Currency managers in both the Parker FX Index and the Parker Emerging FX Index started 2003 on a positive note, with the former index rising 2.45% in January and the latter producing a 0.80% rise.
All 49 programmes in the FX Index reported results, 73% of them positive. The performance range for the month was between 11.28% and -5.73%, the median return was up 1.16%. On a risk-adjusted basis the index was up 1.21%.
Top performer on a reported basis was Appleton Capital Management of Dublin, which rose 11.28% for its 25% risk programme. DKR Capital of Stamford, Connecticut was second ranked, rising 9.47%, while Quantitative Financial Strategies (QFS), also of Stamford, was third ranked, up 8.63%.
“The main drivers behind the performance for the month of January were the continued decline in the fortunes of the US dollar and also the appreciation of the Canadian dollar,” says Jeremy O’ Friel, head of marketing at Appleton Capital Management. “The latter is a currency that we added to the portfolio 18 months ago after a lengthy evaluation period. Additionally, we have been fortunate to have been able to put some volatility forecasting research to work in the last few months that have added to the performance of the programme. I would think that this is partially responsible for the outperformance.”
On a risk-adjusted basis, the top performer in January was QFS, which rose 3.09%. Alder Capital of Dublin filled the second and third spots for two of its funds, Global 20 and Global 10, which rose 2.30% and 2.25%, respectively.
Systematic traders outperformed discretionary on a reported basis. The Parker Systematic Index rose 3.35% while the Parker Discretionary Index managed to stay above water, rising just 0.01%. On a risk-adjusted basis, systematic traders also outperformed their discretionary counterparts, the systematic index rising 1.32% and the discretionary falling 0.13%.
From inception in January 1986, the compounded annual return for the systematic index is 17.06% on a reported basis and 3.59% on a risk-adjusted basis. The discretionary index has returned 12.93% on a reported basis and 4.49% on a risk-adjusted basis in the same period.
Emerging Managers Up Again
The Parker Emerging FX Index rose for the fourth month in succession in January, by 0.80%. All four managers in the programme reported results, on a risk-adjusted basis, the index rose 0.65%.
“Emerging market managers were able to profit in January,” says Virginia Parker, president of Parker Global Strategies and creator of the index. “Managers achieved gains from positions in Asia as the US dollar continued to weaken.”
The compounded annual return of the emerging index since inception in April 1992 is 10.10% with an annualised standard deviation of 9.87%, a maximum draw down of 22.65% and a Sharpe ratio of 0.52 – all on a reported basis.