Global currency funds posted gains in December as the euro weakened further against the major currencies, according to the Parker FX Index report from fund-of-funds manager Parker Global Strategies.
Funds in the index reported an aggregate gain of 0.49% in December with 31 out of 52 programs in the index reporting positive results. A total of 20 incurred losses and one reported that it was flat. The median return for the month was 0.28%, while the performance for December ranged from a high of 7.49% to a low of -1.39%.
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 December, the Systematic Index rose by 0.80%, and the Discretionary Index was up 0.19%.
With little evidence that the European sovereign debt crisis has been sufficiently contained, the euro weakened further against the US dollar, Japanese yen, British pound and Swiss franc on fears of rating downgrades across the Eurozone.
The euro summits have been disappointing, and after two years of misleading headline news, investors appear to be capitulating, helping the euro to trade through key support levels, the Parker report says.
For the year, the euro was the worst performing currency among the developed nations, declining 8.7%, 3.2%, and 3.0% versus the Japanese yen, US dollar, and British pound, respectively. The DXY index was up 2.29% in December, despite the Federal Reserve’s commitment to maintain a near zero interest rate policy for 2012.
While there was a sell-off in gold and oil, commodity-sensitive currencies were higher in December, supported by positive US economic data releases and thin trading volume in mid-December.
The Parker FX Index is a performance-based benchmark that measures both the reported and the risk-adjusted returns of global currency managers. The 312-month compounded annual return since inception from January 1986 through December 2011 is up 10.71 % on a reported basis and up 2.85% on a risk-adjusted basis.