1. SGMT Capital Research Inc.
SYSTEMATIC GLOBAL MARKETS TREND
APRIL, 2016
Investor Letter
2016 is a good year to be invested in SGMT
The SGMT trading system had a gross return of 5.38% for Level II in the month of April, 2016
Source of Returns by Currency (April, 2016):
2016 Gross Returns by Month:
With Yellen’s clear stance of a delayed rate hike and the ineffectiveness of the BOJ’s negative rate in
Level II Month Ccy Change SGMT Gross Return
Australian Dollar (AUD) -0.75% 2.10%
Canadian Dollar (CAD) 3.49% 1.93%
Swiss Franc (CHF) 0.16% -1.14%
Euro (EUR) 0.54% 0.55%
Great Britain Pound (GDB) 1.70% 1.38%
Japanese Yen (JPY) 5.73% 0.48%
Total Level II 5.38%
Jan Feb Mar Apr YTD
0.07% 12.80% 5.39% 5.38% 25.37%
2. March , the US dollar continued its downtrend during April along with a speculative fervor in the metal1
commodity prices in Asia markets (especially in Chinese markets). The global risk concerns appeared to be
calmed down and non-oil commodities and related markets reached an apex when China reported outsized
positive trade numbers on April 13. Since then, global risk relief stayed but the bubbles of metal
commodities burst after China’s regulator tightened metal commodity trading and the prices of those
commodities collapsed in late April. The last straw from the Australia CPI report then weighted down on
the AUD currency after it was flying high along with China trade data and speculative metal commodity
trading in Asia. On the oil producer side, the Doha meeting was a failure that prompted intra-day oil and
dollar high volatilities with pricing actions differing dramatically between Asia and European/America
market sessions. On the central bank policy side, ECB paused with dovish tone and defensive signs
towards the policy effectiveness and politics that was demonstrated in the ECB chairman Draghi’s
conference. EUR reacted in a rollercoaster ride before and after Draghi‘s conference for no particular
reason except the currency market’s own jittering. A week later the US FED released a carefully balanced
statement of its policy meeting with no rate action and the FED achieved the results they wanted with no
disturbance in the financial markets. After watching the FED meeting and concluding its own policy
meeting, BOJ absurdly stood pale with the same pattern of its March mistake - then only to see the JPY
rally 3% and the Japan stock markets plunge with a market expectation of monetary policy expansion set
by rumors of potential actions a couple of days before the BOJ meeting. US Q1 GDP and Personal
Income and Outlays released by the US Bureau of Economic Analysis confirmed that FED balance act
was indeed successful in keeping all options open for both US economic growth upside and downside.
SGMT strategy continued to perform well in April in a market environment of the global risk relief and
the FED rate hike delay to win the dollar trending and the commodity risk cross differential battles. In the
case of JPY, SGMT performance swung up and down with BOJ indecisive failure to net on a gain. During
the month, the “Brexit” was lingering in the markets but was slightly abating to net SGMT performance
on the gain side.
In looking forward, BOJ monetary policy impasse and the lack of cohesive economic policies in Japan may
degrade the economic foundations and the market environment for a sustainable strong Yen. The FED
managed to get in a good position for flexibility of policy paths and will closely watch the US economic
developments in the coming months. The “Brexit” psychological plays continue in coming month closer
to the June 23rd vote. As of April month end, SGMT model runs at a reduced leverage positioning for
dollar opportunities and “Brexit” psychological play. In such market environment, the global macro trends
and capital flow cycle are unclear at this point (as it was in March). SGMT model at the end of April stays
in selected dollar channels with low overall leverage that, of course, subjects to change as the markets
evolve in coming days.
SGMT is a systematic FX trading strategy, so it might be useful to compare our returns to our peers and
similar competitors. The BTOP index is an index of other foreign exchange managers as provided by
BarclayHedge.com.
SGMT March Investor Letter1
