1.
Commentary
January turned out to be
an interesting month for Zone Capital's trading with the track record
account posting a solid 4.1% profit for the month. Initially, a number of
our end of day rotational baskets made solid gains, to be followed up by a
very strong performance from one of our high frequency mean reversion
systems during the last week of the month.
The month was looking even stronger a day prior to end of month, however our
high frequency mean reversion systems proceeded to give back 2%. This sort
of volatility is to be expected in the final days of a strong month and
again highlights Zone Capital's risk management approach which we call
Variable Fractional Percent ("VFP").
We view our mandate with clients to accelerate gains when things are going
well while preserving capital when they are not. Using VFP, we are far more
aggressive in risking profits gained during a month than capital at the
start of the month. One of the effects of this is the sort of end of month
volatility that we saw in January which from our point of view is an
indication that we are following through on our risk management philosophy .
For more information please
visit our website:
www.zonecapital.com.au
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2.
Performance
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|
Jan 09 |
Dec 08 |
|
%
Return
|
4.1% |
0.5% |
3.
Track Record* Update
Cumulative
Performance
Summary Performance Statistics
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|
Since Jan 04
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|
Cumulative % return
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884%
|
|
Annualised % return
|
57%
|
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Maximum Drawdown
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18.7%
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Sharpe Ratio
|
1.6
|
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Sortino Ratio
|
5.8
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*Track Record, as presented, is based on the trading account of