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%

March , the US dollar continued its downtrend during April along with a speculative fervor in the metal 1

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

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

!

Fund Name 2016 2015 2014Annual

Ret Inception Sharpe MaxdownAlpha vs SP500

Beta vs SP500

SGMT (Net) 14.31% 13.05% 26.81% 27.08% May-14 1.28 20.18% 2.053 -0.05SGMT BackTest (Net) 12.09% 13.84% 32.27% 34.62% Feb-07 1.95 20.50% 2.537 -0.39SGMT (Gross) 18.97% 18.37% 35.71% 37.41% May-14 1.53 18.29% 2.715 -0.05SGMT BackTest 16.02% 19.37% 44.45% 48.12% Feb-07 2.07 15.88% 3.416 -0.33

Alder Capital (Alder Global 20) 3.67% -3.27% 1.15% 6.32% Feb-01 0.32 28.51% 0.64 -0.01FDO Partners, LLC (Emerging Markets Quant. Currency) -0.50% -2.37% 1.98% 0.91% Jul-01 -0.19 5.44% 0.06 0.03First Quadrant L.P. (Tactical Currency Allocation L/S USD) 2.79% -1.53% 1.08% 1.77% May-95 -0.16 6.72% 0.16 -0.01Harmonic Capital (Currency 10v) -2.27% 7.91% 10.45% 4.56% May-03 0.37 16.73% 0.33 0.11Harness Investment Group Limited (FX) -0.73% -3.64% 8.28% 5.85% Apr-09 0.56 13.52% -0.14 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) -6.50% 5.22% 5.16% 2.97% Jan-04 0.23 14.51% 0.37 -0.13Quaesta Capital AG (v-Pro Volatility) -1.06% 20.08% 1.00% 6.10% Jul-07 0.91 9.39% 0.57 -0.07Salix Capital UK Ltd. (FDFX) -12.07% 13.50% 10.82% 6.94% Jan-11 0.63 10.35% 0.92 -0.08Rhicon Currency Management (Pte) Ltd (Strategic) 7.32% -3.33% 8.25% 5.64% Jan-04 0.60 8.56% 0.50 -0.02

Investment Capital Advisors LLC (ICA Managed Accounts) 49.08% 266.22% 26.02% 86.23% Nov-10 0.87 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) -1.86% 43.36% 2.58% 11.44% Jul-07 0.95 17.98% 1.08 -0.14CenturionFx Ltd (CENTURIONFX - 6X) 4.66% 39.44% 36.21% 53.36% Jan-06 2.03 21.60% 4.04 -0.2024FX Global Advisors Ltd. 11.20% 27.81% 26.94% 26.73% Jan-01 1.51 19.28% 2.09 0.02Hong Investment Advisors Ltd (HCM Rapier FX Index) -13.55% 25.32% 8.64% 7.17% May-13 0.55 13.55% 0.88 -0.24AE Capital Systematic FX Fund 2.32% 19.35% 5.74% 15.78% Oct-12 1.92 6.51% 1.29 -0.03P/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) -12.07% 13.50% 10.82% 6.94% Jan-11 0.63 10.35% 0.92 -0.08Sequoia Capital Fund Management LLP (Systematic FX) -5.07% 12.97% -9.14% 6.77% Jun-11 0.67 19.09% 0.58 0.01

Investment Capital Advisors LLC (ICA Managed Accounts) 49.08% 266.22% 26.02% 86.23% Nov-10 0.87 29.65% 8.52 -1.00First Quadrant L.P. (Tactical Currency Allocation L/S USD 20%)11.74% -12.19% 4.18% 3.94% Feb-11 0.18 31.76% 1.26 -0.70Alder Capital (Alder Global 20) 3.67% -3.27% 1.15% 6.32% Feb-01 0.32 28.51% 0.64 -0.01TMS Capital Ltd (Arktos GCS II) 9.97% -5.78% 3.83% 4.71% Feb-10 0.57 10.15% 0.46 -0.06IPM Informed Portfolio Mgmt. (IPM Systematic Curr. A) 7.02% 2.56% 7.01% 4.48% Apr-05 0.35 14.97% 0.54 -0.19P/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. 11.20% 27.81% 26.94% 26.73% Jan-01 1.51 19.28% 2.09 0.02Currency Insight Ltd (Global Currency Program) 1.60% 4.56% 2.24% 7.05% Jan-02 0.56 11.57% 0.63 -0.03Ortus Capital Management Ltd (Currency - Aggressive) 7.55% 0.87% 18.71% 13.07% Mar-04 0.43 52.79% 1.25 0.19Traub Capital Management, LLC (FX Strategy Fund I) -12.16% 9.39% 30.98% 2.39% Mar-11 0.14 22.87% 0.72 -0.43

Source�BarclayHedge.com for other funds and SGMT Capital Inc. as of March 2016 SGMT Performance Statistics As of April 29, 2016SGMT (Net) 19.03% 13.05% 22.32% 28.43% May-14 1.31 20.18% 1.974 -0.02SGMT BackTest (Net) 16.16% 13.84% 32.27% 34.80% Feb-07 1.97 20.50% 2.517 -0.40SGMT (Gross) 25.37% 18.37% 30.37% 39.26% May-14 1.58 18.29% 2.639 -0.02SGMT BackTest (Gross) 21.51% 19.37% 44.45% 48.36% Feb-07 2.08 15.88% 3.394 -0.33

BTOP FX Index Components as of Mar-16

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

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