• Strategy: qCIO^® Global Macro Fund is a quantitative Global Macro absolute return strategy, based on Global Tactical Asset Allocation principles. The current long-short Global Macro strategy targets a 5% annual tracking error. Tracking error is defined as the annualized standard deviations of returns, measured in excess of benchmark returns (US LIBOR one month). The strategy seeks to maximize the risk-adjusted absolute return of the portfolio with an investment objective of a Sharpe ratio of 1.0.
• Hedging: qCIO^® Global Macro Fund SPC is structured as a long/short Global Macro absolute return strategy. Positions are not hedged as the strategy is not structured as an overlay. Optimal portfolio weights on foreign exchange are derived via advanced optimization processes using expected returns and risk of all assets in the investment universe (i.e. equity, fixed income and FX). 
• Market Exposure: The strategy restricts exposure to each equity market to be less than 50%, each fixed income market to be less than 100%, and each currency exposure to be less than 75% of the portfolio. This is determined via mean-variance optimization based upon the expected returns forecasts of our proprietary model. These are adjustable constraints that can be customized per client and subsequently hard coded into our system. The actual constraints in place on the share class will be determined between Q.M.S Advisors and the client prior to their initial investment in the Fund.
• Portfolio Concentration: qCIO^® Global Macro and GTAA Strategies are long-short absolute return investment vehicles that seek to maximize the risk-adjusted absolute return of the portfolio with an investment objective of a Sharpe ratio of 1.0. We seek to take advantage of misvaluations and inefficiencies between markets and asset classes in the medium term (3 to 6 months) and/or short-term (less than 3 months). The strategy relies on a systematic and quantitative process that ensures effective diversification such that there is no excessive concentration in any specific markets or one asset class over time.
• List the instrument types you use by percentage: 100% of investments are currently made in the form of liquid exchange-traded futures contracts invested across equity, fixed income, and currency markets. The Fund intends to use equity and bond index futures and currency futures contracts and forward contracts as its primary trading instruments. The Master Fund also may utilize other instruments, such as, among others, options (both listed and over‑the‑counter) on fixed Income, credit, equities, equity indices and currencies; options on futures contracts; interest rate swaps; volatility swaps; variance swaps; and other derivative instruments. These instruments and underlying securities may be either U.S. or non-U.S. instruments, and may be denominated in U.S. dollars or other currencies.

• qCIO^® Global Macro and GTAA Strategies are global, multi asset class strategy, that seek to add alpha through advanced quantitative investment processes. Potential investment opportunities are identified via rigorous and disciplined approaches utilizing combinations of economic and financial factors. 
• Generally, investment managers assemble their portfolios based on their long-term views of the performance of a single asset class, usually employing a five-year investment horizon. This traditional approach doesn’t take into account short-term macro events that have the potential to move the market. While these events take place, the resulting misvaluations provide the opportunity to capture short-term incremental return that is complementary to the long-term holdings of a traditional portfolio. 
• Our process seeks to capitalize on these sources of alpha through identifying the market’s constantly evolving economic conditions and taking long and short positions in global equity, bond and currency futures markets. qCIO^® Global Macro and GTAA Strategies view these asset classes in accordance with an array of macro-economic events and in a number of different geographic markets. As a result, our processes seek to generate absolute return that has insignificant to very low correlation to a portfolio’s traditional asset classes.
• In essence, investment in Q.M.S Advisors qCIO^® Global Macro and GTAA Strategies allows investors to add alpha to their portfolios by exploring short-term sources of return, and broadening their investment opportunity set from domestic markets to global markets, and from a single asset class to multiple asset .

• A key innovation is that markets are not examined independently of one another, in which case the resulting views might be inconsistent and fail to reflect global opportunities to add alpha. Instead, research begins with an intra- and inter- country asset class analysis in order to form an exhaustive set of investment views. The markets under consideration currently include 9 stock markets, 7 bond markets, and 6 currencies, forming a total opportunity set of 22 markets. We are presently analyzing the benefits of the addition of additional markets and currencies to the model. 
• Two levels of investment decisions are addressed simultaneously: asset class and country. The model is comprised of five independent modules. Two intra-country modules consider the Bond/Cash and Stock/Bond decision. The three inter-country modules compare pairs of markets within an asset class: Stock/Stock, Bond/Bond and Currency. The results of this assessment lead to 92 pair-wise country investment views, each with a unique array of correlations and risk/reward scenarios. 
• The advantage of this approach is that we focus on the relative attractiveness of markets and are thus able to separate the influence of “beta” (i.e. global factors) from “alpha” (i.e. pure excess return). The team then applies a Bayesian (e.g. Black-Litterman) framework to form risk-adjusted returns for the 22 markets by balancing return opportunities against risk. The large number of views contributes to the stability of the expected returns and the consistency of the information ratio. 

