1.
Commentary
November continued Zone Capital's run of
strong months with accounts posting gains of around 4% after fees. A number
of systems contributed to the positive performance for the month with high
frequency mean reversion making the bulk of the profits.
It is interesting to note that two of our other systems started to make a
positive contribution to the portfolio this month, both of which are
conceptually very different, but both result in short USD positions.
Naturally these systems have not performed well in prior months, during what
has been, in effect, a massive global liquidation trade in favour of the US
dollar. Nonetheless, as our track-record will attest, our risk management
algorithms have more than adequately protected the portfolio during these
times. Obviously this liquidation and repatriation trade will not continue
indefinitely, and therein we see considerable potential. However the timing
of any reversal is likely to be difficult to predict. As a consequence we
have our systems closely monitoring the situation, but will only increase
our exposure when there is evidence of a reversal, supported by improved
equity curves in these systems.
The testing of alternative counterparties is continuing and we hope to have
some robustness and competitiveness tests completed over December.For more information please
visit our website:
www.zonecapital.com.au
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2.
Fund Performance
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|
Nov 08 |
Oct 08 |
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%
Return
|
4.2% |
6.6% |
3.
Track Record* Update
Cumulative
Performance
Summary Performance Statistics
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Since Jan 04
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|
Cumulative % return
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840%
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Annualised % return
|
58%
|
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Maximum Drawdown
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18.7%
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Sharpe Ratio
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1.6
|
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Sortino Ratio
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5.8
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*Track Record, as presented, is based on the trading account of