Currency managers had a tough June according to the Parker FX Index, which fell 1.52% on the month, with just five of the 30 funds to report results showing a positive return.
On a risk-adjusted basis, the Index was down 0.68% in June, the median return was -1.19%, while the performance ranged from a high of +3.59% to a low of -7.27%.
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 June, the Systematic Index was down 1.34% and the Discretionary Index was down 1.70%. On a risk-adjusted basis, the Systematic Index was down 0.51% and the Discretionary Index was down 1.29%.
The top three performing constituent programs for the month of June on a reported basis returned +3.59%, +0.97%, and +0.46%, respectively. The top three performers on a risk-adjusted basis returned +1.26%, +0.72% and +0.42%, respectively.
The compounded annual return since inception in January 1986 is +9.82% on a reported basis and +2.85% on a risk- adjusted basis.
From inception the compounded annual return for the Systematic Index and the Discretionary Index, on a reported basis, is +10.06% and +8.03%, respectively, while on a risk-adjusted basis, the Systematic Index and the Discretionary Index, is +2.56% and +3.33%, respectively.
Colin_lambert@profit-loss.com Twitter @lamboPnL