1.
Commentary
July was another month
where Zone Capital's systems underperformed, with accounts posting returns
of around -1%. The market did not favor our mean reversion systems and
our short position on the US dollar was hampered by rebound in the
greenback.
We realize that these times are testing, and given the directors have a
significant portion of our net worth trading our own systems, we feel this
frustration as much, if not more, than our clients. As we have mentioned
previously, we believe our mandate is twofold. Firstly to maximize profits
when the market favors our systems and secondly to preserve capital when
the market does not. In the last 8 months we have not achieved our first
mandate, but are pleased with how we have done on the second. However we
naturally acknowledge that profits are necessary and continue to look for
further opportunities to trade an edge in an automated way.
We are also continuing investigations into additional counterparties with
whom we can trade. Our first trial was successful in terms of profitability,
but unfortunately the API provided by the exchange was not robust enough to
trade 5.5 days x 24 hours unattended.
For more information please
visit our website:
www.zonecapital.com.au
2.
Fund Performance
|
|
July 08 |
June 08 |
|
%
Return
|
(0.8%) |
0.2%
|
|
3.
Track Record* Update
Cumulative
Performance
Summary Performance Statistics
|
|
Since Jan 04
|
|
Cumulative % return
|
709%
|
|
Annualised % return
|
58%
|
|
Maximum Drawdown
|
18.7%
|
|
Sharpe Ratio
|
1.5
|
|
Sortino Ratio
|
5.7
|
|
*Track Record, as presented, is based on the trading account of