1.
Commentary
January saw the pervasive volatility in global financial markets increase
its effect in the equities markets. It has been hard to ignore the headlines
of "Black Tuesday" and the like
The Foreign Exchange markets were less affected than equities markets and
Zone Capital's returns were relatively stable, with accounts posting gains
of around 1% after fees.
With many equities markets positing losses of 5% and more in a day, perhaps
It is an interesting time to make some "big picture" comparisons between
equities returns, hedge fund returns and Zone Capital's track record in
managed foreign exchange.
The table below shows a comparison of per annum returns relative to
volatility for a variety of asset classes as well as their correlation to
equities. As fund managers with a significant proportion of our assets
invested in our own strategy it is the risk adjusted returns coupled with
the lack of correlation and liquidity that makes Foreign Exchange an
attractive asset class.
| |
Zone Capital |
S&P 500 |
CSFB/ Trem. HFI |
Barclays Curr. Trad Index |
|
PA returns
(compounded)
|
67% |
9% |
11% |
1.3% |
|
Sharpe Ratio |
1.64 |
0.68 |
1.58 |
(1.90) |
|
Correlation to S&P 500 |
0.04 |
1.00 |
0.64 |
0.34 |
For more information please
visit our website: www.zonecapital.com.au
Results
presented are after fees
|
2.
Fund Performance
|
|
Jan 08
|
Dec 07 |
|
%
Return
|
1.2%
|
(1.0%)
|
3.
Track Record* Update
Cumulative
Performance
Summary Performance Statistics
|
|
Since Jan 04
|
|
Cumulative % return
|
718%
|
|
Annualised % return
|
67%
|
|
Maximum Drawdown
|
18.7%
|
|
Sharpe Ratio
|
1.6
|
|
Sortino Ratio
|
6.1
|
|
*Track Record, as presented, is based on the trading account of