FX Hedge Funds Deflect October Shutdown Up 0.32%

The world’s largest FX hedge funds reported performance figures for the month of October. Constituents of the Parker Global Index, a performance-based benchmark that measures the reported and the risk adjusted returns of global currency managers, saw performance up 0.32% in October.

The positive return comes despite a horrid month which saw the US government go on strike for 16 days. Although the index is in the green, year-to-date figures are poor with the index making a loss of 0.74%.

October performance is welcomed by currency managers after the index had a difficult summer, the index was down in June, July and August. The largest loss for the year was reported in August this year when the benchmark reported a 1.33% loss.

October statistics:

On a risk-adjusted basis, the index was up +0.14% in October. The median return for the month was +0.05%, while the performance for October ranged from a high of +3.58% to a low of -2.14%.

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 up +0.60% and the Discretionary Index was up +0.04%. On a risk-adjusted basis, the Parker Systematic Index was up 0.22% and the Parker Discretionary Index was up +0.03%.

The top three performing constituent programs for the month of October on a reported basis returned +3.58%, +3.26% and +2.90%, respectively. The top three performers on a risk-adjusted basis returned +2.57%, +1.87% and +1.78%, respectively.

FX hedge funds were hit by the demise of FX Concepts, one of the largest currency funds. The 30 year-old-fund gradually saw decreasing assets, and finally pulled the plug in October, as reported by Forex Magnates.

2013 has seen sharp moves across major currency pairs, the yen has been the talk of the year with USD JPY and now EUR JPY playing pendulum. The yen has dropped 4% this month against the greenback, thus signalling more interest in Abenomics.

Overall hedge funds were in the green in October, the Credit Suisse Hedge Fund Index was up 1.59% and the Morningstar Hedge Fund Index was up 7.2%.