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QFS Asset Management, LP 

QFS Currency Program

Manager: QFS Investment Committee

Address: 10 Glenville Street, Greenwich, CT, 06831, U.S.A.

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:Forex
Inception Date:Mar 1, 1993
AUM:$435,000,000
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$250,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:588.45%432.89%
Annual ROR:9.74%8.40%
YTD:0.00%5.53%
1 Year:0.00%14.40%
Alpha:0.77
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:3.57%5169.41%
Average Monthly Loss:-2.73%-3.19%
Winning Months:142233
Losing Months:10716
Current DD:21.150.00
Max DD:21.1552.56
Sharpe Ratio (RF 1%):0.61
Annualized Std Dev:14.25

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodLong Term
---------------------------
Fundamentals:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2013-3.10-0.880.47-1.30-1.17-0.610.80-1.740.87-0.59-2.18-9.11
20123.29-3.14-6.984.04-2.471.3710.10-3.91-0.97-3.47-1.33-4.29-8.58
2011-6.232.792.326.94-2.321.915.53-2.64-2.930.97-1.431.275.54
2010-1.564.59-0.541.51-7.081.995.792.3810.642.26-1.589.7830.43
2009-1.57-1.252.70-2.800.382.75-2.326.108.141.332.83-6.549.22
20088.253.87-1.57-1.530.82-2.270.25-5.40-3.410.23-0.273.031.30
2007-2.082.224.231.48-3.773.54-1.27-8.9614.752.27-1.35-0.539.19
2006-2.68-0.090.80-3.40-5.400.220.91-4.440.312.523.403.39-4.84
20054.530.67-2.707.081.681.41-1.24-3.974.49-0.491.08-0.6311.98
20046.261.84-1.07-5.85-2.89-3.491.46-2.71-0.68-0.87-0.27-0.86-9.23
20038.613.63-1.267.365.338.02-6.623.227.819.051.273.8261.74
20020.661.370.82-5.660.52-3.45-4.971.91-3.342.451.37-2.47-10.69
20011.983.164.50-0.81-6.395.58-1.47-2.77-9.001.981.406.813.77
20002.472.68-6.069.443.08-2.773.72-0.151.493.730.92-1.9816.93
1999-0.74-0.040.76-1.732.73-0.24-0.500.51-3.99-0.412.38-0.98-2.40
19981.15-3.168.354.997.563.968.581.760.57-7.933.02-1.6329.19
1997-2.663.757.995.96-11.970.720.755.07-0.406.257.343.2527.21
19965.36-0.85-0.95-1.624.400.392.93-0.01-0.52-4.492.077.5114.49
19951.313.51-6.38-2.340.413.394.636.076.686.812.580.9930.39
19940.324.817.00-2.763.270.910.191.260.97-1.12-2.254.1917.61
19933.980.290.47-7.10-1.1513.296.68-7.62-0.78-2.094.36

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The objective of the QFS Currency Program is to earn an attractive risk-adjusted return in the currency markets based on macroeconomic asymmetries between countries, while providing significant diversification from traditional and other "alternative" asset classes.

The strategy is model-driven and based on fundamentals. The models have been built to conduct fundamental analysis of global business cycles and uncover currency opportunities resulting from changing economic conditions in developed and emerging market countries. The models also employ proprietary Drawdown Control Technology, which functions to control risk levels and attempts to limit the severity of drawdowns.

Characteristics:
-Attractive risk-adjusted return, long track record
-Historically uncorrelated with other asset classes, unique source of return
-Disciplined risk management, drawdown control & portfolio optimization techniques
-Available as either an absolute return or overlay strategy

Company Info

QFS Asset Management, L.P. is an institutional alternative asset management firm specializing in systematic investment strategies. Dr. Sanford J. Grossman, a former professor at the University of Pennsylvania's Wharton School of Business, University of Chicago, Stanford University and Princeton University, formed an affiliate of QFS in 1988 to develop financial investment models using his research discoveries in the fields of economics and quantitative finance. The company now employs approximately 25 professionals and is run by Mr. Karlheinz Muhr, Chairman and CEO.

QFS began managing outside capital in 1990 in the Financial Futures Program via managed accounts. The Program systematically traded currencies, fixed income futures and equity index futures. In 1993, the currency portion of this Program was launched as the standalone QFS Currency Program, which operated via managed accounts and via pooled funds beginning in 1995. The QFS Currency models also began being used for currency overlay in the late 1990s. In 1998, the QFS Global Macro Program was launched to operate pooled funds in a more diversified approach than Financial Futures (with the addition of new instruments and commodity futures). After significant improvements to the Global Macro Program and our optimization approach, the QFS Fixed Income Program was launched in 2005 to trade global yield curve futures in pooled fund vehicles. QFS also launched QFS Portable Alpha in 2005 to allow customized benchmark replication to be conducted via a limited liability vehicle and combined with QFS's alpha generating strategies. Currently, the QFS Currency Program is open for investment, either through onshore or offshore fund vehicles or managed accounts.

