1. SGMT Capital Research Inc.
SYSTEMATIC GLOBAL MARKETS TREND
JUNE, 2016
Investor Letter
The SGMT trading system had a gross return of -1.54% for Level II in the month of June, 2016
Source of Returns by Currency (June, 2016):
2016 Gross Returns by Month:
June was a tumultuous month for the global markets amidst the Brexit. As running into the Brexit
referendum on June 23rd, all markets bet 90% odds for the UK remaining in the EU and ineffectively1
assessed the Brexit political event risk. The mispricing started in late May when polls showed “leave”2
Level II Month Ccy Change SGMT Gross Return
Australian Dollar (AUD) 3.00% -1.07%
Canadian Dollar (CAD) 1.27% 1.82%
Swiss Franc (CHF) 1.68% -2.20%
Euro (EUR) -0.42% 1.52%
Great Britain Pound (GDB) -8.33% -0.03%
Japanese Yen (JPY) 7.14% -1.56%
Total Level II -1.54%
Jan Feb Mar Apr May Jun YTD
0.07% 12.80% 5.39% 5.38% -6.22% -1.54% 15.75%
How Did the Bookies Get It So Wrong: Ladbrokes Tries to Explain by Dara Doyle on Bloomberg The article says that “more cash was staked on a1
“Remain” vote even though the majority of bets were backing a Brexit. Apparently large bets were coming from the city of London.
SGMT May Investor Letter2

2. leading “remain” and in early June the highest odds for “leave” was 40% by the bookies. After the tragic3
death of UK law maker Jo Cox who was shot on June 16th by a gunman saying “UK first” that seemed to
suggest some connection to “leave” EU, the polls reversed a little but the markets priced the odds of
“leave” to only merely a 10% chance. At the same time, the markets had pushed the prices to their
respective apexes that created a lopsided asymmetrical risk with such over confidence (e.g., GBP pushed to
$1.5USD per pound just before the count for the first major area was released). In fact, although the
markets are highly effective in pricing economic risks, in reality they lack the abilities to price risks of a
political nature like Brexit with a zero-one digital outcome. On the day of reckoning, June 23rd even the
UK independence party was surprised as the counts for “leave” were reported and the Brexit became
reality. The markets reacted sharply pushing up volatilities. Following the Brexit vote results, markets began
to stabilize on Tuesday (2 business days after) and came back at different speeds: equity markets recovered
almost half of the Brexit impact losses; bond markets generally stayed at sharp down yields in US, UK and
EU; and currencies generally stabilized within a reasonable range except GBP and JPY. The Brexit is just
beginning its journey of separating from the EU. Its course and final destination are not yet clear and will
be a long political process to be determined in the coming months and years. Brexit made the US FED
June meeting a short focus by the markets after a dismal US job report which validated early May bond
markets concerns and invalided those FED officials who repeatedly advertised a FED rate hike in June .4
The deflationary bond yields seemed to suggest a further holding-back of the US FED raising rates. Given
large potential deflationary impact to Japan and its currency, the risk of a BOJ intervention in its currency
also dramatically increased.
In facing the Brexit political risk with its high impact on the currency markets, SGMT’s strategy ran until a
day before the Brexit vote, then we exercised political event risk control according to SGMT risk
management strategy like the reported Soros strategy to avoid the asymmetrical downside risk. SGMT is5 6
a systematic macro-economic trend (fundamentals) strategy that extracts market information to identify
the investment trend opportunities in a continual time space. SGMT’s risk management document as
referenced in note 5 below outlined the processes of eliminating non-economic risks like political, liquidity
from the start. For on-going non-economic event risks, SGMT’s strategy assesses the downside risk of an
event’s impact if such determination can be assessed before it happens. Clearly Brexit was the type of
political event that could generate a lopsided downside risk and, therefore, SGMT got out of the way a day
before. This event risk control avoided an 8% drawdown which could have occurred from following a
market information based macro-trend strategy (see the description and references about how markets
priced Brexit risk above). After the Brexit reality, the risk-off forces drove JPY to such a strong level that it
caused Japanese politicians to consider a JPY intervention - another possible event risk. SGMT managed
JPY risk down by 2/3 a day after the Brexit. As of June month end, SGMT managed the risk event
affected positions back to ½ of the systematic level.
