The rally the global markets have enjoyed after Janet Yellen’s less deflationary tone with the Senate on Thursday is losing steam. To reiterate, any central bank movement either negatively or positively off of 0% interest rates is deflationary. So Janet Yellen’s dovish tone on Thursday masked the recent deflationary moves by the Bank of Japan and European Central Bank. After listening to Mario Draghi on Monday, it is clear the ECB will continue to remove the sovereign debt risk for Europe by using quantitative easing. What the BOJ and ECB are risking is the deflationary pressures created by interest rates below 0%. Consequently, not until the BOJ and ECB move back to 0%, or the Fed indicates their desire to move back to 0%, we will continue to be negative on global asset prices. In addition we continue to be bullish on bonds, as the global markets deal with deflation with sovereign credit risk removed by the central banks.
Tuesday, February 16th on the close we sold the S&P at an equivalent index price of 1895. The sale of the S&P, combined with our recent purchase at 1810, places us in a synthetic option bias to the short side. We are also in a synthetic option on the Japanese Nikkei bias to the short side, long $Yen to help hedge our Nikkei position and short US 10yr to help hedge our S&P position. We are currently 62% invested.
Modeled performance since inception, May 2012, net of all fees is +217.06%
In 2012 modeled performance (7 ˝ mo.) net of all fees was +12.46% with a 10% Hurdle rate
In 2013, modeled performance net of all fees was +19.73% with a 10% Hurdle rate
In 2014, modeled performance net of all fees was +56.42% with a 10% Hurdle rate
In 2015, modeled performance net of all fees is +72.68% with an 8% Hurdle rate
In 2016, modeled performance net of all fees is +11.24% with a Graduated 10% Hurdle Rate
The Unicorn Macro Fund, LP (“Fund”) operates under the SEC rules of 506(c) of Regulation D. This rule allows general solicitation as long as all purchasers of the Fund are accredited investors and the Fund takes reasonable steps to verify that purchasers are accredited investors. The 506(c) rule benefits funds that perform better than their peers, because for the first time, Regulation D funds can post their results publicly.
The Fund trades both long and short positions in a variety of global markets and its performance is not correlated to any one market. Performance of the model of the Fund is measured by Net Asset Value (NAV) which is net of all fees, is unaudited, and may include the use of estimates. Individual results will vary based on the timing of an investment and past performance is no guarantee of future results and there is a possibility of loss.
The modeled results are based only on capital appreciation from macro style trades. The results do not include dividend reinvestment or any other form of cash flow and are taxed as ordinary income. All trades have a risk/reward objective of at least 3 to 1 and each full position risks no more than 2% of assets. There will be times when market conditions may alter these objectives. Since the inception of the model our trading of the methodology has become more precise.