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Parker FX Index up 1.30% in August (+0.22% YTD)

Friday, October 10, 2014
Opalesque Industry Update - The Parker FX Index is reporting a +1.30% return for the month of August. Thirty four of the thirty-six programs in the Index reported August results, of which twenty-five reported positive results and nine incurred losses. On a risk-adjusted basis, the Index was up +0.58% in August. The median return for the month was +0.66%, while the performance for August ranged from a high of +7.72% to a low of -2.27%.

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 up +1.34% and the Discretionary Index was up +1.25%. On a risk-adjusted basis, the Parker Systematic Index was up +0.50% and the Parker Discretionary Index was up +0.94%.

The top three performing constituent programs for the month of August on a reported basis returned +7.72%, +6.28% and +3.80%, respectively. The top three performers on a risk-adjusted basis returned +4.51%, +2.73% and +2.53%, respectively.

The US dollar rose in August on continued strong economic data. The euro saw continuing weakness on geopolitical risks, as well due to concerns that the European Central Bank will act on weak economic data such as near-stagnant year-over-year euro-area inflation, which suggests the potential for deflation. Looking ahead, managers believe that the market is looking favorable for the USD but also see potential for a weaker growth outlook in Europe, potentially prompting diverging monetary policies which may provide opportunities in emerging market currencies.

PD

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