1.
Commentary
March continued our
recent pattern of months marginally in the red. Our track record account
posted a loss of 0.2% as our systems continued to underperform and
leverage and risk was reduced to nominal levels.
As Directors and significant investors in our own right, we share our
clients frustration with this period of underperformance. We are also
clear that long term trading strategies always endure drawdowns such as
the one we are in and that traders come unstuck if they do not show the
patience required to wait out these periods. Meanwhile, we are
channeling our frustration into scouring the markets for inefficiencies
that we can exploit in a systematic manner.
As traders we maintain that focusing on relative performance is
delusion, as our job remains to earn profits in the good times and
conserve capital in the bad, regardless of the performance of our peers.
However for those with a broader portfolio, where an investment in FX is
important for its lack of correlation to other asset classes,
performance relative to our peers becomes important. Below we have
included comparisons with Barclays Currency Traders Index and Parker
Global FX Index. Based on the comparison of Sharpe ratio, we are
confident that we remain in the upper quartile of our peers.
| |
Zone Capital |
Parker FX |
Barclays Curr. Traders Index |
|
2008 |
17.0% |
4.9% |
0.9% |
|
2009 |
(0.4%) |
0.1% |
3.5% |
|
YTD 2010 |
(0.5%) |
0.2% |
1.2% |
|
Sharpe Ratio |
1.30 |
0.9 |
0.30 |
For more information please
visit our website:
www.zonecapital.com.au
|
2. Performance
|
|
Mar 10 |
Feb 10 |
|
%
Return |
(0.2%) |
(0.1%) |
3.
Track Record* Update
Cumulative
Performance
Summary Performance Statistics
|
|
Since Jan 04 |
|
Cumulative % return |
837% |
|
Annualised % return |
43% |
|
Maximum Drawdown |
18.7% |
|
Sharpe Ratio |
1.3 |
|
Sortino Ratio |
5.1 |
|
*Track Record, as presented, is based on the trading account of