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Currency Managers Down in May

Currency managers struggled in May
according to the Parker FX Index which reports a 0.31% decline for the month
with 18 of the 28 reporting programmes in negative territory.

On a risk-adjusted
basis, the Index was down 0.14%, the median return was -0.33%, while the
performance ranged from a high of +7.62% to a low of -4.53%.

In addition to the
broad Parker FX Index, there are two style driven sub-indices: the Parker
Systematic Index, which tracks those managers whose decision process is rule
based, and the Parker Discretionary Index, which tracks managers whose decision
process is judgmental.

During May, the
Systematic Index was down 0.07% and the Discretionary Index was down 0.54%. On
a risk-adjusted basis, the Systematic Index was down 0.03% and the Discretionary
Index was down 0.42%.

Year-to-date the
headline Index is up 1.14% on a reported basis and up 0.52% risk-adjusted.

The compounded annual
return since inception in January 1986 is up 9.55% on a reported basis and up 2.81%
on a risk- adjusted basis. Over the same period, the compounded annual return
for the Parker Systematic Index and the Parker Discretionary Index, on a
reported basis, is +9.85% and +7.75%, respectively. On a risk-adjusted basis, the
compounded annualised return for the Parker Systematic Index and the Parker
Discretionary Index, is +2.56% and +3.24%, respectively.

Colin_lambert@profit-loss.com

Twitter@lamboPnL

Twitter
@Profit_and_Loss

Colin Lambert

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