The Parker FX Index, a global benchmark that tracks the performance of leading currency funds, has reported a marginal rise of 0.4% MoM for the month of August 2015 from July, with approximately 55% 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). In particular, 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 saw a jump of just 0.49% MoM in the month of July 2015, with over half of the programs in the index showing positive results.
In its latest release in August 2015, the index yielded returns on 16 out of 29 programs, with 13 incurring losses. On a risk-adjusted basis, the Index was up +0.18% in August, while the median return for the month was +0.38%. A closer look at the panel of programs in August 2015 indicated a high of +7.95% and a low of -5.30% by performance.
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FX Index Composition
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 August 2015 was the market-wide prevalence of risk aversion, wrought by lingering concerns in the Chinese economy. In addition, markets have been grappling the mixed signals of a rate hike by the Federal Reserve. Finally, emerging Market currencies were largely down as a whole in August, largely attributed to China and world growth concerns.
At the present, the Parker FX Index includes 31 programs managed by 27 firms located across such countries as the United States, Canada, UK, Germany, Switzerland, Sweden, France, Ireland, Singapore and Australia, whose programs manage nearly $45 billion in currency strategy assets.