Opalesque Industry Update - The Parker FX Index is reporting a +0.32% return for the month of October. Thirtyseven
of the thirty-nine programs in the Index reported October results, of which twenty-one reported positive
results and sixteen incurred losses. On a risk-adjusted basis, the Index was up +0.14% in October. The median
return for the month was +0.05%, while the performance for October ranged from a high of +3.58% to a low of
-2.14%. 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 +0.60% and the Discretionary Index was up +0.04%. On a risk-adjusted basis, the Parker Systematic Index was up 0.22% and the Parker Discretionary Index was up +0.03%. The top three performing constituent programs for the month of October on a reported basis returned +3.58%, +3.26% and +2.90%, respectively. The top three performers on a risk-adjusted basis returned +2.57%, +1.87% and +1.78%, respectively. During the month, the US budget negotiations and government shutdown broadly impacted global currency returns. Asian emerging market currencies strengthened versus the US dollar. Looking ahead, the majority of the managers in the index agree that the major driver of currency returns will continue to be the Federal Reserve’s actions related to the quantitative easing programs. Press Release bc |
Industry Updates
Parker FX Index up 0.32% for October with a year to date loss of 0.74%
Wednesday, November 27, 2013
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