Bode & Associates, Inc.
1415 Plandome Road Manhasset, NY 11030
(516) 869-6610 Fax (516) 869-6611

FOR IMMEDIATE RELEASE

March 29, 2000

PARKER FX INDEX IS FLAT AT 0.05%

Dynex Corporation is Top Performer for February – Up 4.54%

STAMFORD, CT -- Currency managers treaded water during February according to the Parker FX Index, which is essentially flat at 0.05%. All 44 programs in the Index reported February results, with 27 programs posting positive results and 17 ending the month with losses. On a risk-adjusted basis, the Index is down -0.56%. The median return is 0.21%. The performance range for the month is between 4.54% and –7.63%.

The top performer for February, on a reported basis, is Dynex Corporation of Monaco with returns of 4.54%. Compucom Finance of Zug, Switzerland ranked second, up 3.57%. Campbell & Company of Towson, Maryland achieved third best performance, up 3.50%. All three use a systematic trading style.

"For Dynex, one month compressed into one night -- the night from Sunday, February 27 to Monday the 28th," according to Peter Panholzer, president. "Up to that date, we were positive by about 1%. The fall of the Euro to .94 (from a high of over .99 on the previous Friday) occurred within one hour and retraced to .97 within six hours (then back to .99 the next day). This huge shake-out hurt primarily long-term traders, but benefited Dynex’s intra-day short-term strategy."

On a risk-adjusted basis, the top performers for February are Bridgewater Associates of Westport, Connecticut, up 1.89%; Dynex Corporation, up 1.85%; and Graham Capital Management of Stamford, Connecticut, up 1.67%.

The Parker FX Index is a performance-based benchmark that measures both the reported and the risk adjusted returns of global currency managers. It is the first Index to analyze unleveraged (risk-adjusted) performance in order to calculate pure currency alpha, or manager skill.

The 170-month compounded annual return since inception (January, 1986 through February, 2000) is up 18.66% on a reported basis and 4.23% on a risk adjusted basis.

In addition to the broad Parker FX Index, there are two style-driven sub-indexes: the Parker Systematic Index and the Parker Discretionary Index. The former tracks those managers whose decision process is rule based, and the latter tracks those managers whose decision process is judgmental.

During February, discretionary traders outperformed those using a systematic style on a reported basis. The Parker Discretionary Index is up 0.20% while the Parker Systematic Index is down -0.01%. Conversely, on a risk-adjusted basis, the Parker Systematic Index outperformed the Parker Discretionary Index, down -0.48% and –1.02% respectively.

From inception (January, 1986 through February, 2000) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is 19.24% and 14.50%, respectively. On a risk adjusted basis, from inception, the Parker Systematic Index and the Parker Discretionary Index returned 3.83% and 4.77%, respectively.

The Parker FX Index tracks the performance, or value-added, managers have generated from positioning long or short foreign currencies. The Index is equally weighted, as opposed to capitalization weighted, to preclude very large managers from swaying the performance in a direction that may not be representative of the currency manager universe. Parker Global Strategies applies its model to the performance of a representative currency portfolio or composite, net of fees, and excluding interest for each currency manager.

The Parker FX Index currently includes 44 programs managed by 38 firms located in the US, Canada, UK, Ireland, and Switzerland. The 44 programs manage over $13 billion in currency assets and include a combination of 31 programs that are systematic and 13 programs that are discretionary. Disciplines include technical, fundamental, and quantitative.

Parker Global Strategies is a manager of managers and consultant specializing in alternative investment strategies across a broad range of global asset classes including foreign exchange, fixed income, equities, and commodities. Parker Global Strategies applies "Group of Thirty" and "Risk Standards Working Group" recommendations for independent risk measurement and management oversight.

 

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One chart attached.

For further information: Virginia Reynolds Parker

President
Parker Global Strategies, LLC
Greyrock Plaza
177 Broad Street
Stamford, CT 06901
(203) 358-4000

Parker FX Indexes
Performance as at February 2000

Reported1

Risk-Adjusted2

Parker FX Index

Parker Systematic Index

Parker Discretionary Index

Parker FX Index

Parker Systematic Index

Parker Discretionary Index

February 2000

0.05%

-0.01%

0.20%

-0.56%

-0.48%

-1.02%

Year-To-Date

1.21%

1.49%

0.55%

0.33%

0.52%

-1.46%

Last 3 Months

0.78%

0.72%

0.95%

-0.80%

-0.66%

-1.60%

Last 6 Months

0.72%

0.70%

0.70%

-2.50%

-1.89%

-6.96%

Last 12 Months

1.31%

1.95%

-0.35%

-4.74%

-2.95%

-17.99%

Last 24 Months

11.03%

13.04%

6.03%

0.80%

2.10%

-9.40%

Last 36 Months

15.47%

16.87%

11.56%

-0.41%

0.73%

-7.90%

1Net of fees, including interest.

2Net of fees, excluding interest and scaled to a 5% volatility.

© 2000 Parker Global Strategies, LLC

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