The Parker FX Index fell for the third consecutive month in March, and for the sixth month in the last seven. The Emerging FX Index however, continued its recent good performance, rising for a sixth consecutive month.
The FX Index reported a 2.14% drop in March, leaving it down 3.66% year-to-date. All 44 programmes in the index reported results, 36% of them positive. On a risk-adjusted basis the index fell 1.65%, the median return was -0.81% and the performance range from +3.62% to -11.74%
Top performer for March on a reported basis was DKR Capital of Connecticut, with a 3.62% return. Second best was First Quadrant of California at +3.38%, Bridgewater Associates, also of Connecticut, achieved third best performance at +3.28%.
Laurie Beaty, vice president of DKR Capital, says, “The big winning positions were early long bets on the Australian and New Zealand dollars against the US dollar and the Japanese yen as well as a long bet on the Mexican peso. A long US dollar position against the Japanese yen was liquidated before the big downward move of the exchange rate early in the month, and losses were kept at a minimum. Small losses were also recorded trading the euro due to an exceptionally tight trading range of the currency against the US dollar during the month. Good euro opportunities should present themselves when the currency finally moves out of its range.”
On a risk-adjusted basis the top performers in March were Allied Irish Capital Management of Dublin, +2.97%, TAL Global Asset Management of Montreal, +2.90%, and First Quadrant, +1.78%.
The compounded annual return since inception in January 1986 is up 16.45% on a reported basis, and +3.82% on a risk-adjusted basis.
Discretionary traders outperformed systematic on both a reported and risk-adjusted basis in March. The Discretionary Index rose 0.40% and the Systematic Index fell 2.99% on a reported basis, risk-adjusted the returns were +0.60% and -1.79% respectively. From inception, the Discretionary Index has a compounded return of 16.84%, the Systematic 13.14%. Risk-adjusted the two indices have a compounded return since inception of 4.40% and 3.44% respectively.
Emerging FX Continues to Rise
By contrast the Parker Emerging FX Index had another positive month, rising 0.80%, for a 2.17% return year-to-date. All six managers reported results, on a risk-adjusted basis the index rose 0.71% on the month.
Virginia Parker, president of Parker Global Strategies and creator of the index, says, “Most managers produced positive results during the month of March. The increases in oil prices driven by Middle East tensions provided opportunities for emerging market managers.”
The compounded annual return of the Emerging FX Index since inception in April 1992 is 9.84%, with an annualised standard deviation of 10.14%, a maximum drawdown of 22.65%, and a Sharpe ration of 0.48 – all on a reported basis.