In looking forward, the after-math effects of Brexit will take months or even years to play out. First the
UK political landscape is unclear, not to mention any clarity or a plan to address UK’s exiting road map.
The slow motions of UK and EU political games will generate patches of information voids that cause
the market volatilities ahead and, at same time, will also give the markets time to re-assess the new status
after Brexit. As the market’s reassessments are going on, SGMT will follow the markets to normalize its
positions as soon as the non-economic event risks cool down.
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
Bloomberg June 14: Bookies And Polls Face Off on Brexit Vote ; Overseas Investors’ Brexit View: Down, but Not Out by Nigel Almond, Director,3
Capital Markets Research at Cushman & Wakefield, UK
see SGMT May Investor Letter4
SGMT March 21, 2015 Document: Systematic Global Market Trend (SGMT) Introduction - Investment Strategy and Management Process5
Billionaire Soros Was ‘Long’ on Pound Before Vote on Brexit by Francine Lacqua and Sree Vidya Bhaktavatsalam6

3. BarclayHedge.com. The following table shows the SGMT Capital vertical comparison statistics to the
BTOP index components sourced from barclayhedge.com
!
Fund Name (SGMT As of May-16) 2016 2015 2014
Annual
Ret Inception Sharpe Maxdown
Alpha vs
SP500
Beta vs
SP500
SGMT (Net) 11.51% 13.05% 23.18% 23.24% May-14 1.33 20.18% 2.005 -0.02
SGMT BackTest (Net) 11.28% 13.84% 32.27% 33.81% Feb-07 1.97 20.50% 2.523 -0.39
SGMT (Gross) 17.57% 18.37% 31.53% 33.25% May-14 1.60 18.29% 2.678 -0.02
SGMT BackTest 16.52% 19.37% 44.45% 47.16% Feb-07 2.09 15.88% 3.402 -0.33
Alder Capital (Alder Global 20) 7.85% -3.27% 1.15% 6.53% Feb-01 0.33 28.51% 0.63 -0.01
FDO Partners, LLC (Emerging Markets Quant. Currency) -2.44% -2.37% 1.98% 0.77% Jul-01 -0.25 7.06% 0.05 0.03
First Quadrant L.P. (Tactical Currency Allocation L/S USD) 3.23% -1.53% 1.08% 1.78% May-95 -0.16 6.72% 0.17 -0.01
Harmonic Capital (Currency 10v) -7.00% 7.91% 10.45% 4.11% May-03 0.32 16.73% 0.29 0.10
Harness Investment Group Limited (FX) -0.41% -3.64% 8.28% 5.76% Apr-09 0.55 13.52% -0.15 0.48
P/E Investments (FX Strategy - Aggressive) -11.68% 13.82% 49.08% 11.80% Oct-03 0.53 33.33% 1.06 0.04
Premium Capital Advisors AG (Premium Currencies) -5.32% 5.22% 5.16% 3.03% Jan-04 0.25 14.51% 0.36 -0.13
Quaesta Capital AG (v-Pro Volatility) -1.34% 20.08% 1.00% 5.95% Jul-07 0.90 9.39% 0.55 -0.08
Salix Capital UK Ltd. (FDFX) -15.92% 13.50% 10.82% 6.18% Jan-11 0.56 12.77% 0.76 -0.16
Rhicon Currency Management (Pte) Ltd (Strategic) 3.69% -3.33% 8.25% 5.27% Jan-04 0.55 8.56% 0.47 -0.03
