Altegris Clearing Solutions QMS Capital Management LP QMS Diversified Global Macro
Monthly Performance (%)
Date Range: 05/10 - 08/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 1.97 2.31 -3.28 -1.11 1.47 -9.05 -1.46 2.88 -4.76 1.32 -0.96 -10.78
2016 5.25 2.43 -5.53 -2.34 -4.60 7.03 3.30 -2.55 -2.69 -2.73 -5.04 -2.07 -10.01
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: Estimates 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 - 08/17
  Program SP500 TR Barcl GM
Total Return 49.03% 143.62% 19.13%
Annualized Return 5.66% 12.91% 2.42%
Annualized Std. Deviation 12.30% 12.09% 3.83%
Correlation 0.18 0.49
Sharpe Ratio (rf=2.5%) 0.26 0.86 -0.02
Worst Month -9.05% -7.99% -2.10%
Date of Worst Month 06/2017 05/2010 06/2015
Worst Drawdown -26.10% -16.26% -5.30%
Date of Worst Drawdown 3/15 - 7/17 4/11 - 9/11 4/11 - 9/11
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 05/10 - 08/17
Year or YTD Program SP500 TR Barcl GM
2017 -10.78 20.51 0.95
2016 -10.01 11.98 1.67
2015 2.64 1.41 2.29
2014 17.14 13.69 3.92
2013 22.90 32.41 4.82
2012 11.04 15.98 2.57
2011 2.33 2.12 -3.65
2010 5.66 16.82 7.36
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 05/10 - 08/17
Date: 8/31/2017
Perf: $1,213.29 Date: 7/31/2017
Perf: $1,214.26 Date: 6/30/2017
Perf: $1,206.30 Date: 5/31/2017
Perf: $1,209.08 Date: 4/30/2017
Perf: $1,209.80 Date: 3/31/2017
Perf: $1,215.03 Date: 2/28/2017
Perf: $1,213.57 Date: 1/31/2017
Perf: $1,204.42 Date: 12/31/2016
Perf: $1,201.90 Date: 11/30/2016
Perf: $1,179.95 Date: 10/31/2016
Perf: $1,166.88 Date: 9/30/2016
Perf: $1,165.71 Date: 8/31/2016
Perf: $1,172.28 Date: 7/31/2016
Perf: $1,180.90 Date: 6/30/2016
Perf: $1,173.16 Date: 5/31/2016
Perf: $1,170.11 Date: 4/30/2016
Perf: $1,175.99 Date: 3/31/2016
Perf: $1,176.82 Date: 2/29/2016
Perf: $1,176.58 Date: 1/31/2016
Perf: $1,175.05 Date: 12/31/2015
Perf: $1,182.15 Date: 11/30/2015
Perf: $1,200.76 Date: 10/31/2015
Perf: $1,186.64 Date: 9/30/2015
Perf: $1,173.38 Date: 8/31/2015
Perf: $1,180.22 Date: 7/31/2015
Perf: $1,200.03 Date: 6/30/2015
Perf: $1,169.16 Date: 5/31/2015
Perf: $1,194.24 Date: 4/30/2015
Perf: $1,184.29 Date: 3/31/2015
Perf: $1,200.38 Date: 2/28/2015
Perf: $1,187.67 Date: 1/31/2015
Perf: $1,176.37 Date: 12/31/2014
Perf: $1,155.69 Date: 11/30/2014
Perf: $1,154.07 Date: 10/31/2014
Perf: $1,128.24 Date: 9/30/2014
Perf: $1,129.48 Date: 8/31/2014
Perf: $1,121.74 Date: 7/31/2014
Perf: $1,108.22 Date: 6/30/2014
Perf: $1,111.44 Date: 5/31/2014
