The Parker FX Index, a worldwide benchmark that tracks the performance of leading currency funds, has incurred a decline of -0.8% MoM for the month of September 2015 from August, with only 26% 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 orchestrated a climb of 0.4% MoM during August 2015, with 55% of the programs in its index showing positive results.
In its latest release in September 2015 however, the index was far less robust, yielding returns on 29 out of 31 programs, with 21 incurring losses. On a risk-adjusted basis, the Index was down -0.35% in September, while the median return for the month was -0.5%. A closer look at the panel of programs in September 2015 indicated a high of just +1.59% and a low of -5.0% by performance.
FX Index Composition
The Parker FX Index also 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.
A few major determinants of the downtrodden performance during September 2015 were the lingering specter of the Federal Reserve’s hypothesized monetary policy moves. Moreover, the USD was notably higher on mitigated levels of risk appetite, which also pointed to uninspiring performances by several emerging markets (EM) currencies.
At 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, whose programs manage nearly $45 billion in currency strategy assets.
Cumulative Performance of Parker FX Constituents for September 2015, Source: Parker Global Strategies
