1.
Commentary
November was another
break even month for our track record account at Zone Capital. Our high
frequency mean reversion systems continue to underperform which in turn
lowered our leverage and risk per trade considerably during the month.
Although we are marginally profitable for the year, our current drawdown
is now 10 months in length, which is frustrating for both our clients
and ourselves. However it is worth noting that the depth of the drawdown
at 3.5% is fairly modest. This sort of pattern in our returns is
consistent with our risk management philosophy and probably worthy of
restating.
As managers we design our entire risk management algorithms around a few
key principles. Firstly, we wish to attain the highest probability of a
profitable month without limiting our overall upside every month.
Secondly, we believe drawdowns that eat into large monthly profits to be
less important than drawdowns at the start of a month that eat into
capital. Thirdly, we prefer to have shallow, longer drawdowns than deep
shorter drawdowns and, lastly, we “rule off” our trading at the end of
every month and start afresh. Each month is a new month with a set
amount of capital to be protected and from which we must generate our
profits.
We believe that despite the drawdown, our risk management philosophy has
been followed consistently and has put our clients in the best possibly
position to profit when the systems return to profitability.
For more information please
visit our website:
www.zonecapital.com.au
|
2.
Performance
|
|
Nov 09 |
Oct 09 |
|
%
Return |
0.0% |
(0.6%) |
3.
Track Record* Update
Cumulative
Performance
Summary Performance Statistics
|
|
Since Jan 04 |
|
Cumulative % return |
850% |
|
Annualised % return |
46% |
|
Maximum Drawdown |
18.7% |
|
Sharpe Ratio |
1.4 |
|
Sortino Ratio |
5.2 |
|
*Track Record, as presented, is based on the trading account of