31/2005 Perf: $1,267.73 Date: 7/31/2005 Perf: $1,279.37 Date: 6/30/2005 Perf: $1,233.49 Date: 5/31/2005 Perf: $1,231.76 Date: 4/30/2005 Perf: $1,193.80 Date: 3/31/2005 Perf: $1,216.92 Date: 2/28/2005 Perf: $1,238.85 Date: 1/31/2005 Perf: $1,213.37 Date: 12/31/2004 Perf: $1,243.72 Date: 11/30/2004 Perf: $1,202.82 Date: 10/31/2004 Perf: $1,156.00 Date: 9/30/2004 Perf: $1,138.58 Date: 8/31/2004 Perf: $1,126.42 Date: 7/31/2004 Perf: $1,121.93 Date: 6/30/2004 Perf: $1,160.34 Date: 5/31/2004 Perf: $1,138.25 Date: 4/30/2004 Perf: $1,122.87 Date: 3/31/2004 Perf: $1,140.78 Date: 2/29/2004 Perf: $1,158.27 Date: 1/31/2004 Perf: $1,142.39 Date: 12/31/2003 Perf: $1,121.75 Date: 11/30/2003 Perf: $1,065.90 Date: 10/31/2003 Perf: $1,056.60 Date: 9/30/2003 Perf: $1,000.00 Date: 5/31/2023 Perf: $3,657.51 Date: 4/30/2023 Perf: $3,721.90 Date: 3/31/2023 Perf: $3,667.25 Date: 2/28/2023 Perf: $3,651.19 Date: 1/31/2023 Perf: $3,774.62 Date: 12/31/2022 Perf: $3,815.44 Date: 11/30/2022 Perf: $3,898.08 Date: 10/31/2022 Perf: $3,793.39 Date: 9/30/2022 Perf: $3,617.23 Date: 8/31/2022 Perf: $3,830.18 Date: 7/31/2022 Perf: $3,924.37 Date: 6/30/2022 Perf: $3,881.29 Date: 5/31/2022 Perf: $3,877.02 Date: 4/30/2022 Perf: $3,850.45 Date: 3/31/2022 Perf: $3,803.29 Date: 2/28/2022 Perf: $3,497.28 Date: 1/31/2022 Perf: $3,511.33 Date: 12/31/2021 Perf: $3,187.77 Date: 11/30/2021 Perf: $3,300.31 Date: 10/31/2021 Perf: $3,214.17 Date: 9/30/2021 Perf: $3,224.81 Date: 8/31/2021 Perf: $3,111.85 Date: 7/31/2021 Perf: $3,148.37 Date: 6/30/2021 Perf: $3,066.80 Date: 5/31/2021 Perf: $3,241.86 Date: 4/30/2021 Perf: $3,172.69 Date: 3/31/2021 Perf: $3,186.07 Date: 2/28/2021 Perf: $3,219.88 Date: 1/31/2021 Perf: $3,200.36 Date: 12/31/2020 Perf: $3,263.01 Date: 11/30/2020 Perf: $3,305.65 Date: 10/31/2020 Perf: $3,114.13 Date: 9/30/2020 Perf: $3,137.35 Date: 8/31/2020 Perf: $3,088.55 Date: 7/31/2020 Perf: $3,130.18 Date: 6/30/2020 Perf: $3,201.90 Date: 5/31/2020 Perf: $3,337.40 Date: 4/30/2020 Perf: $3,306.32 Date: 3/31/2020 Perf: $3,359.06 Date: 2/29/2020 Perf: $3,675.12 Date: 1/31/2020 Perf: $3,718.63 Date: 12/31/2019 Perf: $3,417.23 Date: 11/30/2019 Perf: $3,339.42 Date: 10/31/2019 Perf: $3,210.36 Date: 9/30/2019 Perf: $3,152.36 Date: 8/31/2019 Perf: $3,204.59 Date: 7/31/2019 Perf: $3,391.82 Date: 6/30/2019 Perf: $3,220.19 Date: 5/31/2019 Perf: $3,112.19 Date: 4/30/2019 Perf: $3,167.63 Date: 3/31/2019 Perf: $3,250.85 Date: 2/28/2019 Perf: $3,272.12 Date: 1/31/2019 Perf: $3,416.29 Date: 12/31/2018 Perf: $3,467.61 Date: 11/30/2018 Perf: $3,376.44 Date: 10/31/2018 Perf: $3,395.80 Date: 9/30/2018 Perf: $3,605.65 Date: 8/31/2018 Perf: $3,598.81 Date: 7/31/2018 Perf: $3,548.42 Date: 6/30/2018 Perf: $3,655.53 Date: 5/31/2018 Perf: $3,625.80 Date: 4/30/2018 Perf: $3,501.49 Date: 3/31/2018 Perf: $3,467.86 Date: 2/28/2018 Perf: $3,423.35 Date: 1/31/2018 Perf: $3,674.70 Date: 12/31/2017 Perf: $3,725.74 Date: 11/30/2017 Perf: $3,687.40 Date: 10/31/2017 Perf: $3,746.97 Date: 9/30/2017 Perf: $3,659.15 Date: 8/31/2017 Perf: $3,552.92 Date: 7/31/2017 Perf: $3,660.16 Date: 6/30/2017 Perf: $3,655.41 Date: 5/31/2017 Perf: $3,648.84 Date: 4/30/2017 Perf: $3,650.67 Date: 3/31/2017 Perf: $3,653.96 Date: 2/28/2017 Perf: $3,618.14 Date: 1/31/2017 Perf: $3,580.19 Date: 12/31/2016 Perf: $3,470.18 Date: 11/30/2016 Perf: $3,351.21 Date: 10/31/2016 Perf: $3,269.16 Date: 9/30/2016 Perf: $3,310.88 Date: 8/31/2016 Perf: $3,248.50 Date: 7/31/2016 Perf: $3,228.49 Date: 6/30/2016 Perf: $3,223.97 Date: 5/31/2016 Perf: $3,197.12 Date: 4/30/2016 Perf: $3,147.08 Date: 3/31/2016 Perf: $3,142.37 Date: 2/29/2016 Perf: $3,238.89 Date: 1/31/2016 Perf: $3,050.95 Date: 