We started the month by selling the Japanese Nikkei after the Bank of Japan moved to negative interest rates. Since the impact of monetary policy is nonlinear, the BOJ move to negative interest rates was deflationary on asset prices. On the first day of Janet Yellen’s testimony, we hedged up our Japanese Nikkei short with a synthetic option and went long $Yen. Fed Chairwoman Yellen’s second day of testimony had a different tone as she discussed negative interest rates on excess reserves. Consequently, we sold US 10yr notes and bought the S&P on the more dovish tone out of the Fed.
On February 16th, in hindsight, we sold the S&P too soon to hedge our long. We stayed hedge for over a week before buying back our short on the S&P making us long. During this time we continued to be hedged in the Japanese Nikkei until this evening/morning when we bought back our short on the close at 16,085. The tone of the Market has changed, as the latest communications out of the Fed are Dudley seeing downside risks to growth and inflation outlook. The dovish tone out of the Fed combined with Euro$ weakness and $Yen strength is supporting asset markets and causing long term interest rates to rise. We end February being long the Japanese Nikkei, the S&P and $Yen while being short US 10yr notes. We are 100% invested.
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 +72.02% with an 8% Hurdle rate
In 2016, modeled performance net of all fees is +6.68% 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.