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Parker FX Index down 1.33% to end August, down 0.78% year to date

Tuesday, October 01, 2013
Opalesque Industry Update - The Parker FX Index is reporting a -1.33% return for the month of August. Thirty eight of the forty-two programs in the Index reported August results, of which eight reported positive results and thirty incurred losses. On a risk-adjusted basis, the Index was down -0.58% in August. The median return for the month was -1.31%, while the performance for August ranged from a high of +1.85% to a low of -6.20%.

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 August, the Systematic Index was down -1.93% and the Discretionary Index was down -0.74%. On a risk-adjusted basis, the Parker Systematic Index was down -0.71% and the Parker Discretionary Index was down -0.55%.

The top three performing constituent programs for the month of August on a reported basis returned +1.85%, +1.03% and +0.79%, respectively. The top three performers on a risk-adjusted basis returned +0.89%, +0.87% and +0.76%, respectively. Expectations surrounding the Federal Reserve’s actions continued to dominate headline news. The US dollar had a very strong month against most emerging market currencies. Specifically, the Indian rupee, Indonesian rupiah, and Mexican peso weakened by 9%, 9%, and 5%, respectively versus the dollar. Overall, managers encountered difficulty identifying trends with sufficient strength.

Press release

bc

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