Data from Parker Global shows that meaningful returns from FX funds are still difficult to generate.
The overall Parker FX Index is reporting a –1.01% return for the month of January from the 62 programs surveyed (only 19 reported positive results, 42 incurred losses and one was flat.)
The sub-indices show that, with the lack of a real trend to follow, black boxes are having a hard time: the systematic index was down 1.93%, whereas the discretionary index declined 0.09%.
Since inception (January, 1986) the overall index is up an impressive +11.60% on an annualized basis; the figures for the systematic and discretionary approaches are +11.79% and +9.57%, respectively. The last two years show that the FX alpha game is getting harder – the overall index is up a mere 0.90%, the systematic index 0.58% and the discretionary 1.19%. Hardly worth getting it out from under the mattress.
