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Alternative Market Briefing

Currency hedge funds flat in May

Wednesday, July 01, 2015

Komfie Manalo, Opalesque Asia:

Pressures on the U.S. dollar and the Euro saw currency hedge funds remain flat in May. Parker Global Strategies, LLC’s Parker FX Index reported a 0% return during the month (+3.11% YTD).

"The U.S. dollar saw a sharp turn in May, down early on weaker data with a recovery later in the month as the Euro fell on rising Greek concerns and the ECB bond buying program," says the Connecticut-based firm. "The Brazilian real fell on concerns that the nation’s central bank would minimize its support for the currency. Looking ahead, Parker FX said managers believe that the USD remains favored in the long term, in contrast to the Euro, while commodity prices and central bank actions are expected to continue to drive emerging market performance."

On a risk-adjusted basis, the Index was flat in May. The median return for the month was +0.03%, while the performance for May ranged from a high of +3.90% to a low of -5.64%.

The Parker Systematic Index, which tracks those managers whose decision process is rule based, was down -0.59%. And the Parker Discretionary Index, which tracks managers whose decision process is judgmental, was up +0.59%. On a risk-adjusted basis, the Systematic Index was down -0.22% and the Discretionary Index was up +0.45%.

Talk of hedge fund selling EUR-USD yesterday dragged the pair down to 1.1150, reported ......................

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