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Currency hedge funds survive volatile July market with 0.49% gains (+2.02% YTD)

Tuesday, September 01, 2015

Komfie Manalo, Opalesque Asia:

Currency hedge funds survived the volatile July market as the Parker FX Index returned +0.49% during the month (+2.02% YTD). The U.S. dollar was up in July on safe haven demand as commodities fell and the Fed took a more upbeat tone on the U.S. economy, increasing speculation of a rate increase this year. Greece made a last minute deal on its debt, but relief was short-lived. Emerging market currencies were largely down.

Parker said that 28 of the 31 programs in the Index reported July results, of which twenty reported positive results, seven incurred losses, and one remained flat. On a risk-adjusted basis, the Index was up +0.22% in July. The median return for the month was +0.50%, while the performance for July ranged from a high of +3.79% to a low of -3.04%.

"Looking ahead, managers believe that the USD remains favored as a safe haven, and commodity prices and central bank actions are expected to continue to drive emerging market performance," Parker said in its monthly report.

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 July, the Systematic Index was up +0.71% and the Discretionary Index was up +0.28%. On a risk-adjusted basis, the Parker System......................

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