We bought the DJI to cover our short position and we are left short the Japanese Nikkei and in a synthetic option on the US 10yr note bias long, yields move in opposite direction of price. Clearly, we lost our rhythm after Brexit and we should be long the S&P. What we learned in hindsight was we should hedge binary outcomes and once the outcome is known we should trade based on our methodology. Because we write our emails based on the position our methodology puts us in, we will be writing this email from the perspective of being long the US equity markets.

The Fed’s dovish tone combined with historically low bond yields has enabled the US equity market to begin to be priced, not on earnings but relative value. Price Earnings ratios are not rising based on optimistic future earnings but rather relative value to the bond market driving prices higher. For the time being, strong US equity markets, will support global equity markets while global central banks support their bond markets. This global central bank buying of their sovereign debt has made US bonds on a relative value some of the cheapest bonds in the market place. The historically low US yields and negative global yields will support US equities on a relative basis.

Now that US equity markets are being supported by relative value to long bonds rather than PEs, the artificially low yields in US bonds make the US equity markets vulnerable to a challenge of the central banks and the Fed. This is why it is so important for the Fed to normalize (reduce) their $4 trillion balance sheet to enable the Fed to support the markets during another time of crisis. In the time being, as long as the central banks maintain control, the relative value strength of US equity markets will support global equity markets. Long bond yields will continue lower and at sometime in the future we do expect US short term interest rates to come down as the market and the Fed become more dovish. A strong US dollar is needed for global growth, and without a strong US dollar the sovereign central banks need to continue to be accommodative. It should be noted, negative interest rates are deflationary so both Japan and Europe need to move interest rates back to 0% if they want to fight deflation.

On Friday, June 8th on the close we covered our short in the DJI at 18,145. We are left short the Japanese Nikkei, however a close at or above 15,700 would cause us to cover our short. We continue to be in a synthetic option on the US 10yr bias long, yields move in opposite direction of price. We are currently 28% 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 +29.99% 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.