SGMT Capital Research Inc. SYSTEMATIC GLOBAL MARKETS TREND

MARCH, 2016

Investor Letter

After The Market’s Gravitational Waves

The SGMT trading system had a gross return of 5.39% for Level II in the month of March, 2016 Source of Returns by Currency (March, 2016):

2016 Gross Returns by Month:

The “market’s gravitational waves” rippled in March by starting with technical or counter forces to push the iron and ore prices higher in a ridiculous way, along with commodities when global economic forecasts got cut. Some mar-kets seemed in the mode of rotating into high beta positions, e.g., commodity currency AUD rallied more than 7% in March. On March 10th, ECB’s Draghi delivered the biggest bazooka after his failure in February to do so, but this time only caused more concerns in aiding the global economic downside risks for US FED to continue its path for four or more rate hikes in 2016 and, in the end, wiped out those who bet on a strong dollar. Initially the Euro fell, but when Draghi said “we don’t anticipate that it will be necessary to reduce rates further”, the euro swung the other way. (see chart) The “ice and fire” reaction by the markets before and after the ECB bazooka clearly exhibited an1 -other example of the “gravitational wave” effect that focused on risk instead of growth dimension. Amidst such an

Level II Month Ccy Change SGMT Gross Return

Australian Dollar (AUD) 7.37% -2.54%

Canadian Dollar (CAD) 4.10% .55%

Swiss Franc (CHF) 3.93% 2.63%

Euro (EUR) 4.58% 4.43%

Great Britain Pound (GDB) 3.17% -.26%

Japanese Yen (JPY) .26% .70%

Total Level II 5.39%

Jan Feb Mar YTD

.07% 12.80% 5.39% 18.97%

Draghi Shoots Himself in the Leg, Capping Rates, Inflates Euro March 11, by Mario Blasck, WBP Online.1

environment, BOJ held back its ineffective negative policy and perceived intervention 2

to see the JPY strengthened and followed the FED meeting release to lower the growth outlooks to further exhibit another example of a “wave” path to cool the dollar bulls of some street houses and economists. Against a strong underlying “wave”, the hawks came back in the third week of March to make their cases for bullish thoughts which were met again with all major houses lowering Q1 2016 GDP forecasts and Yellen’s clear FED stance of its policy path in final week of March. Along the major “waves”, there was a side wave of “Brexit” developing to play out in coming days.

SGMT strategy continued to perform well in March in this risk trend cycle to win major battles: ECB, BOJ and FED. During the month, some pullback was in the third week battle against the FED hawk’s maneuvers to move Yellen FED stance. It clearly indicated some differences existed within the FED circle and the maneuvers probably will contin-ue to play out in coming days. In summary, we continued to win major battles in March benefiting from the SGMT model’s capability to detect the fundamental aspects of eco-nomic risk and growth to sense the closest “wave” high grounds of those moving saddle points (reference to SGMT model introduction and also see Concept of Equilibrium: Saddle Points below).

In looking forward, the FED is watchful on the further dissipation of risk aversions or the differentiation of global markets enforced by economic, market data and political developments that impact the market directions (as we indicated in February). The “Brexit” psychological plays will be ratcheted up as we get clos-er to the June vote to create risks or opportunities for the SGMT model. The high beta or non-oil commodity mar-kets may face risk dimensional problems if the global economic prospects are not improved quickly. Again the glob-al macro trends and capital flow cycle are far from clear at this point (as it is the same as Feb). SGMT model ended at the end of March with modest risk leverage and some hedging of high beta risk. In the first quarter SGMT beat every asset class besides lean hogs - and they’ll end up getting slaughtered.

We would also like to congratulate Taylor Smith, on winning the Quantopian Open! 3

SGMT February 2016 Letter to Investors.2

3https://www.quantopian.com/leaderboard/10/55e9ef6bde4b9c19a20001a7

SGMT is a systematic FX trading strategy, so it might be more 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.

The following table shows the SGMT Capital vertical comparison statistics to the BTOP index compo-nents sourced from barclayhedge.com

!

Fund Name 2016 2015 2014Annual

Ret Inception Sharpe MaxdownAlpha vs SP500

Beta vs SP500

SGMT (Net) 9.76% 13.05% 26.81% 25.70% May-14 1.29 20.18% 2.067 -0.05SGMT BackTest (Net) 8.41% 13.84% 32.27% 34.51% Feb-07 1.95 20.50% 2.540 -0.40SGMT (Gross) 12.89% 18.37% 35.71% 35.54% May-14 1.54 18.29% 2.729 -0.05SGMT BackTest 11.10% 19.37% 44.45% 47.96% Feb-07 2.07 15.88% 3.419 -0.34

