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Parker FX Index is up 0.18% in October (+2.56% YTD)

Wednesday, November 26, 2014
Opalesque Industry Update - The Parker FX Index is reporting a +0.18% return for the month of October. Thirty-three of the thirty-six programs in the Index reported October results, of which twenty reported positive results, twelve incurred losses, and one remained flat. On a risk-adjusted basis, the Index was up +0.08% in October. The median return for the month was +0.36%, while the performance for October ranged from a high of +6.50% to a low of -4.95%.

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 October, the Systematic Index was up +0.73% and the Discretionary Index was down -0.36%. On a risk-adjusted basis, the Parker Systematic Index was up +0.27% and the Parker Discretionary Index was down -0.27%.

The top three performing constituent programs for the month of October on a reported basis returned +6.50%, +4.70% and +4.69%, respectively. The top three performers on a risk-adjusted basis returned +2.74%, +2.62% and +2.08%, respectively.

The US dollar rose but saw a choppy month on mixed economic data. The USD’s gains were augmented by the continued fall in the euro and the surprise Bank of Japan announcement of further quantitative easing. Looking ahead, managers believe that the market continues to look favorable for the USD and weaker for the Euro over the long term, though corrections may be seen in the short term. Managers see opportunity in the divergence in US and other monetary policies, and suspect that commodity prices and Chinese growth may drive emerging market performance.

PD

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