The Parker FX Index, a global benchmark that tracks the performance of leading currency funds, reversed course in its index performance during March 2016, failing to build off of last month’s solid gains en route to a tepid -0.03% MoM fall in March, with only 39% of programs in the index showing positive results, according to a Parker statement.
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Parker Global Strategies LLC (PGS) is an alternative investment management group that is proficient in direct investments via Master Limited Partnerships (MLPs). In particular, PGS also acts as an agent of managers for a variety of initiatives involving FX, having built a suite of investable manager indices for FX.
Back in February, the Parker FX Index managed to snap a recent string of uneven results, helping secure a healthy 0.91% MoM growth for the month of February 2016, with 62% of programs in the index having yielded positive results – the vast majority of these gains were held onto during March 2016 however, even if the index as a whole took a slight step back.
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Per the latest index results, March 2016, the index inflected back into negative territory, reporting results on 28 out of 31 programs, with seventeen incurring losses. On a risk-adjusted basis, the Index was down just -0.02% in December, while the median return for the month was -0.33%. A more in depth analysis of the regiment of programs in March 2016 showed a narrowing band of variation with a high of +6.23% and a low of -4.70%.
FX Index Composition
One of the other functions of the Parker FX Index is to track the performance of managers that are derived from positioning both longs and shorts of foreign currencies. The Index itself is equally weighted – as opposed to capitalization weighted – and controls for outliers or sways in performance that may not be representative of the currency manager universe.
At the present, the Parker FX Index includes a total of 31 programs managed by 27 firms located across such countries as the United States, Canada, the UK, Germany, Switzerland, Sweden, France, Ireland, Singapore and Australia, with programs managing nearly $45 billion in currency strategy assets.
December was a largely forgettable month for many asset managers, exchanges, and trading venues, with a unanimous decline seen across all FX volumes. With the Fed rate change now firmly in the rear-view mirror, it will be interesting to see if this trend holds into the new year with the USD under assault in January.