1. Commentary

May again continued our run of low volatility under performing months. While our lack of performance is frustrating, we are always wary of wanting to take on new systems or tweak existing systems as a reaction. As systems traders, we stick to the maxim that trading should be boring – as trading for excitement is a sure way to ensure that risk is increased beyond sensible limits and capital eroded quickly - far better to be bored trading and take up an adrenaline sport for excitement.

We continue to watch the Euro and the Greek debt crisis with great interest. It appears that most countries right now are in a race to openly or covertly devalue their currencies as much as possible. With new dynamics in place we believe trading opportunities are likely to increase.

For more information please visit our website: www.zonecapital.com.au

2. Performance

	May 10	Apr 10
% Return	(0.4%)	(0.6%)

3. Track Record* Update

Cumulative Performance

Summary Performance Statistics

	Since Jan 04
Cumulative % return	828%
Annualised % return	41.5%
Maximum Drawdown	18.7%
Sharpe Ratio	1.3
Sortino Ratio	5.0

*Track Record, as presented, is based on the trading account of FuturesTech Pty Ltd (an entity wholly owned by Malcolm Morley, a director of Zone Capital) for the period January 2004 – December 2006 and for the Zone Trading Trust 1 thereafter. The returns above are after deducting pro-forma fees, consisting of a 2% pa management fee plus a 25% high water marked performance fee. Zone Capital does not represent in any way that the past performance of the Track Record is any indication of likely future performance.

www.zonecapital.com.au