We entered the day with no position.

The fundamental strength of the global markets comes from the confidence in the central banks and the relative of value of assets in a near-zero interest rate environment. The confidence of the central banks is paramount and the central banks must be wary of creating asset bubbles. As the central banks fight global deflation the relative value of assets is supported by the historically low interest rates. A high Price Earnings ratio, in a low growth economy are supported by the opportunity cost of negative and low interest rates. The caution is, if interest rates are artificially low then asset markets are artificially high.

We are long term bullish on assets prices but recognize that central banks need not add to the asset bubble by adding additional support. The Japanese economy and central bank are most at risk with a debt to GDP ratio of 250:1. The European economy and central bank are faced with keeping the Euro experiment alive in a post Brexit world. Consequently, the United States economy and the Fed are the driving force of the global marketplace. Without US strength, we fear both Japan and Europe can not maneuver themselves out of deflation.

To be clear, negative interest rates are deflationary and the Bank of Japan and European Central Bank need to move back to 0% - the same can be said for the Fed. At 0% interest rates, the central banks support their banking industry and if they choose not to buy bonds, they further support the banking industry by steepening the yield curve.

In our last email, we wrote, “We are left short the Japanese Nikkei, however a close at or above 15,700 would cause us to cover our short.” Monday, July 11th, on the close we bought the Japanese Nikkei at 15,710. Later that day, on the close our synthetic option on the US 10yr expired and we collapsed the position at 1.44%. Afterwards, we had no positions.

Thursday, July 21st on the close we sold the Japanese Nikkei at 16,810. We did the same for the German Dax at 10,155 but a close above 10,200 would cause us to cover our short. We were trying to sell the S&P at 2178, but ended up selling the DJI at an equivalent index price of 18,500. Therefore, we are short the Japanese Nikkei, German Dax and DJI and are 75% 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 +28.70% 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.