Opalesque Industry Update - The Parker FX Index is reporting a +2.49% return for the month of September. Thirty-three of the thirty-six programs in the Index reported September results, of which twenty-three reported positive results and ten incurred losses. On a risk-adjusted basis, the Index was up +1.11% in September. The median return for the month was +1.36%, while the performance for September ranged from a high of +13.09% to a low of -5.37%. 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 September 2014, the Systematic Index was up +3.03% and the Discretionary Index was up +1.96%. On a risk-adjusted basis, the Parker Systematic Index was up +1.14% and the Parker Discretionary Index was up +1.48%. The top three performing constituent programs for the month of September on a reported basis returned +13.09%, +12.70% and +11.15%, respectively. The top three performers on a risk-adjusted basis returned +7.71%, +6.45% and +4.73%, respectively. The US dollar rose with the US Federal Reserve on track to raise rates and a positive outlook for the US economy. The USD’s gains were augmented by the contrasting fall in the euro after the European Central Bank surprised the market with a 10 bp rate cut and an ABS purchase program on fears of a slowdown in global growth and high unemployment. Emerging markets suffered on the resulting volatility and risk aversion. Looking ahead, managers believe that the market continues to look favorable for the USD and remains weaker for Europe over the long term, though corrections may be seen in the short term. Managers see opportunity in the divergence in US and other monetary policies, but suspect that the resulting volatility will weigh on emerging markets. press release Bg |
Industry Updates
Parker FX Index up 2.49% in September, 2.64% YTD
Wednesday, November 05, 2014
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