The Parker FX Index, a global benchmark that tracks the performance of leading currency funds, has reported a marginal decline -0.8% MoM for the month of April 2015 from March, with approximately 72% of programs in the index showing positive results.
Parker Global Strategies LLC (PGS) is an alternative investment management group that is proficient in the direct investments via Master Limited Partnerships (MLPs). More specifically, PGS also acts as an agent of managers for a variety of initiatives involving FX, having erected a suite of investable manager indices for FX.
Last month, the Parker FX Index reported a tepid rise of 1.53% MoM for the month of March 2015 from February, with approximately 74% of programs in the index showing positive results.
In its latest release in April 2015, the index yielded returns on 13 of 18 programs, with only 5 incurring losses. On a risk-adjusted basis, the Index was down -0.36% MoM in April, while the median return for the month was -0.5%. A closer look at the panel of programs in April 2015 indicated a high of +3.92% to a low of -8.85%.
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FX Index Composition
More specifically, the Parker FX Index tracks the performance of managers that are derived from positioning both long or shorts of foreign currencies. The Index is equally weighted – as opposed to capitalization weighted – and controls for outliers or swaying in the performance that may not be representative of the currency manager universe.
One major determinant of the performance during April 2015 was the US dollar, having been shackled by weaker data, given nonfarm payroll data came in significantly below expectations of Q1 2015 GDP data that missed its consensus. Also, Managers now believe that the Federal Reserve will not hike rates until at least September.
The Parker FX Index currently includes 33 programs managed by 29 firms located across such countries as the United States, Canada, UK, Germany, Switzerland, Sweden, France, Ireland, Singapore and Australia, whose programs manage nearly $40 billion in currency strategy assets.