Perf: $1,102.62 Date: 4/30/2014
Perf: $1,091.92 Date: 3/31/2014
Perf: $1,096.96 Date: 2/28/2014
Perf: $1,103.81 Date: 1/31/2014
Perf: $1,101.17 Date: 12/31/2013
Perf: $1,112.06 Date: 11/30/2013
Perf: $1,102.80 Date: 10/31/2013
Perf: $1,088.11 Date: 9/30/2013
Perf: $1,073.51 Date: 8/31/2013
Perf: $1,063.72 Date: 7/31/2013
Perf: $1,082.23 Date: 6/30/2013
Perf: $1,082.34 Date: 5/31/2013
Perf: $1,101.84 Date: 4/30/2013
Perf: $1,105.27 Date: 3/31/2013
Perf: $1,092.92 Date: 2/28/2013
Perf: $1,081.03 Date: 1/31/2013
Perf: $1,080.70 Date: 12/31/2012
Perf: $1,060.97 Date: 11/30/2012
Perf: $1,050.98 Date: 10/31/2012
Perf: $1,051.72 Date: 9/30/2012
Perf: $1,060.52 Date: 8/31/2012
Perf: $1,056.40 Date: 7/31/2012
Perf: $1,050.52 Date: 6/30/2012
Perf: $1,035.10 Date: 5/31/2012
Perf: $1,040.40 Date: 4/30/2012
Perf: $1,053.25 Date: 3/31/2012
Perf: $1,063.03 Date: 2/29/2012
Perf: $1,069.34 Date: 1/31/2012
Perf: $1,054.47 Date: 12/31/2011
Perf: $1,034.41 Date: 11/30/2011
Perf: $1,034.92 Date: 10/31/2011
Perf: $1,041.48 Date: 9/30/2011
Perf: $1,031.89 Date: 8/31/2011
Perf: $1,049.41 Date: 7/31/2011
Perf: $1,064.96 Date: 6/30/2011
Perf: $1,056.61 Date: 5/31/2011
Perf: $1,073.58 Date: 4/30/2011
Perf: $1,089.59 Date: 3/31/2011
Perf: $1,070.33 Date: 2/28/2011
Perf: $1,075.27 Date: 1/31/2011
Perf: $1,066.85 Date: 12/31/2010
Perf: $1,073.61 Date: 11/30/2010
Perf: $1,051.94 Date: 10/31/2010
Perf: $1,057.44 Date: 9/30/2010
Perf: $1,044.38 Date: 8/31/2010
Perf: $1,014.56 Date: 7/31/2010
Perf: $1,005.51 Date: 6/30/2010
Perf: $1,001.80 Date: 5/31/2010
Perf: $1,000.00 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: 11/30/2017
Perf: $1,424.29 Date: 10/31/2017
Perf: $1,438.09 Date: 9/30/2017
Perf: $1,419.36 Date: 8/31/2017
Perf: $1,490.30 Date: 7/31/2017
Perf: $1,448.58 Date: 6/30/2017
Perf: $1,470.04 Date: 5/31/2017
Perf: $1,616.32 Date: 4/30/2017
Perf: $1,592.90 Date: 3/31/2017
Perf: $1,610.78 Date: 2/28/2017
Perf: $1,665.41 Date: 1/31/2017
Perf: $1,627.80 Date: 12/31/2016
Perf: $1,596.36 Date: 11/30/2016
Perf: $1,630.10 Date: 10/31/2016
Perf: $1,716.62 Date: 9/30/2016
Perf: $1,764.80 Date: 8/31/2016
Perf: $1,813.58 Date: 7/31/2016
Perf: $1,861.04 Date: 6/30/2016
Perf: $1,801.58 Date: 5/31/2016
Perf: $1,683.25 Date: 4/30/2016
Perf: $1,764.42 Date: 3/31/2016
Perf: $1,806.69 Date: 2/29/2016
Perf: $1,912.45 Date: 1/31/2016
Perf: $1,867.08 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: All performance data is since program inception.

