d IMM in recent years despite continued positive correlation between them Average IMM Cum P&L (5100m. 810 — Parker Index Uan-2003 = 0.1hs) — IMM P&L v. Parker (12m corr, rhs) 45 40 35 25 20 IS 10 5 -5 -' :•••••'*".. " -F 03 04 05 06 07 08 Sarre' Oeutsche Bre* 8bomberg Amino> ELP 09

loss since 2011 as currency volatility has overwhelmed macro trends (with the exception of USD/JPY in 2013) even as the correlation between weekly IMM P&L and Parker returns remains positive. It is possible that infra-week volatility causes profit seekers (especially momentum traders) to "buy high an