Following two strong months, the Parker FX Index fell by 1.40% in July, while similarly, the Parker Emerging FX Index also fell – for the second successive month – by 1.94%.
In the FX index, 45 out of 46 managers in the programme reported results, 33% of them positive. On a risk-adjusted basis, the index is down 0.76%, the median return is -0.70%, the performance range for the month is between 6.13% and -11.16%.
Top performer in July on a reported basis is Dynex Corporation of Monaco, up 6.13%. Plimsoll Capital of Summit, New Jersey, ranked second, up 2.20%, and CRT Currency Exchange of Toronto, ranked third, up 1.71%.
“The champagne corks popped too early,” says Peter Panholzer, chief trader at Dynex Corporation. “After the general euphoria of reaching par with the dollar, the euro went south quite unpredictably. Market turns caused losses. We cut out of euro longs above 1.01 and out of short dollar/yen at just above 117. Thereafter we left the month basically alone.”
Dynex Corporation is also top performer on the month on a risk-adjusted basis, rising 2.33%. Second ranked is Allied Irish Capital Management of Dublin, up 2.16%. Coral Rock Investments of Mount Pleasant, North Carolina, ranks third, rising 1.95%.
The compounded annual return of the FX index since inception in January 1986, is 16.84% on a reported basis, and 3.98% on a risk-adjusted basis.
Discretionary traders outperformed systematic traders during July, although both the Parker Discretionary Index and the Parker Systematic Index fell on the month, by 0.51% and 1.69%, respectively. On a risk-adjusted basis, the systematic index fell 0.73%, as did the discretionary index, by 0.95%.
The compounded annual return from inception on a reported basis for the systematic index is 17.36%, the discretionary 13.17%. On a risk-adjusted basis since inception, the systematic index has returned 3.61% and the discretionary 4.49%.
Having broken a very long run of positive returns in the month of June, the Parker Emerging FX Index was unable to rebuild in July, falling 1.94%. All six managers in the programme reported results. Risk-adjusted, the index fell 2.06% on the month, year-to-date it is up 2.53% on a reported basis.
“Emerging markets managers experienced another difficult month during July,” says Virginia Parker, president of Parker Global Strategies and creator of the index. “The ongoing problems in Brazil contributed to the poor performance for the month.”
The compounded annual return of the emerging index since its inception in April 1992 is 9.55%, this with an annualised standard deviation of 10.04%, a maximum draw down of 22.65% and a Sharpe ratio of 0.45, all on a reported basis.