Alder Capital (Alder Global 20) 8.78% -3.27% 1.15% 6.70% Feb-01 0.34 28.51% 0.62 0.00FDO Partners, LLC (Emerging Markets Quant. Currency) -0.36% -2.37% 1.98% 0.93% Jul-01 -0.19 5.44% 0.07 0.03First Quadrant L.P. (Tactical Currency Allocation L/S USD) 4.28% -1.53% 1.08% 1.85% May-95 -0.14 6.72% 0.16 -0.01Harmonic Capital (Currency 10v) -2.36% 7.91% 10.45% 4.59% May-03 0.37 16.73% 0.34 0.11Harness Investment Group Limited (FX) -2.34% -3.64% 8.28% 5.67% Apr-09 0.54 13.52% -0.11 0.49P/E Investments (FX Strategy - Aggressive) -2.72% 13.82% 49.08% 12.93% Oct-03 0.60 33.33% 1.11 0.08Premium Capital Advisors AG (Premium Currencies) -4.07% 5.22% 5.16% 3.21% Jan-04 0.27 14.51% 0.39 -0.13Quaesta Capital AG (v-Pro Volatility) 0.80% 20.08% 1.00% 6.39% Jul-07 0.96 9.39% 0.58 -0.07Salix Capital UK Ltd. (FDFX) -1.60% 13.50% 10.82% 8.54% Jan-11 0.87 5.96% 0.99 -0.08Rhicon Currency Management (Pte) Ltd (Strategic) 8.40% -3.33% 8.25% 5.76% Jan-04 0.61 8.56% 0.44 -0.02

Investment Capital Advisors LLC (ICA Managed Accounts) 38.60% 266.22% 26.02% 85.50% Nov-10 0.85 29.65% 8.52 -1.00Alternative Asset Management Ltd (ACMP (Long Only)) -9.65% 48.45% 122.39% 57.06% Sep-12 1.38 4.35% 8.87 0.32Quaesta Capital AG (v-Pro Dynamic Volatility) 1.94% 43.36% 2.58% 12.04% Jul-07 1.00 17.98% 1.08 -0.14CenturionFx Ltd (CENTURIONFX - 6X) 3.27% 39.44% 36.21% 53.70% Jan-06 2.04 21.60% 4.05 -0.2024FX Global Advisors Ltd. 6.04% 27.81% 26.94% 26.50% Jan-01 1.49 19.28% 2.08 0.02Hong Investment Advisors Ltd (HCM Rapier FX Index) -8.30% 25.32% 8.64% 9.64% May-13 0.77 9.20% 0.96 -0.16AE Capital Systematic FX Fund 1.02% 19.35% 5.74% 15.77% Oct-12 1.90 6.51% 1.32 -0.04P/E Investments (FX Strategy - Aggressive) -2.72% 13.82% 49.08% 12.93% Oct-03 0.60 33.33% 1.11 0.08Salix Capital UK Ltd. (FDFX) -1.60% 13.50% 10.82% 8.54% Jan-11 0.87 5.96% 0.99 -0.08Sequoia Capital Fund Management LLP (Systematic FX) -2.62% 12.97% -9.14% 7.47% Jun-11 0.74 19.09% 0.63 0.04

Investment Capital Advisors LLC (ICA Managed Accounts) 38.60% 266.22% 26.02% 85.50% Nov-10 0.85 29.65% 8.52 -1.00First Quadrant L.P. (Tactical Currency Allocation L/S USD 20%) 20.24% -12.19% 4.18% 5.51% Feb-11 0.26 31.76% 1.08 -0.69Alder Capital (Alder Global 20) 8.78% -3.27% 1.15% 6.70% Feb-01 0.34 28.51% 0.62 0.00TMS Capital Ltd (Arktos GCS II) 8.02% -5.78% 3.83% 4.47% Feb-10 0.54 10.15% 0.40 -0.06IPM Informed Portfolio Mgmt. (IPM Systematic Curr. A) 8.63% 2.56% 7.01% 4.66% Apr-05 0.37 14.97% 0.50 -0.18P/E Investments (FX Strategy - Aggressive) -2.72% 13.82% 49.08% 12.93% Oct-03 0.60 33.33% 1.11 0.0824FX Global Advisors Ltd. 6.04% 27.81% 26.94% 26.50% Jan-01 1.49 19.28% 2.08 0.02Currency Insight Ltd (Global Currency Program) 2.05% 4.56% 2.24% 7.13% Jan-02 0.57 11.57% 0.64 -0.03Ortus Capital Management Ltd (Currency - Aggressive) 9.44% 0.87% 18.71% 13.33% Mar-04 0.43 52.79% 1.27 0.20Traub Capital Management, LLC (FX Strategy Fund I) -2.03% 9.39% 30.98% 4.69% Mar-11 0.29 22.87% 0.80 -0.36

Source�BarclayHedge.com as of February 2016

BTOP FX Index Components as of Feb-16

Year 2015 Top Ranked CTA Currency Programs as of Feb-16

January 2016 Monthly Top Ranked CTA Currency as of Feb-16