NEW YORK (HedgeWorld.com)–The Parker FX Index was down 1.65% for May, with 75% of the trading programs in the index reporting negative returns. The performance range for the month was wide, from a high of 4.85% to a low of minus 11.67%.
Continuing a pattern, discretionary FX managers did significantly better than systematic managers. The discretionary component of the index is up slightly for the past three months while the systematic portion is down 6.7%.
Richmond Group Fund Co., Manakin Sabot, Virginia, was the top-performing fund in May, returning 4.85%. Rhicon Currency Management and Millennium Global Investments, both of London, were the runners up.
Bob Marcellus, Richmond Group president and chief portfolio strategist, said in a statement that the program was able to profit from both directions of the U.S. dollar move, taking advantage of the initial strength of the dollar early in the month and reversing the stance by the end of the month for additional gains.
“The dollar strength in Asia and South America was more pronounced and trended better throughout the month compared to Europe,” he said. “The program was able to further its gains in some of the Asian markets and South America.”
He attributed the fund’s strong performance and consistent low correlation to the peer group to two factors: adapting quickly to trends and diversification, in particular to Asia and South America.
The 53 funds in the Parker FX Index manage nearly US$13.5 billion in currency assets. Stamford, Connecticut-based Parker Global Strategies is the index manager (see ).
Contact Robert F. Keane with questions or comments at: