1.
Commentary
Trading during July
continued Zone Capital's run of low volatility months, with our track
record account posting a small loss of 0.1%. We continue to be
frustrated by a lack of opportunities in pairs exhibiting favourable
conditions for our high frequency mean reversion systems and have wound
back exposure to other system types.
As equity markets and general sentiment appear to be moving firmly into
the positive, It is not uncommon for our systems to go quiet. One of the
core advantages of investing in an FX Managed account with Zone Capital
is the lack of correlation with other asset classes. Our track record
shows correlations of less than 0.05 with equities, hedge fund indices
and also the Barclays BTop50 currency traders index. It is useful to
remember that while equity markets will outperform Zone Capital over
certain peiods, it is precisely this lack of correlation that adds value
to a portfolio and it is therefore no surprise that when equity markets
fell, our accounts performed well.
We are currently about to initiate production testing with a prime
broker of a FIX API that has taken us close to 8 months to develop and
are optimistic that this arrangement will provide better liquidity,
pricing and clearing options. Please feel free to contact us if you
would like further details.
For more information please
visit our website:
www.zonecapital.com.au
2.
Performance
|
|
July 09 |
June 09 |
|
%
Return |
(0.1%) |
0.2% |
|
3.
Track Record* Update
Cumulative
Performance
Summary Performance Statistics
|
|
Since Jan 04 |
|
Cumulative % return |
877% |
|
Annualised % return |
50% |
|
Maximum Drawdown |
18.7% |
|
Sharpe Ratio |
1.5 |
|
Sortino Ratio |
5.5 |
|
*Track Record, as presented, is based on the trading account of