We started the month by hedging our long in the German 10yr bund after Christine Lagarde from the International Monetary Fund suggested further pessimism on global economic growth. The following week, our methodology had us unwind this synthetic option leaving us short the German 10yr bund, as well unwind our synthetic option on the Japanese Nikkei also leaving us short. A few days later, we covered the Nikkei short. In the last week of the month, we sold short the Japanese Nikkei and the following day our S&P long from 1810.
After selling our S&P long on the close Thursday, we were left short the Japanese Nikkei, German 10yr bund and US 10yr note. We are concerned the Federal Reserve has changed its US dollar outlook from supporting weaker global economies to supporting domestic inflation by weakening the US dollar. The Fed believes with a weaker dollar the transitory effects of declines in energy and import prices dissipate and the labor market strengthens further. We believe in the 21st century, no economy is an island and domestic growth depends on global demand. Consequently, a weaker US dollar will make it more difficult for Asia and the Eurozone to recover and even though the US economy will outperform globally, the global economy will drag down asset prices and make it more difficult for historically high sovereign debt to be repaid.
As we mentioned in our last email, a close below 2084 our risk management will cause us to sell our S&P long. On Thursday, April 28th on the close, we sold our S&P long at equivalent index of 2075.75. We are currently short the Japanese Nikkei, German 10yr bund and US 10yr notes and are 75% invested.
In 2012 modeled performance (7 ½ 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 +28.21% 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.