ODD LOTS

Parker Global Strategies reports currency managers had a weak year in 1998. The Parker FX Index was up 4.59 per cent for the year on a reported basis and negative 0.19 per cent on a risk-adjusted basis. This compares with reported returns of 12.52 per cent for 1997, and risk-weighted returns of 5.97 per cent. Systematic managers marginally outperformed their discretionary counterparts with the Parker Systematic Index at 4.55 per cent for the year, compared with 4.46 per cent for the Discretionary Index, on a reported basis.

Parker also reports that December was a poor month for currency managers. The Parker FX Index was down to a negative 1.49 per cent for the month on a reported basis and negative 1.48 on a risk-adjusted basis. Of the 56 programmes the index tracks, 29 ended the month with losses. "December was a month of transition and indecision," commented Joerg Schroeder, managing director of Parker Global Strategies. "The anticipation of the conversion of the euro had most traders laying low in order to protect 1998 results. Those brave souls who kept positions during the month were rewarded with a surprise dollar/yen downturn." Systematic traders suffered more than those using a discretionary management style. The Parker Systematic Index is down to a negative 2.17 per cent on a reported basis and negative 1.51 per cent on a risk-adjusted basis. Meanwhile, the Discretionary Index is up 0.16 per cent on a reported basis but negative 0.45 per cent on a risk-adjusted basis. Advanced Trading Strategies of Dublin, Ireland, was the top performing fund manager for the month, based on reported and risk-adjusted results. London-based LFG Capital Management's Nexus Programme also performed well, up 1.5 per cent on a reported basis and 1.42 per cent on a risk-adjusted basis.

The CME reports open interest in Brazilian real futures stands at 12,059 positions, a tenfold increase on levels a year ago. Average daily volume in the contract has been 1,812 contracts traded since January 13, compared to average daily volume of 315 contracts throughout 1998.

The Bank of Japan reports average daily dollar/yen turnover for the week ended January 22 was $11.3 billion, down from $16.3 billion the previous week ended January 15. Average daily euro/dollar turnover volume for the same period was $2.0 billion, down from $2.6 billion the previous week. The figures do not include results for Friday, January 15, which was a national holiday in Japan.