Global Macro Fund; Aggressive

Benchmarks

Objective

1. 70%: MSCI All Country

World Value Index; 30%:
JP Morgan Global
Aggregate Bond Index

2. HFRX Macro/CTA Index

To outperform standard
aggressive portfolio
construction, using acute
economic and political
research to account for
global macro developments.

April 14

Published: May 2, 2014

| Rodrigo C. Serrano, CFA

| SIPA | Columbia University
Master of International
Affairs 14 Candidate
| New York City, NY
| 01-305-510-0181
| rcs2164@columbia.edu

Monthly Activity: March 25th May 2nd, 2014

March 25th: http://rcsinvestments.wordpress.com/2014/03/25/rcs-investments-assetallocation-and-strategy-march-14/

Sold partial position in OIL 1049 shares at $23.58

Bought GDX 709 shares at $24.55

Sold partial position in IVW 89 shares at $99.88

Sold short SPY 177 shares at $186.37 (opening tactical investment)

Bought FRAK 537 shares at $29.27

Bought EEM 440 shares at $39.76

Bought to cover CHIX 690 shares at $11.48

April 2, 2014

Bought to cover 177 shares at $189.05 (closure of tactical investment)

Performance
As#of#May#2,#2014#(Intraday#12:00pm,#not#closing#prices)
Symbol
SPY
DTYL
IVW
OIL
EZU
EEM
JGBS
FXE
CHIX
FXY
JJC
FRAK
GDX
Cash
Initial#Portfolio#Value

Last#price
Avg#Buy#Price Shares
Cost#basis
Mkt#value
Gain
Gain#%
Overall#Return#%
$188.38
184.13
2035.00
$374,714.55
$383,353.30
$8,638.75
2.31
2.00
$68.35
64.69
2445.00
$158,167.75
$167,115.75
$8,948.00
5.66
5.66
$100.24
98.55
398.00
$39,223.11
$39,895.52
$672.41
1.71
1.63
$23.83
23.13
686.00
$15,870.22
$16,347.38
$477.16
3.01
0.98
$42.84
41.39
773.00
$31,996.74
$33,115.32
$1,118.58
3.50
3.50
$41.53
40.82
1017.00
$41,517.60
$42,236.01
$718.41
1.73
1.73
$18.82
19.40
830.00
$16,101.25
$15,620.60
($480.65)
(2.99)
(2.99)
$136.86
(136.86)
(470.00)
$64,324.20
($64,324.20)
($348.40)
(0.54)
(0.54)
$11.54
(11.54)
(3540.00)
$40,851.60
($40,851.60)
$6,009.63
14.71
14.78
$95.38
0.00
0.00
$0.00
$0.00
$0.00
0.00
(3.46)
$37.39
(37.39)
(392.00)
$14,656.88
($14,656.88)
$926.88
6.32
6.32
$31.66
29.01
819.00
$23,760.89
$25,929.54
$2,168.65
9.13
9.13
$24.22
26.09
1281.00
$33,424.79
$31,025.82
($2,398.97)
(7.18)
(7.18)
$393,765.28

$393,765.28

$1,000,000

$1,028,571.84

Disclaimer: Please first consult your financial advisor for all important investment related decisions

2.86

Above is as of intraday May 2, 2013, while below is April-end.
As of April 30, 2014
Jan

Feb

Mar

Apr

May

YTD

RCS Total Portfolio Return MTD

70/30 | Global Market Ind MTD

(0.51)
(2.48)
.

2.48
3.29

(0.30)
0.87

0.96
1.25

-------

2.63
2.85

RCS Macro Strategy Subset MTD

HFRX | Macro/CTA Index MTD

0.47
(0.07)

1.39
(0.75)

(0.62)
(0.22)

0.94
(0.56)

-------

2.17
(1.59)

Alpha: Total Port. Vs. 70/30 MTD

Alpha: Macro Strat vs. HFRX MTD

1.97
0.54

(0.93)
2.14

(1.17)
(0.42)

(0.29)
1.50

-------

(0.21)
3.76

Sharpe: Total Portfolio YTD

Sharpe: 70/30 YTD

(2.16)
(3.61)

1.91
0.36

1.23
1.12

2.12
1.75

-------

2.12
1.75

Sharpe: Macro Strat YTD

Sharpe: HFRX YTD

0.49
(0.14)

2.27
(0.21)

1.14
(0.22)

2.41
(0.31)

-------

2.41
(0.31)

Info Ratio: Ttl Port vs. 70/30 YTD

Info Ratio: Macro vs. HFRX YTD

2.62
1.79

1.41
2.59

0.10
1.80

(0.24)
3.03

-------

1.92
2.56

Returns in %

Performance metrics

Total Portfolio Benchmark

Macro Benchmark
Risk Free Rate

70% in MSCI All Country World Value Index; 30% JP Morgan Global Aggregate Bond Index
HFRX Macro/CTA Index
1 Yr Equivalent from 10-Yr Yield on 12/31/13 = 3.0282%

YTD$Total$Por+olio$Performance$
4.00%
3.00%
2.00%
1.00%
0.00%
!1.00%
!2.00%

!4.00%

1/2/14%
1/5/14%
1/8/14%
1/11/14%
1/14/14%
1/17/14%
1/20/14%
1/23/14%
1/26/14%
1/29/14%
2/1/14%
2/4/14%
2/7/14%
2/10/14%
2/13/14%
2/16/14%
2/19/14%
2/22/14%
2/25/14%
2/28/14%
3/3/14%
3/6/14%
3/9/14%
3/12/14%
3/15/14%
3/18/14%
3/21/14%
3/24/14%
3/27/14%
3/30/14%
4/2/14%
4/5/14%
4/8/14%
4/11/14%
4/14/14%
4/17/14%
4/20/14%
4/23/14%
4/26/14%
4/29/14%

!3.00%

70/30%Bench%

RCSIR%Total%Por?olio%

YTD$Macro$Strategy$Performance$
3.00%
2.00%
1.00%
0.00%
!1.00%
!2.00%

!4.00%

1/2/14%
1/5/14%
1/8/14%
1/11/14%
1/14/14%
1/17/14%
1/20/14%
1/23/14%
1/26/14%
1/29/14%
2/1/14%
2/4/14%
2/7/14%
2/10/14%
2/13/14%
2/16/14%
2/19/14%
2/22/14%
2/25/14%
2/28/14%
3/3/14%
3/6/14%
3/9/14%
3/12/14%
3/15/14%
3/18/14%
3/21/14%
3/24/14%
3/27/14%
3/30/14%
4/2/14%
4/5/14%
4/8/14%
4/11/14%
4/14/14%
4/17/14%
4/20/14%
4/23/14%
4/26/14%
4/29/14%

!3.00%

HFRX%Bench%

RCSIR%Macro%Strategy%

Disclaimer: Please first consult your financial advisor for all important investment related decisions