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Parker FX Index down -0.60% for the month of October (+0.84% YTD)

Tuesday, December 01, 2015
Opalesque Industry Update - The Parker FX Index is reporting a -0.60% return for the month of October. Twenty eight of the thirty-one programs in the Index reported October results, of which nine reported positive results and nineteen incurred losses. On a risk-adjusted basis, the Index was down -0.27% in October. The median return for the month was -0.69%, while the performance for October ranged from a high of +2.18% to a low of -3.63%.

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 October, the Systematic Index was down -1.31% and the Discretionary Index was up +0.11%. On a risk-adjusted basis, the Parker Systematic Index was down -0.50% and the Parker Discretionary Index was up +0.08%.

The top three performing constituent programs for the month of October on a reported basis returned +2.18%, +1.75%, and +0.83%, respectively. The top three performers on a risk-adjusted basis returned +1.29%, +0.93% and +0.89%, respectively.

The US dollar was up this month as the Federal Reserve implied that a December rate raise may be likely, counteracting the USD’s fall earlier in the month when negative data prompted speculation that the rate raise would be pushed back. Emerging Market currencies saw a recovery as China appeared to stabilize, risk appetite rose, and prior oversold positioning was moderated. Looking ahead, managers believe that the USD remains favored with the US Fed rate rise expected in December, and commodity prices and central bank actions are expected to continue to drive emerging market performance.

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