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.