For May 2016, Unicorn Macro Fund generated -5.84%, modeled performance net of fees. For the year, modeled performance net of fees is +22.37%. In hindsight, we missed the opportunity to hedge our S&P short when we bought US 10yr notes which affected our overall performance for the month. Currently we are long US 10yr notes but not long the S&P.

We started the month by covering our shorts in the US 10yr note and German 10yr bund leaving us short the Japanese Nikkei. We believed a weak dollar was bad for global asset prices and until the dollar strengthened, we expected the global equity markets to be under pressure.

On May 10th we sold the S&P, even though the Bank of Japan had been successful in talking down the Yen which supported their equity market, the Fed was not embracing a stronger US dollar policy to become the economic engine for the global marketplace. At the time, our thesis was lack of demand - deflation - was driving asset prices and interest rates lower.

After the FOMC minutes, we bought the US 10yr note but failed to hedge up our S&P short, when it became evident the Fed would not tighten until inflation approached 2% and the economy reached full employment. The media and some at the Fed made it seem the Federal Reserve would tighten this summer giving the markets the confidence the US economy was strengthening.

We bought back our shorts in the S&P and Japanese Nikkei, after the International Monetary Fund announced their restructuring of Greek debt, essentially freeing up capital and making clear Europe would do whatever it takes not to disband the European Union.

We believe the Fed should tighten to normalize the money supply and strengthen the US dollar but in the form of quantitative tightening rather than raising short term interest rates. The Federal Reserve has the unique opportunity to sell its bond holdings at historic highs while reducing its balance sheet and keeping the yield curve steep to support the banking industry. If the Fed were to raise short term interest rates 25bp, when the US economy is not strong, the non-linear monetary impact at near-zero interest rates would cause the yield curve to flatten reflecting the increased deflation in the US economy. The only way for the Fed to tighten and keep a steep yield curve is for the Fed to unwind its $4 trillion balance sheet through quantitative tightening and combat deflation with low short term interest rates.

Moving into June, we expect the strength of the global equity markets to be tied to the strength of the US dollar. We continue to believe deflation, excess supply rather than excess demand is the challenge for the markets putting downward pressure on long term interest rates and global asset prices.

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 +22.37% 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.