12/31/2015 Perf: $2,973.92 Date: 11/30/2015 Perf: $3,022.89 Date: 10/31/2015 Perf: $2,904.67 Date: 9/30/2015 Perf: $2,898.01 Date: 8/31/2015 Perf: $2,770.56 Date: 7/31/2015 Perf: $2,685.43 Date: 6/30/2015 Perf: $2,725.22 Date: 5/31/2015 Perf: $2,621.67 Date: 4/30/2015 Perf: $2,602.67 Date: 3/31/2015 Perf: $2,477.08 Date: 2/28/2015 Perf: $2,512.76 Date: 1/31/2015 Perf: $2,456.99 Date: 12/31/2014 Perf: $2,461.42 Date: 11/30/2014 Perf: $2,561.31 Date: 10/31/2014 Perf: $2,563.62 Date: 9/30/2014 Perf: $2,639.64 Date: 8/31/2014 Perf: $2,572.49 Date: 7/31/2014 Perf: $2,608.76 Date: 6/30/2014 Perf: $2,628.47 Date: 5/31/2014 Perf: $2,631.89 Date: 4/30/2014 Perf: $2,641.40 Date: 3/31/2014 Perf: $2,777.50 Date: 2/28/2014 Perf: $2,846.67 Date: 1/31/2014 Perf: $2,834.48 Date: 12/31/2013 Perf: $2,806.70 Date: 11/30/2013 Perf: $2,692.53 Date: 10/31/2013 Perf: $2,634.32 Date: 9/30/2013 Perf: $2,633.26 Date: 8/31/2013 Perf: $2,663.90 Date: 7/31/2013 Perf: $2,629.71 Date: 6/30/2013 Perf: $2,618.45 Date: 5/31/2013 Perf: $2,628.44 Date: 4/30/2013 Perf: $2,629.75 Date: 3/31/2013 Perf: $2,664.93 Date: 2/28/2013 Perf: $2,736.35 Date: 1/31/2013 Perf: $2,748.17 Date: 12/31/2012 Perf: $2,818.92 Date: 11/30/2012 Perf: $2,772.89 Date: 10/31/2012 Perf: $2,858.36 Date: 9/30/2012 Perf: $2,911.05 Date: 8/31/2012 Perf: $2,901.76 Date: 7/31/2012 Perf: $2,886.75 Date: 6/30/2012 Perf: $2,947.17 Date: 5/31/2012 Perf: $2,909.63 Date: 4/30/2012 Perf: $2,714.97 Date: 3/31/2012 Perf: $2,566.86 Date: 2/29/2012 Perf: $2,536.42 Date: 1/31/2012 Perf: $2,572.70 Date: 12/31/2011 Perf: $2,693.64 Date: 11/30/2011 Perf: $2,773.24 Date: 10/31/2011 Perf: $2,657.37 Date: 9/30/2011 Perf: $2,579.73 Date: 8/31/2011 Perf: $2,467.46 Date: 7/31/2011 Perf: $2,460.08 Date: 6/30/2011 Perf: $2,432.35 Date: 5/31/2011 Perf: $2,454.44 Date: 4/30/2011 Perf: $2,536.10 Date: 3/31/2011 Perf: $2,596.60 Date: 2/28/2011 Perf: $2,607.29 Date: 1/31/2011 Perf: $2,574.08 Date: 12/31/2010 Perf: $2,565.62 Date: 11/30/2010 Perf: $2,516.05 Date: 10/31/2010 Perf: $2,564.78 Date: 9/30/2010 Perf: $2,502.23 Date: 8/31/2010 Perf: $2,492.26 Date: 7/31/2010 Perf: $2,458.09 Date: 6/30/2010 Perf: $2,477.16 Date: 5/31/2010 Perf: $2,466.07 Date: 4/30/2010 Perf: $2,498.04 Date: 3/31/2010 Perf: $2,496.05 Date: 2/28/2010 Perf: $2,521.51 Date: 1/31/2010 Perf: $2,532.91 Date: 12/31/2009 Perf: $2,647.27 Date: 11/30/2009 Perf: $2,748.98 Date: 10/31/2009 Perf: $2,690.34 Date: 9/30/2009 Perf: $2,755.93 Date: 8/31/2009 Perf: $2,716.54 Date: 7/31/2009 Perf: $2,697.65 Date: 6/30/2009 Perf: $2,649.43 Date: 5/31/2009 Perf: $2,663.28 Date: 4/30/2009 Perf: $2,574.96 Date: 3/31/2009 Perf: $2,469.04 Date: 2/28/2009 Perf: $2,526.91 Date: 1/31/2009 Perf: $2,529.44 Date: 12/31/2008 Perf: $2,386.48 Date: 11/30/2008 Perf: $2,365.20 Date: 10/31/2008 Perf: $2,311.80 Date: 9/30/2008 Perf: $2,372.05 Date: 8/31/2008 Perf: $2,300.72 Date: 7/31/2008 Perf: $2,225.93 Date: 6/30/2008 Perf: $2,267.66 Date: 5/31/2008 Perf: $2,302.89 Date: 4/30/2008 Perf: $2,177.06 Date: 3/31/2008 Perf: $2,137.30 Date: 2/29/2008 Perf: $2,064.03 Date: 1/31/2008 Perf: $1,960.14 Date: 12/31/2007 Perf: $2,121.14 Date: 11/30/2007 Perf: $2,096.19 Date: 10/31/2007 Perf: $2,027.27 Date: 9/30/2007 Perf: $1,944.25 Date: 8/31/2007 Perf: $1,924.23 Date: 7/31/2007 Perf: $1,788.99 Date: 6/30/2007 Perf: $1,753.39 Date: 5/31/2007 Perf: $1,732.94 Date: 4/30/2007 Perf: $1,801.40 Date: 3/31/2007 Perf: $1,778.81 Date: 2/28/2007 Perf: $1,687.67 Date: 1/31/2007 Perf: $1,664.86 Date: 12/31/2006 Perf: $1,637.52 Date: 11/30/2006 Perf: $1,656.73 Date: 10/31/2006 Perf: $1,655.08 Date: 9/30/2006 Perf: $1,618.03 Date: 8/31/2006 Perf: $1,637.51 Date: 7/31/2006 