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Alternative Market Briefing

Foreign currency hedge funds fell -0.03% in March

Monday, May 02, 2016

Komfie Manalo, Opalesque Asia:

Foreign currency hedge funds fell slightly last month with the Parker FX Index reporting a -0.03% return for the month of March. 28 of 31 programs in the index reported results in March. 11 reported positive results, 16 incurred losses, and one remained flat.

Parker Global said that on a risk-adjusted basis, the Index was down -0.02% in March. The median return for the month was -0.33%, while the performance for March ranged from a high of +6.23% to a low of -4.70%.

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 March, the Systematic Index was up +0.05% and the Discretionary Index was down -0.12%. On a risk-adjusted basis, the Parker Systematic Index was up +0.02% and the Parker Discretionary Index was down -0.09%.

The top three performing constituent programs for the month of March returned +6.23%, +4.28%, and +3.23 %, respectively. The top three performers on a risk-adjusted basis returned +4.33%, +3.58% and +2.53%, respectively.

Factors contributing to performance changes in March included the US dollar falling against all of the G10 currencies, driven by the Federal Reserve's decision to soften guidance on future interest rate hikes ......................

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