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Alternative Market Briefing

Currency hedge funds fell in September

Wednesday, October 28, 2015

Komfie Manalo, Opalesque Asia:

Currency-focused hedge funds dropped in September as market volatility continued through the month, with the Parker FX Index dropping -0.77%. The index is still up 1.44% YTD, up 2.71% in the last 12 months, and up 3.54% for the last three years. On a risk-adjusted basis, the Index was down -0.35% in September (+0.66% YTD, +1.23% in the last 12 months, +1.62% in the last 36 months).

In its monthly report, Parker FX said that only eight out of the 29 programs in the Index reported positive results last month, while 21 incurred losses. The median return for the month was -0.50%, while the performance for September ranged from a high of +1.59% to a low of -5%.

The two style driven sub-indices were also down. The Parker Systematic Index, which tracks those managers whose decision process is rule based, was down -0.84% (+0.77% YTD). The Parker Discretionary Index, which tracks managers whose decision process is judgmental, was down -0.70% (+2.10% YTD). On a risk-adjusted basis, the Parker Systematic Index was down -0.32% (+0.31% YTD) and the Parker Discretionary Index was down -0.53% (+1.61%).

The report went on to say, "The U.S. dollar was up this month on low risk appetite, despite a midmonth dip on the Federal Reserve’s decision to delay raising interest rates. Emerging market currencies were largely down with sustained commodity price weakness, U.S. interest rate uncertainty, and c......................

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