• The second key characteristic of qCIO^® Global Macro and GTAA Strategies approach is its capacity to adapt to changing economic conditions. With market shocks, financial crises, and generally speaking, changing correlations and risk patterns between factors and returns, a process relying on a static factor mix is likely to fail. In our approach, the sensitivity of the returns to the underlying factors is allowed to vary over time. Expected returns and risk are obtained via a dynamic process. Factor weights are revised dynamically on the basis of their forecasting power through an adaptive Bayesian process. This makes it possible to capture transient shocks to the markets or structural changes. 
• Finally, portfolio allocations are determined using an optimizer. The investment team uses mean-variance optimization under constraints determined by client guidelines. For a given level of tracking error, we maximize excess expected returns. We take into account additional constraints if any on holdings and transaction costs.

1. Exhaustivity in the formation of investment views 
2. Diversification across signals 
3. Adaptation to changing economic conditions through time 

• As a tactical strategy, its investment process is designed to generate consistent alpha and stable information ratio through time. The forecasting horizon is three to six months. Although qCIO^® Global Macro and GTAA Strategies are not daily trading strategies, we believe that working closely with Traders to discuss the timing of rollovers is of the utmost importance in navigating the futures market. The strategy trades developed markets future contracts. They are liquid and exchange-traded. That being said, we work closely with traders and discuss the timing of rollover trades to ensure that there is adequate liquidity and favourable pricing.

• Yes, we believe that there are structural inefficiencies in the areas we invest in due to macroeconomic news, financial shocks and participants’ behavior (even among highly integrated and developed markets). All of these inefficiencies are well documented in the academic literature and practitioners  studies. The foreign exchange market for example, although highly liquid, is characterized by inefficiencies due to the presence of non-profit seeking participants (central banks etc.). Markets routinely deviate from equilibrium due to shocks and economic imbalances. The speed of adjustment following a shock may differ, hence the need to diversify across the investment horizon. For example, after an unexpected increase in interest rates, we may expect a rapid reaction from financial markets. On the one hand, short-term trends may persist for a few weeks and lead to over-reaction. Macroeconomic imbalances, on the other hand, due to expansion or recession cycles, may take several years to return to equilibrium.
• These inefficiencies fluctuate, so relying on one type of inefficiency, for example momentum, is likely to fail as a variety of factors drive returns and their correlation with returns varies over time. The key to a successful strategy is to diversify across signals. Although he source of inefficiencies changes over time, our investment process relies on a variety of market signals (over twenty), which aim at capturing these mispricings and ensuring effective portfolio diversification. qCIO^® Global Macro and GTAA Strategies signals that are analyzed to identify misalignments across markets and asset classes have been back tested individually and jointly to ensure that they add consistent value through time.

• qCIO^® Global Macro and GTAA strategy is unique because it relies on a state-of-the-art innovative framework with foundations in advanced econometrics and Bayesian modelling, recent macroeconomics research and portfolio theory. The investment process implements best practices, from the analysis of signals to portfolio construction. Three characteristics differentiate our approach from those of other tactical managers and make it particularly effective in achieving the investment objective:

• The strength of the approach lies in the process, and its rigorous, systematic use of the signals to form consistent risk-adjusted forecasts and robust portfolios. The investment process focuses on alpha generation. One of the distinguishing features of our approach is that we concentrate on the relative attractiveness of markets. Investment views are expressed as the excess return of one market relative to another, not single markets in isolation. We are thus able to separate the influence of “beta” (i.e. global factors) from “alpha” (i.e. pure excess return) specific to each market. The team then applies a Bayesian (e.g. Black-Litterman) framework to form risk-adjusted returns for the 22 markets by balancing return opportunities against risk. This ensures that forecasts effectively balance return and risk, and hence that the final portfolio positions are well diversified.

1. Volatility: Firstly, The adaptive process takes the form of a dynamic Bayesian regression. Future returns are regressed against factors, allowing for the factor weights to evolve depending upon how effective signals have been to forecast returns. We believe a static approach to asset allocation is likely to fail as the relationship between returns and factors (and between factors themselves) changes over business cycles.Secondly, the magnitude of the bets takes into account the target tracking error objective and the recent volatility of the markets. In other words, positions tend to increase in periods of low volatility and vice versa in order to generate a consistent tracking error through time. The strategy is therefore not excessively impacted by volatility levels.
2. Trends: qCIO^® Global Macro and GTAA strategies use a well-diversified set of signals. Momentum, defined as the continuation of short-term trends) is only one of the five broad market themes. As a result, the strategy is not excessively dependent upon market trends (or lack thereof).
3. Liquidity: Liquidity is not a concern as the strategy only invests in highly liquid futures contracts for developed markets.
4. Correlation: Changes in correlations across assets do not have a large impact on the strategy returns. Portfolio positions take into account dynamic adaptive correlation structures across assets to ensure effective diversification. 

