Industry Updates

The Parker FX Index is down -0.70% in April (-1.50% YTD)

Friday, May 30, 2014

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Opalesque Industry Update - The Parker FX Index is reporting a -0.70% return for the month of April. Thirty-four of the thirty-six programs in the Index reported April results, of which ten reported positive results, twenty-three incurred losses, and one manager remained flat. On a risk-adjusted basis, the Index was down -0.31% in April. The median return for the month was -0.46%, while the performance for April ranged from a high of +1.34% to a low of -4.01%.

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 April, the Systematic Index was down -0.79% and the Discretionary Index was down -0.62%. On a risk-adjusted basis, the Parker Systematic Index was down -0.29% and the Parker Discretionary Index was down -0.46%.

The top three performing constituent programs for the month of April on a reported basis returned +1.34%, +0.58% and +0.56%, respectively. The top three performers on a risk-adjusted basis returned +0.56%, +0.50% and +0.42%, respectively.

The US dollar fell in April as US data disappointed and after the release of the March Federal Reserve minutes indicated a more dovish outlook for rates than originally thought. Developed market currencies performed strongly as the UK and Europe saw increasing growth, as the Bank of Japan decided to keep monetary policy unchanged, and as Canada rebounded from the cold winter’s slowdown. Looking ahead, managers believe that the market is looking favorable for the USD, but that EM currencies are also increasingly more stable as global economies recover and global volatility steadies.

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