In April 2011, QFS acquired Cenario Capital Management, an asset management firm focused on providing innovative risk management solutions.

QFS is registered with the SEC, CFTC and NFA. The General Partner of QFS (QFS Asset Management, Inc.) is additionally registered with the Ontario Securities Commission.

Manager Info

The QFS Investment Committee acts in a portfolio management oversight capacity and includes Karlheinz Muhr (Chairman and CEO), Dr. Jim Conklin (Co-CIO and Director of Research), Dr. Jim Xiong (Co-CIO) and Jonathan Silber (Director of Trading).

Karlheinz Muhr - Chairman and Chief Executive Officer

Karlheinz Muhr is Chairman and CEO of QFS Asset Management. Mr. Muhr was a founding partner, Chairman and CEO of Cenario Capital, an alternative asset management firm, which was acquired by QFS in April 2011. He has served as CEO of QFS since April 2011 and became Chairman in January 2013.
Prior to Cenario, Mr. Muhr served as a Managing Director and was head of Credit Suisse Volaris, a firm he co-founded and sold to Credit Suisse in 2003. He was also a member of both the Chairman's Board and the Management Council of Credit Suisse.
With over 27 years of investment experience, Mr. Muhr has held a variety of senior positions at UBS Warburg and Credit Suisse First Boston, spanning from head of Global Credit Fixed Income to other senior management roles within investment banking.
A native of Austria, Mr. Muhr has a Degree from Vienna's University for Business and Economics (1982) and an M.B.A from ULCA Anderson School of Business at the University of California at Los Angeles (1985). He serves on the following not-for-profit boards: The Institute of International Education (IIE), New York and The Aspen Institute, Washington D.C., where he is also a Crown Fellow. Mr. Muhr is also a member of The Economic Club of New York.

Jim Conklin, PhD - Co-Chief Investment Officer & Director of Research

Dr. Jim Conklin joined QFS in 2011 and manages the research department. As Co-Chief Investment Officer and Director of Research, Dr. Conklin collaborates with Dr. Xiong and Dr. Grossman in pursuing new research and managing the existing investment programs. Prior to joining QFS, Dr. Conklin was Head of Investment Research at FX Concepts and member of the Management Committee there. He was a Portfolio Manager at Fortress Investments in the Liquid Markets group, where he ran a quant-macro portfolio and headed an 8-eight person quant investment team. With 14 years of investment experience, Dr. Conklin has worked as a quant-trader and strategist in FX volatility trading, currencies, commodities, fixed income relative value, and equity long-short at various institutions. A native of Northern California, Dr. Conklin has an A.B. in Economics from Princeton University (1986) and a PhD in Economics from Stanford University (1993). He held faculty positions at the University of Texas and the University of Madrid Carlos III prior to entering the field of finance. He has scholarly publications in the Journal of Political Economy and Econometrica.

Jim Xiong, PhD - Co-Chief Investment Officer

Dr. Xiong joined QFS in 1997 and was promoted to Manager of Research in 2001 and Managing Director in 2005. After a year sabbatical from the industry that began in mid-2011, he rejoined the firm as Co-Chief Investment Officer. In that role he collaborates with Dr. Conklin and Dr. Grossman in pursuing new research and managing the existing investment programs. Dr. Xiong contributes strong expertise in global optimization, multivariate statistics, and object-oriented analysis and design. Prior to being employed at QFS, Dr. Xiong developed financial applications for Salomon Brothers and also held the position of management scientist at General Electric's Center for Research and Development. Prior to that, he was a team leader at CAE Electronics (in Canada) responsible for developing energy management systems. Dr. Xiong earned his PhD in Mathematics from Rutgers University and his B.S. from Wuhan University.

Jonathan Silber - Managing Director, Director of Trading

Jonathan Silber has been the head of QFS's trading department since April 1999. He came to QFS from Bankers Trust, where he spent over 10 years in various FX markets. His responsibilities there included managing FX trading desks, running one of Bankers Trust's internal hedge funds and creating and overseeing the company's internal fund of funds operation. Jon holds an M.B.A. in Finance from the NYU Stern School of Business.