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Alternative Market Briefing

Currency hedge fund managers almost flat in December

Tuesday, January 28, 2014

Komfie Manalo, Opalesque Asia:

Global currency fund managers were almost flat in December as the Parker FX Index reported a -0.17% loss during the month (-1.21% in 2013). Thirty four of the thirty-eight programs in the index reported December results, of which seventeen reported positive results, sixteen incurred losses and one manager was flat. On a risk-adjusted basis, the Index was down -0.08% in December.

The median return for the month was +0.02%, while the performance for December ranged from a high of +3.60% to a low of -4.06%.

In addition to the broad Parker FX Index, there are two style driven sub-indices: the Parker Systematic Index, which tracks those managers whose decision process is rule based, and the Parker Discretionary Index, which tracks managers whose decision process is judgmental. During December, the Systematic Index was down -0.11% and the Discretionary Index was down -0.23%. On a risk-adjusted basis, the Parker Systematic Index was down -0.04% and the Parker Discretionary Index was down -0.17%.

The top three performing constituent programs for the month of December on a reported basis returned +3.60%, +1.29% and +1.28%, respectively. The top three performers on a risk-adjusted basis returned +1.17%, +0.91% and +0.89%, respectively.

The US dollar strengthened in the first half of the month on strong economic data and the US Federal Reserve’s announcement that tapering would be initi......................

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