Opalesque Industry Update - The Parker FX Index is reporting a -0.49% return for the month of January. Thirty-five of the thirty-eight programs in the Index reported January results, of which fifteen reported positive results and twenty incurred losses. On a risk-adjusted basis, the Index was down -0.21% in January. The median return for the month was -0.06%, while the performance for January ranged from a high of +4.19% to a low of -6.04%.|
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 January, the Systematic Index was down -0.82% and the Discretionary Index was down -0.15%. On a risk-adjusted basis, the Parker Systematic Index was down -0.31% and the Parker Discretionary Index was down -0.11%.
The top three performing constituent programs for the month of January on a reported basis returned +4.19%, +3.09% and +1.73%, respectively. The top three performers on a risk-adjusted basis returned +2.69%, +1.99% and +1.94%, respectively.
The US dollar strengthened early in January, but fell mid-month on weaker non-farm payrolls. The Federal Reserve suggested that tapering will continue, correcting the dollar’s decline by the end of the month. Looking ahead, managers believe that monetary policies will diverge, creating opportunities in global currency markets as economies begin to recover.