Parker FX Index Falls During March

STAMFORD, CT--Currency managers had a difficult March according to the Parker FX index which is down -1.30 per cent for the month.

All 44 contributors to the index reported March results, with just 13 posting positive results and 31 ending the month with losses.

On a risk-adjusted basis, the index is down by 2.25 per cent. The median return is -0.67 per cent. The performance range for the month is between 5.48 per cent and -11.66 per cent. Year-to-date the index is down -0.10 per cent.

The top performer for March, on a reported basis, is FX Concepts of New York City with returns of 5.48 per cent. Trendstat Capital Management of Scottsdale, Arizona ranked second, up 2.40 per cent.

London-based Titan Capital Management achieved third best performance, up 2.07 per cent. All three use a systematic trading style.

"Most of the action in the developed currency markets occurred in yen," said a spokesperson for FX Concepts.

"After a brief period of weakness midway through the month, the yen resumed its climb.

"This culminated with a spectacular rally in the yen on the last trading day of the month. The market celebrated the end of the Japanese fiscal year by sending the yen to new highs in anticipation of a relaxation by Japanese authorities in their efforts to keep yen strength contained.

"As a result, trading in the yen crosses was the source of virtually all the returns for the month. Performance in the Australian dollar/yen cross was particularly strong as our systems held on to most all of their short Aussie/long yen positions throughout the month. Trading in the dollar/yen and euro/yen also produced strong returns."

On a risk-adjusted basis, the top performers for March are the same three firms: FX Concepts, up 2.31 per cent; Trendstat Capital Management, up 1.21 per cent; and Titan Capital Management, up 1.11 per cent.

It is the first index to analyze unleveraged (risk-adjusted) performance in order to calculate pure currency alpha, or manager skill.

In addition to the broad Parker FX index, there are two style-driven sub-indexes: the Parker Systematic index and the Parker Discretionary index. The former tracks those managers whose decision process is rule based and the latter tracks managers whose decision process is judgmental.

During March, discretionary traders outperformed those using a systematic style on a reported basis. The Parker Discretionary index is down -0.14 per cent while the Parker Systematic index is down -1.77 per cent.

Conversely, on a risk-adjusted basis, the Parker Systematic index outperformed the Parker Discretionary index, down -2.11 per cent and -2.52 per cent respectively.

From inception (January, 1986 through March, 2000) the compounded annual return for the Parker Systematic index and the Parker Discretionary index, on a reported basis, is 18.97 per cent and 14.40 per cent, respectively.

On a risk adjusted basis, from inception, the Parker Systematic index and the Parker Discretionary index returned 3.76 per cent and 4.73 per cent, respectively.

The Parker FX index tracks the performance, or value-added, managers have generated from positioning long or short foreign currencies.