Investment Capital Advisors LLC (ICA Managed Accounts) 64.85% 266.22% 26.02% 86.13% Nov-10 0.88 29.65% 8.53 -0.97
Alternative Asset Management Ltd (ACMP (Long Only)) -9.65% 48.45% 122.39% 57.06% Sep-12 1.38 4.35% 8.87 0.32
Quaesta Capital AG (v-Pro Dynamic Volatility) -2.25% 43.36% 2.58% 11.16% Jul-07 0.93 17.98% 1.02 -0.15
CenturionFx Ltd (CENTURIONFX - 6X) 8.59% 39.44% 36.21% 52.85% Jan-06 2.03 21.60% 4.00 -0.20
24FX Global Advisors Ltd. 32.23% 27.81% 26.94% 27.84% Jan-01 1.57 19.28% 2.17 0.03
Hong Investment Advisors Ltd (HCM Rapier FX Index) -8.73% 25.32% 8.64% 8.66% May-13 0.67 13.55% 0.99 -0.23
AE Capital Systematic FX Fund 4.88% 19.35% 5.74% 15.79% Oct-12 1.92 6.51% 1.30 -0.04
P/E Investments (FX Strategy - Aggressive) -11.68% 13.82% 49.08% 11.80% Oct-03 0.53 33.33% 1.06 0.04
Salix Capital UK Ltd. (FDFX) -15.92% 13.50% 10.82% 6.18% Jan-11 0.56 12.77% 0.76 -0.16
Sequoia Capital Fund Management LLP (Systematic FX) -8.74% 12.97% -9.14% 5.70% Jun-11 0.56 19.09% 0.50 0.01
Investment Capital Advisors LLC (ICA Managed Accounts) 64.85% 266.22% 26.02% 86.13% Nov-10 0.88 29.65% 8.53 -0.97
First Quadrant L.P. (Tactical Currency Allocation L/S USD 20%) 15.14% -12.19% 4.18% 4.40% Feb-11 0.21 31.76% 1.28 -0.74
Alder Capital (Alder Global 20) 7.85% -3.27% 1.15% 6.53% Feb-01 0.33 28.51% 0.63 -0.01
TMS Capital Ltd (Arktos GCS II) 6.71% -5.78% 3.83% 4.09% Feb-10 0.50 10.15% 0.42 -0.05
IPM Informed Portfolio Mgmt. (IPM Systematic Curr. A) 9.27% 2.56% 7.01% 4.61% Apr-05 0.37 14.97% 0.54 -0.19
P/E Investments (FX Strategy - Aggressive) -11.68% 13.82% 49.08% 11.80% Oct-03 0.53 33.33% 1.06 0.04
24FX Global Advisors Ltd. 32.23% 27.81% 26.94% 27.84% Jan-01 1.57 19.28% 2.17 0.03
Currency Insight Ltd (Global Currency Program) 6.45% 4.56% 2.24% 7.36% Jan-02 0.59 11.57% 0.65 -0.03
Ortus Capital Management Ltd (Currency - Aggressive) 10.32% 0.87% 18.71% 13.21% Mar-04 0.43 52.79% 1.26 0.18
Traub Capital Management, LLC (FX Strategy Fund I) -7.60% 9.39% 30.98% 3.30% Mar-11 0.19 22.87% 0.79 -0.42
Source BarclayHedge.com for other funds and SGMT Capital Inc. as of April 2016 (red colored marks discountinued funds)
SGMT Performance Statistics As of June 30, 2016
SGMT (Net) 9.67% 13.05% 23.64% 21.35% May-14 1.33 20.18% 2.021 -0.02
SGMT BackTest (Net) 3.12% 13.84% 32.27% 32.41% Feb-07 1.97 20.50% 2.527 -0.39
SGMT (Gross) 15.75% 18.37% 32.17% 30.89% May-14 1.61 18.29% 2.700 -0.02
SGMT BackTest (Gross) 8.09% 19.37% 44.45% 45.51% Feb-07 2.09 15.88% 3.408 -0.33
BTOPFXIndexComponentsasofMay-16
Year2015TopRankedCTACurrencyProgramsasofMay-16
January2016MonthlyTopRankedCTACurrencyasofMay-16