• Does the Strategy Have a Long or Short Bias?: qCIO® Global Macro and GTAA Strategies is a long/short absolute return strategy, and the investment process is structured so that the contribution of the three asset classes is consistent and balanced through time. The strategy is currently net long on all three asset classes (equity, fixed income and currency).
• What Investment Criteria Must New Positions Meet?: The investment team monitors the markets for potential inputs that would create an increasingly robust, well-diversified transparent model. The team would consider new countries and assets in the investment universe after considering the availability of data to perform appropriate back-tests (a minimum time window of ten years). Additional instruments would be considered after assessing the liquidity of the instrument and the availability of assets in the strategy for potential investment.
• What is the Average Holding Period?: The average holding period is approximately 51 days. The qCIO^® Global Macro and GTAA Strategies investment process does not impose stop-loss or profit taking limits. As a results, profitable and unprofitable investments are treated symmetrically.
• Have you encountered position limit problems? If yes, please explain: The only market for which there is limited liquidity is the Swiss fixed income futures market. We include this market in the views in order to have a broader universe, but switch it off at portfolio construction stage.

• How Do You Invest New Capital into the Market? New capital is invested into the strategy according to the same principles driving the strategy. We monitor positions daily, new capital is allocated to the various instruments in order to reach optimal portfolio weights, taking into account holding constraints (if any), clients’ investment guidelines and tracking error objective. We monitor liquidity on the futures contract to ensure favorable pricing and minimize market impact.
• Have the Strategy or Trading Processes Changed Over Time Due to Capital Flows?: There have been no changes due to capital flows, the investment process is stable. Enhancements to allow for the refinement or addition of factors to better capture the impact of business cycle changes, inflationary pressures, aggregate risk aversion and additional sets of inputs to incorporate ‘exit strategies’ from unconventional monetary policies, the sovereign debt crisis and the threat of higher inflation were implemented. The result is a robust, well-diversified transparent model that can be used to add incremental alpha to a portfolio.
• Describe your cash management policy: qCIO^® Global Macro and GTAA Strategies utilize cash as one of the variables in its investment model. For managed accounts or the fund, both cash and collateral will be segregated within the Prime Broker Segregated Accounts. The collateral will be in the form of Treasury Bills to cover initial margins, and an adequate amount of cash will be held to cover potential variation margin requirements. We would recommend that managed accounts or the fund hold excess cash within highly liquid enhanced cash management products to further enhance the returns of the strategy. We can provide further information on potential money market funds if required.

• What is the percentage of assets in non-exchange traded instruments and how long do you expect it would take to liquidate these assets under normal circumstances?: Not applicable. All instruments are highly liquid and exchange-traded.
• How Do You Deal With Redemptions?

Redemption frequency (when):	An investor in the Fund may upon not less than 45, and not more than 60, days’ prior written notice to the Fund (referred to as the “Redemption Notice”) elect to redeem all or a portion of its Shares in the Fund as of the last day of a calendar month (the “Redemption Date”).
Redemption notice period:	An investor in the Fund may upon not less than 45, and not more than 60, days’ prior written notice to the Fund (referred to as the “Redemption Notice”) elect to redeem all or a portion of its Shares in the Fund as of the last day of a calendar month (the “Redemption Date”).
Redemption cash proceeds time period:	The Fund expects to distribute 100% of the redemption price with respect to the Shares being redeemed within 30 business days following the applicable Redemption Date. The Fund, in its sole discretion, may distribute 100% of the redemption price within a shorter time period
Does the fund have any lock-up period or any other liquidity constraints?	An investor in the Fund may upon not less than 45, and not more than 60, days’ prior written notice to the Fund (referred to as the “Redemption Notice”) elect to redeem all or a portion of its Shares in the Fund as of the last day of a calendar month (the “Redemption Date”). If the Fund receives aggregate Redemption Notices from shareholders with respect to any given month for 15% or more of the net asset value of the Fund, the Fund may, in its sole discretion, (i) satisfy all such redemption requests or (ii) reduce all redemption requests pro rata so that only 15% (or more, in the sole discretion of the Fund) of the net asset value of the Fund is redeemed. Any Shares not redeemed as a result of the operation of the foregoing limitation will be deemed to be submitted for redemption as of the next following Redemption Date, and be subject to the operation of such limitation on the same basis as any other Shares tendered for redemption as of that date. Redemption notices are irrevocable once delivered and must be unconditional; any Redemption Notice that purports to be revocable or conditional may be ignored or treated as irrevocable and unconditional, in the sole discretion of the Fund.
Does the fund allow for transfer of shares or limited partnership interests between nominees?	An investment in the Fund provides only limited liquidity because the Shares may be transferred only with the prior written consent of the Fund and redemptions are restricted. Shareholders generally may redeem their Shares only after providing not less than 45 (and not more than 60) days’ prior written notice before the end of a calendar month. Such redemption requests may be [denied or] reduced pro rata at the sole discretion of the Fund, [including] if redemption requests in the aggregate for a calendar month exceed 15% of the Fund’s net asset value. The Shares are not expected to be registered with the U.S. Securities and Exchange Commission under the Securities Act of 1933 and no active secondary market in the Shares exists or is expected to develop.