Perf: $1,637.84 Date: 6/30/2006 Perf: $1,600.39 Date: 5/31/2006 Perf: $1,638.23 Date: 4/30/2006 Perf: $1,559.93 Date: 3/31/2006 Perf: $1,594.20 Date: 2/28/2006 Perf: $1,570.95 Date: 1/31/2006 Perf: $1,546.21 Date: 12/31/2005 Perf: $1,537.45 Date: 11/30/2005 Perf: $1,491.94 Date: 10/31/2005 Perf: $1,462.12 Date: 9/30/2005 Perf: $1,453.98 Date: 8/31/2005 Perf: $1,441.58 Date: 7/31/2005 Perf: $1,421.67 Date: 6/30/2005 Perf: $1,413.90 Date: 5/31/2005 Perf: $1,442.31 Date: 4/30/2005 Perf: $1,402.34 Date: 3/31/2005 Perf: $1,325.84 Date: 2/28/2005 Perf: $1,271.67 Date: 1/31/2005 Perf: $1,293.00 Date: 12/31/2004 Perf: $1,298.20 Date: 11/30/2004 Perf: $1,320.51 Date: 10/31/2004 Perf: $1,205.07 Date: 9/30/2004 Perf: $1,139.54 Date: 8/31/2004 Perf: $1,074.54 Date: 7/31/2004 Perf: $1,073.46 Date: 6/30/2004 Perf: $1,051.69 Date: 5/31/2004 Perf: $1,036.76 Date: 4/30/2004 Perf: $1,007.15 Date: 3/31/2004 Perf: $1,013.54 Date: 2/29/2004 Perf: $1,112.92 Date: 1/31/2004 Perf: $1,075.18 Date: 12/31/2003 Perf: $1,065.38 Date: 11/30/2003 Perf: $1,030.85 Date: 10/31/2003 Perf: $1,058.80 Date: 9/30/2003 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: 09/03 - 04/23
Date: 5/31/2023 Return: -1.73 % Date: 4/30/2023 Return: 1.49 % Date: 3/31/2023 Return: 0.44 % Date: 2/28/2023 Return: -3.27 % Date: 1/31/2023 Return: -1.07 % Date: 12/31/2022 Return: -2.12 % Date: 11/30/2022 Return: 2.76 % Date: 10/31/2022 Return: 4.87 % Date: 9/30/2022 Return: -5.56 % Date: 8/31/2022 Return: -2.40 % Date: 7/31/2022 Return: 1.11 % Date: 6/30/2022 Return: 0.11 % Date: 5/31/2022 Return: 0.69 % Date: 4/30/2022 Return: 1.24 % Date: 3/31/2022 Return: 8.75 % Date: 2/28/2022 Return: -0.40 % Date: 1/31/2022 Return: 10.15 % Date: 12/31/2021 Return: -3.41 % Date: 11/30/2021 Return: 2.68 % Date: 10/31/2021 Return: -0.33 % Date: 9/30/2021 Return: 3.63 % Date: 8/31/2021 Return: -1.16 % Date: 7/31/2021 Return: 2.66 % Date: 6/30/2021 Return: -5.40 % Date: 5/31/2021 Return: 2.18 % Date: 4/30/2021 Return: -0.42 % Date: 3/31/2021 Return: -1.05 % Date: 2/28/2021 Return: 0.61 % Date: 1/31/2021 Return: -1.92 % Date: 12/31/2020 Return: -1.29 % Date: 11/30/2020 Return: 6.15 % Date: 10/31/2020 Return: -0.74 % Date: 9/30/2020 Return: 1.58 % Date: 8/31/2020 Return: -1.33 % Date: 7/31/2020 Return: -2.24 % Date: 6/30/2020 Return: -4.06 % Date: 5/31/2020 Return: 0.94 % Date: 4/30/2020 Return: -1.57 % Date: 3/31/2020 Return: -8.60 % Date: 2/29/2020 Return: -1.17 % Date: 1/31/2020 Return: 8.82 % Date: 12/31/2019 Return: 2.33 % Date: 11/30/2019 Return: 4.02 % Date: 10/31/2019 Return: 1.84 % Date: 9/30/2019 Return: -1.63 % Date: 8/31/2019 Return: -5.52 % Date: 7/31/2019 Return: 5.33 % Date: 6/30/2019 Return: 3.47 % Date: 5/31/2019 Return: -1.75 % Date: 4/30/2019 Return: -2.56 % Date: 3/31/2019 Return: -0.65 % Date: 2/28/2019 Return: -4.22 % Date: 1/31/2019 Return: -1.48 % Date: 12/31/2018 Return: 2.70 % Date: 11/30/2018 Return: -0.57 % Date: 10/31/2018 Return: -5.82 % Date: 9/30/2018 Return: 0.19 % Date: 8/31/2018 Return: 1.42 % Date: 7/31/2018 Return: -2.93 % Date: 6/30/2018 Return: 0.82 % Date: 5/31/2018 Return: 3.55 % Date: 4/30/2018 Return: 0.97 % Date: 3/31/2018 Return: 1.30 % Date: 2/28/2018 Return: -6.84 % Date: 1/31/2018 Return: -1.37 % Date: 12/31/2017 Return: 1.04 % Date: 11/30/2017 Return: -1.59 % Date: 10/31/2017 Return: 2.40 % Date: 9/30/2017 Return: 2.99 % Date: 8/31/2017 Return: -2.93 % Date: 7/31/2017 Return: 0.13 % Date: 6/30/2017 Return: 0.18 % Date: 5/31/2017 Return: -0.05 % Date: 4/30/2017 Return: -0.09 % Date: 3/31/2017 Return: 0.99 % Date: 2/28/2017 Return: 1.06 % Date: 1/31/2017 Return: 3.17 % Date: 12/31/2016 Return: 3.55 % Date: 11/30/2016 Return: 2.51 % Date: 10/31/2016 Return: -1.26 % Date: 9/30/2016 Return: 1.92 % Date: 8/31/2016 Return: 0.62 % Date: 7/31/2016 Return: 0.14 % Date: 6/30/2016 Return: 0.84 % Date: 5/31/2016 Return: 1.59 % Date: 4/30/2016 Return: 0.15 % Date: 3/31/2016 Return: -2.98 % Date: 2/29/2016 Return: 6.16 % Date: 1/31/2016 Return: 2.59 % Date: 12/31/2015 Return: -1.62 % Date: 11/30/2015 Return: 4.07 % Date: 10/31/2015 Return: 0.23 % Date: 9/30/2015 Return: 4.60 % Date: 8/31/2015 Return: 3.17 % Date: 7/31/2015 Return: -1.46 % Date: 6/30/2015 Return: 3.95 % Date: 5/31/2015 Return: 0.73 % Date: 4/30/2015 Return: 5.07 % Date: 3/31/2015 Return: -1.42 % Date: 2/28/2015 Return: 2.27 % Date: 1/31/2015 Return: -0.18 % Date: 12/31/2014 Return: -3.90 % Date: 11/30/2014 Return: -0.09 % Date: 10/31/2014 Return: -2.88 % Date: 9/30/2014 Return: 2.61 % Date: 8/31/2014 Return: -1.39 % Date: 7/31/2014 Return: -0.75 % Date: 6/30/2014 Return: -0.13 % Date: 5/31/2014 Return: -0.36 % Date: 4/30/2014 Return: -4.90 % Date: 3/31/2014 Return: -2.43 % Date: 2/28/2014 Return: 0.43 % Date: 1/31/2014 Return: 0.99 % Date: 12/31/2013 Return: 4.24 % Date: 11/30/2013 Return: 2.21 % Date: 10/31/2013 Return: 0.04 % Date: 9/30/2013 Return: -1.15 % Date: 8/31/2013 Return: 1.30 % Date: 7/31/2013 Return: 0.43 % Date: 6/30/2013 Return: -0.38 % Date: 5/31/2013 Return: -0.05 % Date: 4/30/2013 Return: -1.32 % Date: 3/31/2013 Return: -2.61 % Date: 2/28/2013 Return: -0.43 % Date: 1/31/2013 Return: -2.51 % Date: 12/31/2012 Return: 1.66 % Date: 11/30/2012 Return: -2.99 % Date: 10/31/2012 Return: -1.81 % Date: 9/30/2012 Return: 0.32 % Date: 8/31/2012 Return: 0.52 % Date: 7/31/2012 Return: -2.05 % Date: 6/30/2012 Return: 1.29 % Date: 5/31/2012 Return: 7.17 % Date: 4/30/2012 Return: 5.77 % Date: 3/31/2012 Return: 1.20 % Date: 2/29/2012 Return: -1.41 % Date: 1/31/2012 Return: -4.49 % Date: 12/31/2011 Return: -2.87 % Date: 11/30/2011 Return: 4.36 % Date: 10/31/2011 Return: 3.01 % Date: 9/30/2011 Return: 4.55 % Date: 8/31/2011 Return: 0.30 % Date: 7/31/2011 Return: 1.14 % Date: 6/30/2011 Return: -0.90 % Date: 5/31/2011 Return: -3.22 % Date: 4/30/2011 Return: -2.33 % Date: 3/31/2011 Return: -0.41 % Date: 2/28/2011 Return: 1.29 % Date: 1/31/2011 Return: 0.33 % Date: 12/31/2010 Return: 1.97 % Date: 11/30/2010 Return: -1.90 % Date: 10/31/2010 Return: 2.50 % Date: 9/30/2010 Return: 0.40 % Date: 8/31/2010 Return: 1.39 % Date: 7/31/2010 Return: -0.77 % Date: 6/30/2010 Return: 0.45 % Date: 5/31/2010 Return: -1.28 % Date: 4/30/2010 Return: 0.08 % Date: 3/31/2010 Return: -1.01 % Date: 2/28/2010 Return: -0.45 % Date: 1/31/2010 Return: -4.32 % Date: 12/31/2009 Return: -3.70 % Date: 11/30/2009 Return: 2.18 % Date: 10/31/2009 Return: -2.38 % Date: 9/30/2009 Return: 1.45 % Date: 8/31/2009 Return: 0.70 % Date: 7/31/2009 Return: 1.82 % Date: 6/30/2009 Return: -0.52 % Date: 5/31/2009 Return: 3.43 % Date: 4/30/2009 Return: 4.29 % Date: 3/31/2009 Return: -2.29 % Date: 2/28/2009 Return: -0.10 % Date: 1/31/2009 Return: 5.99 % Date: 12/31/2008 Return: 0.90 % Date: 11/30/2008 Return: 2.31 % Date: 10/31/2008 Return: -2.54 % Date: 9/30/2008 Return: 3.10 % Date: 8/31/2008 Return: 3.36 % Date: 7/31/2008 Return: -1.84 % Date: 6/30/2008 Return: -1.53 % Date: 5/31/2008 Return: 5.78 % Date: 4/30/2008 Return: 1.86 % Date: 3/31/2008 Return: 3.55 % Date: 2/29/2008 Return: 5.30 % Date: 1/31/2008 Return: -7.59 % Date: 12/31/2007 Return: 1.19 % Date: 11/30/2007 Return: 3.40 % Date: 10/31/2007 Return: 4.27 % Date: 9/30/2007 Return: 1.04 % Date: 8/31/2007 Return: 7.56 % Date: 7/31/2007 Return: 2.03 % Date: 6/30/2007 Return: 1.18 % Date: 5/31/2007 Return: -3.80 % Date: 