Twenty-one managers reported positive results, 30 incurred losses and one manager was flat. The top-three performing constituent programmes returned 4.14%, 4.04% and 2.87%, respectively. The worst performing programme lost as much as 17.47% in the month. The median return for the month was -0.13%. While April returns showed improvement compared with the previous month, when the index was down 1.2% and less than a third of funds delivered positive returns, news-driven currency markets and a lack of identifiable trends continued to hinder the performance of alpha-seeking FX funds.
The US dollar was mixed for the month, with modest strength against the Mexican peso, euro and Swiss franc, and weakness against the Canadian dollar, Japanese yen and British pound.
“Fiscal deficits, sovereign warnings or downgrades, political uncertainty and changes in risk appetite and carry-trade adjustments continue to dominate price behaviour in currency markets,” states Parker.
“The FX markets lack a specific currency that serves as a true safe haven. The yen has been depreciating, and the stronger commodities-based units such as the Norwegian krone and Brazilian real are now seen as extremely overvalued.”
EURUSD had also been stubbornly trading in a narrow $1.30-1.34 range during April, before eventually breaking below $1.30 on May 8. Patient managers who maintained bearish EUR views might have finally received some respite from the difficult trading conditions, as EURUSD drifted towards $1.23-1.24 throughout the second half of the month.
Parker also reports unleveraged – or risk-adjusted – performance to calculate pure currency alpha, or manager skill. On this basis, the index was down 0.25% for the month.
In addition to the broad Parker FX Index, there are two style-driven sub-indices: the Parker Systematic Index, which tracks those managers whose decision process is rule based; and the Parker Discretionary Index, which tracks managers whose decision process is judgemental.
| Cumulative returns in theParker FX Index have been negative for the past 3 years |
 |
| Source: Parker FX Index |
During April, the Systematic Index was down 0.23%, and the Discretionary Index decreased by 0.95%. On a risk-adjusted basis, the Systematic Index was down 0.08% in April, and the Discretionary Index was down 0.69%.
The Parker FX Index includes 56 programmes managed by 47 firms located in the US, Canada, UK, Germany, Switzerland, Sweden, France, Ireland, Singapore and Australia.
The 56 programmes include a combination of 37 that are systematic and 19 that are discretionary. The 56 programmes manage more than $47 billion in currency strategy assets. The index also includes the performance of currency managers who are no longer trading to address survivorship bias. Disciplines include technical, fundamental and quantitative approaches.