Komfie Manalo, Opalesque Asia: Currency hedge funds had a good month in February as the Parker FX Index reported a +0.91% return for the period (+1.55% YTD). At least 29 of the 31 programs in the index reported February results, of which 18 reported positive results and 11 incurred losses.
Parker Global stated that on a risk-adjusted basis, the Index was up +0.42% in February. The median return for the month was +0.26%, while the performance for February ranged from a high of +10.22% to a low of -3.48%.
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 February, the Systematic Index was up +0.56% and the Discretionary Index was up +1.27%. On a risk-adjusted basis, the Parker Systematic Index was up +0.22% and the Parker Discretionary Index was up +0.97%.
The top three performing constituent programs for the month of February on a reported basis returned +10.22%, +4.89%, and +4.00%, respectively. The top three performers on a risk-adjusted basis returned +7.94%, +3.08% and +2.64%, respectively.
The U.S. dollar fell in February on diminishing expectations of US rate hikes in the near future. The British pound was also down, on continued concerns of a British exit from the EU. Lookin...................... To view our full article Click here
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