4/30/2007 Return: 1.27 % Date: 3/31/2007 Return: 5.40 % Date: 2/28/2007 Return: 1.37 % Date: 1/31/2007 Return: 1.67 % Date: 12/31/2006 Return: -1.16 % Date: 11/30/2006 Return: 0.10 % Date: 10/31/2006 Return: 2.29 % Date: 9/30/2006 Return: -1.19 % Date: 8/31/2006 Return: -0.02 % Date: 7/31/2006 Return: 2.34 % Date: 6/30/2006 Return: -2.31 % Date: 5/31/2006 Return: 5.02 % Date: 4/30/2006 Return: -2.15 % Date: 3/31/2006 Return: 1.48 % Date: 2/28/2006 Return: 1.60 % Date: 1/31/2006 Return: 0.57 % Date: 12/31/2005 Return: 3.05 % Date: 11/30/2005 Return: 2.04 % Date: 10/31/2005 Return: 0.56 % Date: 9/30/2005 Return: 0.86 % Date: 8/31/2005 Return: 1.40 % Date: 7/31/2005 Return: 0.55 % Date: 6/30/2005 Return: -1.97 % Date: 5/31/2005 Return: 2.85 % Date: 4/30/2005 Return: 5.77 % Date: 3/31/2005 Return: 4.26 % Date: 2/28/2005 Return: -1.65 % Date: 1/31/2005 Return: -0.40 % Date: 12/31/2004 Return: -1.69 % Date: 11/30/2004 Return: 9.58 % Date: 10/31/2004 Return: 5.75 % Date: 9/30/2004 Return: 6.05 % Date: 8/31/2004 Return: 0.10 % Date: 7/31/2004 Return: 2.07 % Date: 6/30/2004 Return: 1.44 % Date: 5/31/2004 Return: 2.94 % Date: 4/30/2004 Return: -0.63 % Date: 3/31/2004 Return: -8.93 % Date: 2/29/2004 Return: 3.51 % Date: 1/31/2004 Return: 0.92 % Date: 12/31/2003 Return: 3.35 % Date: 11/30/2003 Return: -2.64 % Date: 10/31/2003 Return: 5.88 % Date: 9/30/2003 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: 09/03 - 04/23
Return: 9.00 % Count: 2 Return: -6.00 % Count: 3 Return: -7.00 % Count: 1 Return: -5.00 % Count: 2 Return: 7.00 % Count: 1 Return: -8.00 % Count: 1 Return: 8.00 % Count: 1 Return: -4.00 % Count: 7 Return: 5.00 % Count: 8 Return: -2.00 % Count: 24 Return: 10.00 % Count: 2 Return: 2.00 % Count: 22 Return: -1.00 % Count: 27 Return: -9.00 % Count: 2 Return: 4.00 % Count: 13 Return: 1.00 % Count: 40 Return: 3.00 % Count: 21 Return: -3.00 % Count: 14 Return: 6.00 % Count: 9 Return: 0.00 % Count: 37

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: 09/03 - 04/23
Date: 5/31/2023 Drawdown: -6.80 % Date: 4/30/2023 Drawdown: -5.16 % Date: 3/31/2023 Drawdown: -6.55 % Date: 2/28/2023 Drawdown: -6.96 % Date: 1/31/2023 Drawdown: -3.82 % Date: 12/31/2022 Drawdown: -2.78 % Date: 11/30/2022 Drawdown: -0.67 % Date: 10/31/2022 Drawdown: -3.34 % Date: 9/30/2022 Drawdown: -7.83 % Date: 8/31/2022 Drawdown: -2.40 % Date: 7/31/2022 Drawdown: 0.00 % Date: 6/30/2022 Drawdown: 0.00 % Date: 5/31/2022 Drawdown: 0.00 % Date: 4/30/2022 Drawdown: 0.00 % Date: 3/31/2022 Drawdown: 0.00 % Date: 2/28/2022 Drawdown: -6.66 % Date: 1/31/2022 Drawdown: -6.29 % Date: 12/31/2021 Drawdown: -14.92 % Date: 11/30/2021 Drawdown: -11.92 % Date: 10/31/2021 Drawdown: -14.22 % Date: 9/30/2021 Drawdown: -13.94 % Date: 8/31/2021 Drawdown: -16.95 % Date: 7/31/2021 Drawdown: -15.98 % Date: 6/30/2021 Drawdown: -18.15 % Date: 5/31/2021 Drawdown: -13.48 % Date: 4/30/2021 Drawdown: -15.33 % Date: 3/31/2021 Drawdown: -14.97 % Date: 2/28/2021 Drawdown: -14.07 % Date: 1/31/2021 Drawdown: -14.59 % Date: 12/31/2020 Drawdown: -12.92 % Date: 11/30/2020 Drawdown: -11.78 % Date: 10/31/2020 Drawdown: -16.89 % Date: 9/30/2020 Drawdown: -16.27 % Date: 8/31/2020 Drawdown: -17.57 % Date: 7/31/2020 Drawdown: -16.46 % Date: 6/30/2020 Drawdown: -14.55 % Date: 5/31/2020 Drawdown: -10.93 % Date: 4/30/2020 Drawdown: -11.76 % Date: 3/31/2020 Drawdown: -10.35 % Date: 2/29/2020 Drawdown: -1.92 % Date: 1/31/2020 Drawdown: -0.76 % Date: 12/31/2019 Drawdown: -8.80 % Date: 11/30/2019 Drawdown: -10.88 % Date: 10/31/2019 Drawdown: -14.32 % Date: 9/30/2019 Drawdown: -15.87 % Date: 8/31/2019 Drawdown: -14.48 % Date: 7/31/2019 Drawdown: -9.48 % Date: 