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Global Macro Fund; Aggressive

Objective

Benchmarks

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

1. 70%: MSCI All Country


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

MARCH 14

| Rodrigo C. Serrano, CFA


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

2. HFRX Macro/CTA Index

Monthly Activity: February 22nd March 24th, 2014

March 14: Covered short FXY and went long GDX


http://rationalcapitalistspeculator.tumblr.com/post/79538264432/rcsinvestments-global-macro-fund-aggressive-position

Performance
As of March 24, 2014
Symbol
SPY
DTYL
IVW
OIL
EZU
EEM
JGBS
FXE
CHIX
FXY
JJC
FRAK
GDX

Last price
Shares Avg. Execution Price Cost basis
Mkt value
Gain
Gain %
Overall Return %
$186.19
2035
$184.13 $374,714.55
$378,896.65
$4,182.10
1.12
1.12
$67.02
2445
$64.69 $158,167.75
$163,863.90
$5,696.15
3.6
3.6
$100.43
487
$98.55 $47,994.11
$48,909.41
$915.30
1.91
1.91
$23.48
1735
$23.13 $40,129.21
$40,737.80
$608.59
1.52
0.38
$41.02
773
$41.39 $31,996.74
$31,708.46
($288.28)
-0.9
-0.9
$38.98
577
$41.62 $24,013.20
$22,491.46
($1,521.74)
-6.34
-6.34
$18.75
830
$19.40 $16,101.25
$15,562.50
($538.75)
-3.35
-3.35
$136.26
-470
($136.26) $64,042.20
($64,042.20)
($66.40)
-0.1
-0.1
$11.33
-4230
($11.33) $47,925.90
($47,925.90)
$8,069.30
16.84
16.84
$95.56
0
N/A
$0.00
$0.00
$0.00
0
-3.46
$35.78
-392
($35.78) $14,025.76
($14,025.76)
$1,558.00
11.11
11.11
$29.29
282
$28.49
$8,032.90
$8,259.78
$226.88
2.82
2.82
$25.53
572
$27.99 $16,008.84
$14,603.16
($1,405.68)
-8.78
-8.78
417427

Initial Portfolio Value

$1,000,000.00

$417,427.23
$1,016,466.49

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

1.65%


As of March 24th, 2014
Jan

Feb

21-Mar

Apr

May

YTD

RCS Total Portfolio Return MTD


70/30 | Global Market Ind MTD

(0.35)
(2.48)
.

2.49
3.29

(0.47)
(0.85)

-------

-------

1.65
(0.15)

RCS Macro Strategy Subset MTD


HFRX | Macro/CTA Index MTD

0.47
(0.07)

1.39
(0.75)

(0.30)
(0.97)

-------

-------

1.55
(1.78)

Alpha: Total Port. Vs. 70/30 MTD


Alpha: Macro Strat vs. HFRX MTD

2.13
0.54

(0.81)
2.14

0.38
0.66

-------

-------

1.80
3.33

Sharpe: Total Portfolio YTD


Sharpe: 70/30 YTD

(1.73)
(3.61)

2.09
0.36

1.19
(0.41)

-------

-------

1.19
(0.41)

Sharpe: Macro Strat YTD


Sharpe: HFRX YTD

0.49
(0.14)

2.27
(0.21)

1.48
(0.33)

-------

-------

1.48
(0.33)

Info Ratio: Ttl Port vs. 70/30 YTD


Info Ratio: Macro vs. HFRX YTD

2.47
1.79

1.45
2.59

1.92
2.56

-------

-------

1.92
2.56

Returns in %

Performance metrics

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%

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Total Portfolio Benchmark


Macro Benchmark
Risk Free Rate

/012%34567%

189:1%;<6=>%9?=<?4@A%

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