Zen Capital Management Delivers November Loss, Reviews Trade Executions

Sydney, Australia – The Zen Capital Management Global Fund SP fell 1.99% during the month of November. Of this 1.47% is attributable to trading activities whilst the remainder reflects fund administration and management costs.

Managing Director, Gregory Carroll said “We are disappointed to be delivering our investors a negative return for a second consecutive month. We have conducted a thorough analysis of our trading since launch and have identified a deficiency in our strategy”.

In developing its trading strategy Zen Capital Management tested its system on a wide variety of markets over several decades. Since launch their system has been highly successful in identifying high probability trading opportunities. However, Mr Carroll said “in reviewing the actual trades we have executed we have observed the algorithm we use to manage our stops is failing to capture a high percentage of the peak profit generated by each trade”. Zen attributes the deficiency in its stop algorithm to what it believes are “permanent changes to the microstructure of investments markets and lower overall trading volumes post the GFC”.

To remedy the observed problem Zen Capital Management has increased the speed of their stop algorithm. Mr Carroll said “We have tested the algorithm using this increased speed and have observed a significant increase in the peak profit per trade. However, this increase comes at a cost of a small increase in the volatility of our portfolio. Thus to ensure the volatility of our portfolio remains at around 50% of the volatility of the S&P500 we have tightened our net exposure limits”.

Mr Carroll believes the changes will have a dramatic effect on the profitability of each individual trade, and of our portfolio as whole.

About Zen Capital Management:

Zen Capital Management was formed in 2012 with the sole purpose of providing Investment Advisory services to the Zen Capital Management Global Fund SP. The company employs a proprietary investment process which is driven by a rigorous quantitative model, macro-economics, and a decade of experience in financial markets.

Zen’s strategy is highly scalable since it only trades highly liquid, exchange-traded securities consisting predominantly of index and commodity futures, exchange traded funds and stocks. The fund also trades highly liquid currency pairs in the global interbank market.

The fund is Cayman-domiciled and is currently available to wholesale investors who are non-US taxpayers. The fund is administered by Apex Fund Services and all trading is through Interactive Brokers LLC. The fund commenced trading on 1 October 2012.


For more information please contact:

Gregory Carroll
Managing Director
Zen Capital Management Pty Ltd
+612 8005 2308

Keywords: Global Macro, Hedge Fund.