1.
Commentary
September saw strong performance return
for Zone Capital's clients with accounts posting gains of around 5.5% after
fees. Driving performance was our high frequency mean reversion systems with
a number of currency pairs exhibiting favourable conditions and realising
profits.
It was pleasing that profits could be made in a systematic manner despite
the global financial storm that appears to have engulfed all financial
markets. Currency markets were certainly not immune to the volatility that
has abounded, however the risk management policies employed by Zone Capital
allowed us to make the most of conditions while they were favourable, while
minimising the damage when price movements were extreme.
In addition to our anti martingale position sizing strategy, Zone Capital
employs what we term a "stop and suspend" policy on our high frequency mean
reversion systems. That is, when a position is stopped out, we step out of
the market and trade a fraction of normal position sizes until the extreme
volatility that caused the stop out has flushed through the market. In this
manner we are able to minimise the impact of unfavourable moves after a
solid run of profits like we experienced in September.
For more information please
visit our website:
www.zonecapital.com.au
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2.
Fund Performance
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|
Sep 08 |
Aug 08 |
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%
Return
|
5.9% |
(1.1%) |
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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747%
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|
Annualised % return
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57%
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|
Maximum Drawdown
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18.7%
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Sharpe Ratio
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1.5
|
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Sortino Ratio
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5.7
|
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*Track Record, as presented, is based on the trading account of