6/30/2019 Drawdown: -14.06 % Date: 5/31/2019 Drawdown: -16.94 % Date: 4/30/2019 Drawdown: -15.46 % Date: 3/31/2019 Drawdown: -13.24 % Date: 2/28/2019 Drawdown: -12.67 % Date: 1/31/2019 Drawdown: -8.83 % Date: 12/31/2018 Drawdown: -7.46 % Date: 11/30/2018 Drawdown: -9.89 % Date: 10/31/2018 Drawdown: -9.37 % Date: 9/30/2018 Drawdown: -3.77 % Date: 8/31/2018 Drawdown: -3.95 % Date: 7/31/2018 Drawdown: -5.30 % Date: 6/30/2018 Drawdown: -2.44 % Date: 5/31/2018 Drawdown: -3.23 % Date: 4/30/2018 Drawdown: -6.55 % Date: 3/31/2018 Drawdown: -7.45 % Date: 2/28/2018 Drawdown: -8.64 % Date: 1/31/2018 Drawdown: -1.93 % Date: 12/31/2017 Drawdown: -0.57 % Date: 11/30/2017 Drawdown: -1.59 % Date: 10/31/2017 Drawdown: 0.00 % Date: 9/30/2017 Drawdown: -0.03 % Date: 8/31/2017 Drawdown: -2.93 % Date: 7/31/2017 Drawdown: 0.00 % Date: 6/30/2017 Drawdown: 0.00 % Date: 5/31/2017 Drawdown: -0.14 % Date: 4/30/2017 Drawdown: -0.09 % Date: 3/31/2017 Drawdown: 0.00 % Date: 2/28/2017 Drawdown: 0.00 % Date: 1/31/2017 Drawdown: 0.00 % Date: 12/31/2016 Drawdown: 0.00 % Date: 11/30/2016 Drawdown: 0.00 % Date: 10/31/2016 Drawdown: -1.26 % Date: 9/30/2016 Drawdown: 0.00 % Date: 8/31/2016 Drawdown: 0.00 % Date: 7/31/2016 Drawdown: -0.32 % Date: 6/30/2016 Drawdown: -0.46 % Date: 5/31/2016 Drawdown: -1.29 % Date: 4/30/2016 Drawdown: -2.83 % Date: 3/31/2016 Drawdown: -2.98 % Date: 2/29/2016 Drawdown: 0.00 % Date: 1/31/2016 Drawdown: 0.00 % Date: 12/31/2015 Drawdown: -1.62 % Date: 11/30/2015 Drawdown: 0.00 % Date: 10/31/2015 Drawdown: -1.44 % Date: 9/30/2015 Drawdown: -1.67 % Date: 8/31/2015 Drawdown: -5.99 % Date: 7/31/2015 Drawdown: -8.88 % Date: 6/30/2015 Drawdown: -7.53 % Date: 5/31/2015 Drawdown: -11.04 % Date: 4/30/2015 Drawdown: -11.69 % Date: 3/31/2015 Drawdown: -15.95 % Date: 2/28/2015 Drawdown: -14.74 % Date: 1/31/2015 Drawdown: -16.63 % Date: 12/31/2014 Drawdown: -16.48 % Date: 11/30/2014 Drawdown: -13.09 % Date: 10/31/2014 Drawdown: -13.01 % Date: 9/30/2014 Drawdown: -10.43 % Date: 8/31/2014 Drawdown: -12.71 % Date: 7/31/2014 Drawdown: -11.48 % Date: 6/30/2014 Drawdown: -10.81 % Date: 5/31/2014 Drawdown: -10.70 % Date: 4/30/2014 Drawdown: -10.37 % Date: 3/31/2014 Drawdown: -5.76 % Date: 2/28/2014 Drawdown: -3.41 % Date: 1/31/2014 Drawdown: -3.82 % Date: 12/31/2013 Drawdown: -4.77 % Date: 11/30/2013 Drawdown: -8.64 % Date: 10/31/2013 Drawdown: -10.62 % Date: 9/30/2013 Drawdown: -10.65 % Date: 8/31/2013 Drawdown: -9.61 % Date: 7/31/2013 Drawdown: -10.77 % Date: 6/30/2013 Drawdown: -11.15 % Date: 5/31/2013 Drawdown: -10.81 % Date: 4/30/2013 Drawdown: -10.77 % Date: 3/31/2013 Drawdown: -9.58 % Date: 2/28/2013 Drawdown: -7.15 % Date: 1/31/2013 Drawdown: -6.75 % Date: 12/31/2012 Drawdown: -4.35 % Date: 11/30/2012 Drawdown: -5.91 % Date: 10/31/2012 Drawdown: -3.01 % Date: 9/30/2012 Drawdown: -1.23 % Date: 8/31/2012 Drawdown: -1.54 % Date: 7/31/2012 Drawdown: -2.05 % Date: 6/30/2012 Drawdown: 0.00 % Date: 5/31/2012 Drawdown: 0.00 % Date: 4/30/2012 Drawdown: -2.10 % Date: 3/31/2012 Drawdown: -7.44 % Date: 2/29/2012 Drawdown: -8.54 % Date: 1/31/2012 Drawdown: -7.23 % Date: 12/31/2011 Drawdown: -2.87 % Date: 11/30/2011 Drawdown: 0.00 % Date: 10/31/2011 Drawdown: -3.58 % Date: 9/30/2011 Drawdown: -6.39 % Date: 8/31/2011 Drawdown: -10.47 % Date: 7/31/2011 Drawdown: -10.74 % Date: 6/30/2011 Drawdown: -11.74 % Date: 5/31/2011 Drawdown: -10.94 % Date: 4/30/2011 Drawdown: -7.98 % Date: 3/31/2011 Drawdown: -5.78 % Date: 2/28/2011 Drawdown: -5.39 % Date: 1/31/2011 Drawdown: -6.60 % Date: 12/31/2010 Drawdown: -6.91 % Date: 11/30/2010 Drawdown: -8.70 % Date: 10/31/2010 Drawdown: -6.94 % Date: 9/30/2010 Drawdown: -9.21 % Date: 8/31/2010 