The tough year for currency managers continued into November with the Parker FX Index reporting a 0.26% loss for the month.
With 36 of the 39 programs in the Index reporting results, 15 reported positive results and 21 incurred losses. On a risk-adjusted basis, the Index was down -0.12% in November. The median return for the month was -0.17%, while the performance ranged from a high of +7.60% to a low of -5.32%.
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 November, the Systematic Index was down 0.18% and the Discretionary Index was down 0.35%. On a risk-adjusted basis, the Systematic Index was down 0.07% and the Discretionary Index was down 0.26%.
The compounded annual return since inception in January 1986 is up 10.21% on a reported basis and up 2.86% on a risk-adjusted basis. Over the same period, the compounded annual return for the Systematic Index and the Discretionary Index, on a reported basis, is +10.40% and +8.39%, respectively. The same return, on a risk-adjusted basis, for the Systematic Index and the Discretionary Index, is +2.55% and +3.37%, respectively.
Year-to-date the headline index is -1.04%, largely due to a tough year for systematic managers, the latter index being -2.39% for the year, while the Discretionary Index is up 0.30%.