Further confirmation of 2010 as a difficult year for the returns of global currency managers came from Parker FX Index data for November received this week.
The index reports a minus 0.39% return for the month following on from the minus 0.12% return in October. The discretionary approach trumped the systematic one in November: returns were respectively a positive 0.26% and minus 1.03%. It’s not unusual to see the black boxes get a kicking as liquidity dries up.
Last month we dwelt on the fact that, over the past three years, the discretionary index had twice the return of that of systematic funds (9.5% versus 4.41%). Perhaps this month it is fair to disclose the figures reported by Parker Global Strategies for the performance of the discretionary and systematic indices since their inception in 1986. The comparison of unadjusted compounded annual returns of the discretionary and systematic indices favours the algorithms: they are respectively 9.65% and 11.91%. But on a risk-adjusted (that is, unleveraged) basis the returns are reversed in order and, as one might expect, much lower: the discretionary index compounded annual return is 3.76% and the systematic index 2.79%