Funds in the index reported an aggregate loss of 1.28% in August with 39 out of 58 funds incurring losses. The performance for the month ranged from a high of 4.03% to a low of -8.38%, says Parker, which does not disclose the names of the funds. The median return for the month was -0.86%.
Parker also has two style driven sub-indices: the Parker Systematic Index, which tracks those managers whose decision process is based on computer models, or systematic trading, and the Parker Discretionary Index, which tracks managers whose decision process is judgmental. During August, the Systematic Index declined 2.47% and the Discretionary Index decreased by 0.10%.
Headline news continued to disrupt the financial markets in August, with currency managers struggling to navigate the debt crises in Europe and the US. A disappointing resolution to the US debt ceiling debate, followed by the S&P downgrade of US debt, triggered a rapid reduction in risk. This resulted in strong flows away from the US dollar and higher yielding currencies such as the Canadian and Australian dollars, into the Swiss franc, Japanese yen, and gold.
The euro was higher by 1.34% against the dollar, largely in response to worsening economic data releases from the US and the threat of additional economic stimulus by the Federal Reserve.
The Parker FX Index is a performance-based benchmark that measures both the reported and the risk adjusted returns of global currency managers. The 308-month compounded annual return since inception in January 1986 is up 11.22% on a reported basis and up 3.03% on a risk adjusted basis.