Drawdown: -9.57 % Date: 7/31/2010 Drawdown: -10.81 % Date: 6/30/2010 Drawdown: -10.12 % Date: 5/31/2010 Drawdown: -10.52 % Date: 4/30/2010 Drawdown: -9.36 % Date: 3/31/2010 Drawdown: -9.43 % Date: 2/28/2010 Drawdown: -8.51 % Date: 1/31/2010 Drawdown: -8.09 % Date: 12/31/2009 Drawdown: -3.94 % Date: 11/30/2009 Drawdown: -0.25 % Date: 10/31/2009 Drawdown: -2.38 % Date: 9/30/2009 Drawdown: 0.00 % Date: 8/31/2009 Drawdown: 0.00 % Date: 7/31/2009 Drawdown: 0.00 % Date: 6/30/2009 Drawdown: -0.52 % Date: 5/31/2009 Drawdown: 0.00 % Date: 4/30/2009 Drawdown: 0.00 % Date: 3/31/2009 Drawdown: -2.39 % Date: 2/28/2009 Drawdown: -0.10 % Date: 1/31/2009 Drawdown: 0.00 % Date: 12/31/2008 Drawdown: 0.00 % Date: 11/30/2008 Drawdown: -0.29 % Date: 10/31/2008 Drawdown: -2.54 % Date: 9/30/2008 Drawdown: 0.00 % Date: 8/31/2008 Drawdown: -0.09 % Date: 7/31/2008 Drawdown: -3.34 % Date: 6/30/2008 Drawdown: -1.53 % Date: 5/31/2008 Drawdown: 0.00 % Date: 4/30/2008 Drawdown: 0.00 % Date: 3/31/2008 Drawdown: 0.00 % Date: 2/29/2008 Drawdown: -2.69 % Date: 1/31/2008 Drawdown: -7.59 % Date: 12/31/2007 Drawdown: 0.00 % Date: 11/30/2007 Drawdown: 0.00 % Date: 10/31/2007 Drawdown: 0.00 % Date: 9/30/2007 Drawdown: 0.00 % Date: 8/31/2007 Drawdown: 0.00 % Date: 7/31/2007 Drawdown: -0.69 % Date: 6/30/2007 Drawdown: -2.66 % Date: 5/31/2007 Drawdown: -3.80 % Date: 4/30/2007 Drawdown: 0.00 % Date: 3/31/2007 Drawdown: 0.00 % Date: 2/28/2007 Drawdown: 0.00 % Date: 1/31/2007 Drawdown: 0.00 % Date: 12/31/2006 Drawdown: -1.16 % Date: 11/30/2006 Drawdown: 0.00 % Date: 10/31/2006 Drawdown: 0.00 % Date: 9/30/2006 Drawdown: -1.23 % Date: 8/31/2006 Drawdown: -0.04 % Date: 7/31/2006 Drawdown: -0.02 % Date: 6/30/2006 Drawdown: -2.31 % Date: 5/31/2006 Drawdown: 0.00 % Date: 4/30/2006 Drawdown: -2.15 % Date: 3/31/2006 Drawdown: 0.00 % Date: 2/28/2006 Drawdown: 0.00 % Date: 1/31/2006 Drawdown: 0.00 % Date: 12/31/2005 Drawdown: 0.00 % Date: 11/30/2005 Drawdown: 0.00 % Date: 10/31/2005 Drawdown: 0.00 % Date: 9/30/2005 Drawdown: 0.00 % Date: 8/31/2005 Drawdown: -0.05 % Date: 7/31/2005 Drawdown: -1.43 % Date: 6/30/2005 Drawdown: -1.97 % Date: 5/31/2005 Drawdown: 0.00 % Date: 4/30/2005 Drawdown: 0.00 % Date: 3/31/2005 Drawdown: 0.00 % Date: 2/28/2005 Drawdown: -3.70 % Date: 1/31/2005 Drawdown: -2.08 % Date: 12/31/2004 Drawdown: -1.69 % Date: 11/30/2004 Drawdown: 0.00 % Date: 10/31/2004 Drawdown: 0.00 % Date: 9/30/2004 Drawdown: 0.00 % Date: 8/31/2004 Drawdown: -3.45 % Date: 7/31/2004 Drawdown: -3.55 % Date: 6/30/2004 Drawdown: -5.50 % Date: 5/31/2004 Drawdown: -6.84 % Date: 4/30/2004 Drawdown: -9.50 % Date: 3/31/2004 Drawdown: -8.93 % Date: 2/29/2004 Drawdown: 0.00 % Date: 1/31/2004 Drawdown: 0.00 % Date: 12/31/2003 Drawdown: 0.00 % Date: 11/30/2003 Drawdown: -2.64 % Date: 10/31/2003 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:  Quantitative Investment Management, LLC
Address: 401 East Market St. Suite 104
City: Charlottesville
State: VA
Zip: 22902
Country: USA

Key People

Name:  Jaffray Woodriff
Position:  Chief Executive Officer
Biography: 

Jaffray has over 20 years’ experience trading financial markets using proprietary quantitative models that he has developed. In 2003, Jaffray co-founded QIM to offer the Global Program to outside clients. He guides all aspects of QIM’s business and is chiefly responsible for the constant innovation and improvement of the models and techniques that underlie QIM’s predictions, trading, and risk management. Jaffray served as head trader for Blue Ridge Trading from October 1991 to July 1994. He then founded Woodriff Trading as a CTA and managed client money there until October 1997. In January 