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Alternative Market Briefing

Currency hedge funds post gains in August as safe haven shift towards yen and euro

Friday, September 25, 2015

Komfie Manalo, Opalesque Asia:

Currency hedge funds reported gains last month as the U.S. dollar fell with safe haven demand shifting toward the Japanese yen and Euro due to China’s currency devaluation and the fall in commodity prices, along with continued speculation about a U.S. rate increase this year.

The Parker FX Index was up +0.40% in August (+2.39% YTD). At least 29 of the 31 programs in the Index reported August results, of which sixteen reported positive results and thirteen incurred losses. On a risk-adjusted basis, the Index was up +0.18% in August. The median return for the month was +0.38%, while the performance for August ranged from a high of +7.95% to a low of -5.30%.

"Looking ahead, managers believe that the USD, JPY, and EUR remain favored as safe havens, and commodity prices and central bank actions are expected to continue to drive emerging market performance," Parker FX 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 August, the Systematic Index was up +1.09% and the Discretionary Index was down -0.28%. On a risk-adjusted basis, the Parker Systematic Index was up +0.42% and the Parker Discretionary Index was down -0.22%.

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