Returns since inception
| YTD | |
| 2011 | 21.60% |
| 2010 | 32.04% |
| 2009 | 2.13% |
| 2008 | 4.31% |
| 2007 | 27.54% |
| 2006 | -4.33% |
| 2005 | 36.09% |
Monthly Returns Since Inception
|
Year |
Jan |
Feb |
Mar |
Apr |
May |
June |
July |
Aug |
Sep |
Oct |
Nov |
Dec |
|
2011 |
-0.8% |
3.37% |
3.49% |
-0.6% |
-1.95% |
10.70% |
6.25% |
-3.41% |
8.28 |
-4.4% |
|
|
|
2010 |
-0.3% |
-1.3% |
3.70% |
1.79% |
25.10% |
19.40% |
-8.1% |
-2.02% |
-2.4% |
-2.6% |
-3.3% |
2.90% |
|
2009 |
-3.3% |
2.59% |
0.52% |
-0.1% |
3.29% |
0.30% |
-0.5% |
3.48% |
-0.1% |
-0.8% |
-0.5% |
-2.4% |
|
2008 |
5.39% |
-4.9% |
-4.3% |
-2.2% |
0.86% |
2.65% |
2.62% |
11.03% |
-0.7% |
-4.2% |
-1.0% |
0.17% |
|
2007 |
1.85% |
3.88% |
3.10% |
1.43% |
-0.14% |
-0.20% |
6.70% |
-3.09% |
1.08% |
4.51% |
1.43% |
4.40% |
|
2006 |
0.91% |
2.63% |
2.29% |
-2.7% |
-1.58% |
-2.84% |
1.76% |
-2.58% |
7.15% |
-5.5% |
-2.5% |
-0.7% |
|
2005 |
2.31% |
9.82% |
-0.8% |
2.40% |
1.24% |
-1.21% |
0.00% |
6.09% |
5.31% |
2.91% |
-4.1% |
12.16% |
Risk Measures
|
|
Risk Measures |
Risk Measures |
|
|
1 Month Sep 2011 |
YTD Sep 2011 |
|
|
|
|
|
Return |
-4.4% |
21.60% |
|
Standard Deviation |
0.61 |
4.87 |
|
Sharpe Ratio |
-7.25 |
4.39 |
|
Maximum Drawdown |
-2.76% |
-4.39% |
|
Mean Monthly Return |
N/A |
2.81% |
|
Highest Monthly Return |
N/A |
10.70% |
|
Lowest Monthly Return |
N/A |
-4.39% |
|
Number of Days in Period |
21 |
216 |
|
Number of Pos/Neutral Days |
6 |
130 |
|
Number of Negative Days |
15 |
86 |
|
Consecutive Positive Days |
2 |
5 |
|
Consecutive Negative Days |
7 |
7 |
The Fund closed the month of October losing 4.39% at 1x1 leverage. Our automated trading system has continued to produce consistent and profitable trades.
While the USD began to develop modest cyclical support during July, the ongoing intransigence over the debt ceiling/budget issue dominated. Moreover, the downward revision to H1:11 growth sharply reduces the potential for any H2 rise in interest rate expectations.
While an agreement to expand support for Greece helped moderate near-term fears over the sovereign debt crisis, doubts that the measures would provide a turning point in
the crisis weighed on the EUR. Slowing growth during H2:11 will create even greater strain on the fiscal adjustment process, with early elections in Spain this November a new concern.
The CHF was the strongest G10 currency last month, posting new record highs against both the EUR and USD as heightened sovereign debt concerns both sides of the Atlantic continued to fuel safe haven inflows.
GBP also benefited from safe haven flows given worries elsewhere. Q2 GDP was soft, but not sufficiently so as to indicate an immediate need for further asset purchases by the Bank of England.
With the summer months of June, July and August being typically quiet, thin and liquid within the markets, our positive performance is testament to our automated trading system. We are confident it will continue to produce both steady trading volumes and favorable gains going forward.
