Read time: 1 min

Parker FX Index Down in October; Discretionary Index Nudges Higher

The Parker FX Index fell -0.60% for the
month of October. On a risk-adjusted basis, the Index was down -0.27% from
September.

Twenty-eight of the thirty-one programs
in the Index reported October results, of which nineteen showed losses and nine
reported positive results.

The median return for the month was
-0.69%, while the performance for October ranged from a high of +2.18% to a low
of -3.63%.

The Parker FX Index shows that October’s
drop in performance continues a recent trend, with currency manager reported performance down -1.12% over the past three months and risk-adjusted performance down -0.51% over the same period.

In contrast, the index is up +0.84%
year-to-date, with risk-adjusted performance increasing by +0.39% in 2015. These figures improve if viewed over a 12 month period, with the Parker FX index up +2%, or +0.92% if risk-adjusted, during this time.

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 October, the Systematic Index
fell -1.31% month-on-month and -0.50% on a risk-adjusted basis month-on-month.

The Discretionary Index rose +0.11% and
+0.08% on a risk-adjusted basis in the same time frame.

Since inception in Jan 1986, the
headline index is +9.68% on a reported basis and +2.82% on a risk-adjusted
basis.

 

nick@profit-loss.com   
 Twitter @Profit_and_Loss

Galen Stops

Share This

Share on facebook
Facebook
Share on google
Google+
Share on twitter
Twitter
Share on linkedin
LinkedIn
Share on reddit
Reddit

Related Posts in