January loss for Parker FX
The Stamford-based index provider said extreme volatility dominated the currency markets during January. The JP Morgan Volatility Index was up 0.2% during the month, and jumped as high as 14.9%. Such levels tend to hurt trend-following strategies, Parker FX commented. Yen strength, up 5.9% against the dollar, had also hit managers who had been playing the carry trade going into January.
Of the 77 managers reporting into the index, 44 incurred losses and 33 were up for the month. The median
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