1998, he joined Société Générale in its New York office, where he served for two years as a director in the Treasury department, trading proprietary funds in futures, currencies and U.S. equities. Following his departure from Société Générale in March 2000, Jaffray and Michael began managing their own money in a short-term, market-neutral equities program. This led them to co-found a broker-dealer, DHR. In October 2002, Jaffray also co-founded Biomind, a bioinformatics consulting and software firm. Jaffray graduated from the University of Virginia in 1991 with a B.S. in Commerce.

Name:  Michael Geismar
Position:  Principal
Biography: 

Michael co-founded QIM with Jaffray Woodriff in 2003. As the President of QIM, Michael oversees the implementation of the firm’s investment models and its portfolio management. Michael also manages investor relations and QIM’s general business affairs. Michael and Jaffray first worked together from January until July 1994, when Michael was an assistant trader at Blue Ridge Trading. Michael then worked as an actuary and benefits consultant for Towers Perrin from September 1994 until August 1996, Coopers & Lybrand from August 1996 until October 1997, and William M. Mercer from October 1997 until October 1998, when he joined Capital One Financial as an analyst. In February 2000, he re-joined Jaffray, assisting in the development of an equities investment program that led the two to co-found DHR. Michael graduated from the University of Virginia in 1994 with a B.A. in Mathematics and a minor in Statistics.

Name:  Greyson Williams
Position:  Principal
Biography: 

Greyson co-founded QIM after joining Jaffray and Michael as a consultant to DHR in December 2002. Greyson guides the firm’s broad technical strategies and implementations. He shares with Michael in managing QIM’s general business and organizational development. Greyson spent the previous 13 years specializing in the collection, management, analysis, and application of financial information and market data. He worked as an analyst in the Bank Mergers & Acquisitions Department at SNL Securities from August 1997 until July 2000, serving as director of banking mergers & acquisitions research from May 1999 until his departure. In December 2000, he co-founded VW Capital, a firm created to map complex merger terms into programmatic models for interfacing with real-time market data. In October 2002, he founded Jobe Analytics & Consulting, a financial information management consulting firm. Greyson graduated from the University of Virginia in 1995 with a B.A. in English and a minor in Art History. Greyson earned the Chartered Financial Analyst (CFA) designation in 2008.

Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Investment Methodology
 Technical Yes 
 Systematic Yes 
 Diversified Yes 
 Pattern Recognition Yes 
 Quantitative Analysis Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Short Term Yes 
 Intra-Week Yes 
 Investment Terms & Information
 Managed Account Minimum: $20,000,000 
 Margin / Equity Ratio: 12% 
 Managed Account Availability: Open 
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There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent upon the ability of a commodity trading advisor (CTA) to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill, and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage often obtainable in commodity trading can work against you as well as for you, and can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed Futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.




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