Monthly Returns
Date Range: 05/10 - 08/17
Date: 11/30/2017
Return: -0.96 % 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: -4.60 % Date: 4/30/2016
Return: -2.34 % Date: 3/31/2016
Return: -5.53 % Date: 2/29/2016
Return: 2.43 % Date: 1/31/2016
Return: 5.25 % 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: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 05/10 - 08/17
Return: -6.00 %
Count: 1 Return: -5.00 %
Count: 4 Return: 9.00 %
Count: 2 Return: -7.00 %
Count: 1 Return: 8.00 %
Count: 1 Return: 6.00 %
Count: 3 Return: -1.00 %
Count: 9 Return: 5.00 %
Count: 2 Return: -9.00 %
Count: 2 Return: 7.00 %
Count: 3 Return: -2.00 %
Count: 5 Return: 4.00 %
Count: 1 Return: -3.00 %
Count: 10 Return: 2.00 %
Count: 11 Return: 3.00 %
Count: 8 Return: 1.00 %
Count: 15 Return: 0.00 %
Count: 13
Note: All performance data is since program inception.

Underwater Curve
Date Range: 05/10 - 08/17
Date: 11/30/2017
Drawdown: -27.34 % Date: 10/31/2017
Drawdown: -26.63 % Date: 9/30/2017
Drawdown: -27.59 % Date: 8/31/2017
Drawdown: -23.97 % Date: 7/31/2017
Drawdown: -26.10 % Date: 6/30/2017
Drawdown: -25.00 % Date: 5/31/2017
Drawdown: -17.54 % Date: 4/30/2017
Drawdown: -18.73 % Date: 3/31/2017
Drawdown: -17.82 % Date: 2/28/2017
Drawdown: -15.03 % Date: 1/31/2017
Drawdown: -16.95 % Date: 12/31/2016
Drawdown: -18.56 % Date: 11/30/2016
Drawdown: -16.84 % Date: 10/31/2016
Drawdown: -12.42 % Date: 9/30/2016
Drawdown: -9.96 % Date: 8/31/2016
Drawdown: -7.47 % Date: 7/31/2016
Drawdown: -5.05 % Date: 6/30/2016
Drawdown: -8.09 % Date: 5/31/2016
Drawdown: -14.12 % Date: 4/30/2016
Drawdown: -9.98 % Date: 3/31/2016
Drawdown: -7.83 % Date: 2/29/2016
Drawdown: -2.43 % 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: All performance data is since program inception.
Notes to Performance

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.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 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.

Except as set forth in the next sentence, all returns are net of actual brokerage commissions, dealer spreads, give-up fees, NFA fees, exchange fees, and related transaction fees and expenses (collectively, “Transaction Costs”). Returns through May 1, 2011 do not reflect deduction of any Transaction Costs because Transaction Costs were not charged to client accounts during that period. From April 2014 forward, returns for commodity pools (“Pools”) for which QMS Capital Management LP (“QMS”) serves as commodity pool operator are gross of custody and other operating expenses paid by such Pools. Prior to April 2014, returns for QMS Pools are net of custody and other operating expenses paid by such Pools. Returns include interest earned and interest charges on margin posted at FCMs/FX prime brokers for certain accounts, and include interest earned on cash that Pools have not posted to FCMs/FX prime brokers.

Returns shown are compounded monthly. 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. All performance numbers are unaudited. Performance numbers have been computed by QMS. Performance numbers from May 2011 forward were computed by QMS using account-level performance numbers provided by NAV Consulting, Inc. (“NAV”), an independent fund administration service provider that is not affiliated with QMS.

QMS began trading in mid-May 2010 for a proprietary trading operation of a large financial institution. This institution redeemed from QMS in March 2011. QMS did not trade client or proprietary accounts for the full months of March or April 2011. Therefore, no returns are shown for March or April 2011. QMS resumed trading for client accounts in May 2011. Performance through February 2011 is pro-forma, based on actual trading, scaled to 15% ex-ante annual volatility, and intended for illustration purposes only. 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, QMS's Diversified Global Macro strategy (the “Strategy”) trades commodity futures. Prior to May 2011, the Strategy did not trade commodity futures. The Strategy commenced live trading in mid-May 2010.

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. No representation is made that results similar to those shown can be achieved. 'Assets' is the sum of the nominal account sizes for partially-funded accounts plus the actual account size for fully-funded accounts, and includes both client and proprietary capital. For partially-funded accounts, QMS does not have sufficient information regarding the funding of such accounts to determine the actual level of funds in the accounts.

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

The Program Performance information presented in this and other areas of the www.managedfutures.com website was prepared by Altegris Clearing Solutions, LLC, an affiliate within the Altegris Group of Companies, based upon information provided by each respective manager of commodity futures and foreign currency trading programs tracked by Altegris Clearing Solutions and its affiliates. The Program Performance information does not contain opinion or analysis of Altegris Clearing Solutions or any of its affiliates, and the completeness and accuracy of performance information reported to Altegris Clearing Solutions cannot in all cases be independently verified. See “Additional Information” at the end of this page for further details regarding the presentation of performance. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.