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Parker FX Index reports -1.00% in June (-1.80% YTD)

Friday, August 01, 2014
Opalesque Industry Update - The Parker FX Index is reporting a -1.00% return for the month of June. Thirty-four of the thirty-six programs in the Index reported June results, of which nine reported positive results, twenty-four incurred losses, and one remained flat. On a risk-adjusted basis, the Index was down -0.44% in June. The median return for the month was -0.90%, while the performance for June ranged from a high of +2.44% to a low of –7.10%.

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 June, the Systematic Index was down -0.83% and the Discretionary Index was down -1.17%. On a risk-adjusted basis, the Parker Systematic Index was down -0.31% and the Parker Discretionary Index was down -0.88%.

The top three performing constituent programs for the month of June on a reported basis returned +2.44%, +2.03% and +1.61%, respectively. The top three performers on a risk-adjusted basis returned +1.07%, +0.89% and +0.67%, respectively.

The US dollar fell in June as the US first quarter GDP was revised significantly downwards and as the Federal Reserve maintained its tapering pace. Meanwhile, the European Central Bank surprised investors by cutting interest rates and instituting a negative deposit rate for banks, sending the euro downward before a recovery likely led by yield-seeking investors. Looking ahead, managers believe that the market is looking favorable for the USD, but also see potential for gains in EM currencies with stronger fundamentals as global economies recover and global volatility steadies.

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