Opalesque Industry Update - The Parker FX Index is reporting a -0.26% return for the month of November. Thirty- six of the thirty-nine programs in the Index reported November results, of which fifteen reported positive results and twenty-one incurred losses. On a risk-adjusted basis, the Index was down -0.12% in November. The median return for the month was -0.17%, while the performance for November ranged from a high of +7.60% to a low of -5.32%.|
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 November 2013, the Systematic Index was down -0.18% and the Discretionary Index was down -0.35%. On a risk-adjusted basis, the Parker Systematic Index was down - 0.07% and the Parker Discretionary Index was down -0.26%.
The top three performing constituent programs for the month of November on a reported basis returned +7.60%, +4.70% and +1.54%, respectively. The top three performers on a risk-adjusted basis returned +2.60%, +2.47% and +2.07%, respectively.
During the month, US unemployment data strengthened, raising concern that the Federal Reserve would begin to taper. Janet Yellen, awaiting the role of Federal Reserve chair, tempered concerns with dovish comments. Many of the managers in the index anticipate that the Federal Reserve may soon begin to taper its quantitative easing programs, which is expected to be a major driver of currency returns.
Parker Global Strategies LLC (PGS) parkerglobal.com