1.
Commentary
May turned out to be a
mixed month with a number of periods of performance followed by
setbacks. While the end result of around 1% after fees was respectable,
we were a little disappointed with the amount of profits conceded by the
systems in the last 48 hours of the month.
During such a mixed month, a number of systems performed well, while
others underperformed. Our rotational basket traded against the USD
performed strongly along with one of our high frequency mean reversion
strategies. However these did not perform so well as to get clear
traction against our under performing systems, namely another of our
high frequency mean reversion strategies.
That said, the positive month puts all of our clients within a percent
of their equity high water marks, which is pleasing and leaves us
positioned well to break into more significant positive territory next
month.
For more information please
visit our website:
www.zonecapital.com.au
|
2.
Performance
|
|
May 09 |
Apr 09 |
|
%
Return |
1.4% |
(1.2%) |
3.
Track Record* Update
Cumulative
Performance
Summary Performance Statistics
|
|
Since Jan 04 |
|
Cumulative % return |
876% |
|
Annualised % return |
52% |
|
Maximum Drawdown |
18.7% |
|
Sharpe Ratio |
1.5 |
|
Sortino Ratio |
5.6 |
|
*Track Record, as presented, is based on the trading account of