Monthly Update

Month ending October 2009

1.  Commentary

Zone Capital again posted a small loss for October with our track record account posting a loss of 0.6%. Given the continued underperformance of our high frequency mean reversion systems we have begun to allocate capital towards two mechanical systems that have a bias against the US dollar. We share the view of a number of market commentators that the world economy will continue to stabilise in the aftermath of the global financial crisis and therefore drive capital back out of its temporary flight to the "safe haven" of US dollars during the global financial crisis.

We are also witnessing statistical patterns in high frequency foreign exchange that we have not seen before during this "consolidation period" following the global financial crisis. Typically we have not found any analytical evidence to trade the major USD pairs on a high frequency mean reversion basis, however this has not been the case recently and these pairs are potentially more profitable than the non-USD crosses we normally trade. That said, we fundamentally believe that this is most likely a temporary phenomenon, however will keep monitoring our weekly scans of the market to trap any persistent biases we observe.


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

2.  Performance

3.  Track Record* Update

Cumulative Performance

Summary Performance Statistics