The Parker FX Index, a worldwide benchmark that tracks the performance of leading currency funds, could not escape a downward consolidation in its index performance, this time falling -0.51% MoM for the month of December 2015 from November 2015, with only 47% of programs in the index showing positive results, according to a Parker statement.
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.
Last month, the Parker FX Index orchestrated an upbeat monthly rise 0.87% MoM for the month of November 2015 from October, having seen 69% of programs in the index yield positive results – December 2015 failed to capture this momentum however.
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In its latest release for December 2015, the index slipped back into negative territory, reporting results on 30 out of 31 programs, with sixteen incurring losses. On a risk-adjusted basis, the Index was down -0.23% in December, while the median return for the month was -0.08%. A closer analysis at the panel of programs in December 2015 showed a widening band of performance with a high of +5.68% and a low of -6.43%.
FX Index Composition
The Parker FX Index also tracks the performance of managers that are derived from positioning both longs and shorts of foreign currencies. The Index 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.
Currently, 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.