We purposely maintained our hedges after the Brexit vote in the S&P and US 10yr note until the markets settled down. The extreme volatility can be attributed to the markets incorrectly analyzing the betting odds of the Brexit vote. Going into the vote, the betting odds favored “remain” but in fact there more number of bets placed to leave but higher priced bets to remain.

Now that the markets have settled down after the Brexit vote, the fundamental forces of deflation have increased reflected by the historic high bond prices, yields move in opposite direction of price. It is true that the Bank of Japan and the European Central Bank are out right buyers of their sovereign debt and the Fed is not a seller of their $4 trillion of debt but all this central bank buying of bonds is meant to protect against worsening deflation. In addition, as long as the BOJ and ECB maintain negative short term interest rates and the Fed discusses tightening, the global economy will be under further deflationary pressures due to the parabolic nature of monetary policy at near zero interest rates. Now that the short covering after the Brexit vote has occurred in global equity prices, the realization of deflation will begin to weigh on asset prices. We expect long term interest rates to continue lower but will remain hedged until yields rise a bit further, yields move in opposite direction of price.

Wednesday, June 29th after the close, we sold S&P futures at an equivalent index price of 2078.5 and Nikkei futures at equivalent index price of 15,750. We are short the S&P and Japanese Nikkei and in a synthetic option on the US 10yr note bias long. Currently, we are 53% 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 +72.68% with an 8% Hurdle rate
In 2016, modeled performance net of all fees is +34.17% with a Graduated 10% Hurdle Rate

________________________________________________________________________
Disclaimer:

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.