Opalesque Industry Update - The Parker FX Index is reporting a +0.54% return for the month of July. Fifty-six
programs in the index reported July results, of which thirty-four reported positive results and twenty-two incurred
losses. On a risk-adjusted basis, the Index was up +0.22% in July. The median return for the month was up
+0.27%, while the performance for July ranged from a high of +6.82% to a low of -4.85%. Year to date, the Parker
FX Index is up +1.26%.|
In addition to the broad Parker FX Index, there are two style driven sub-indices: the Parker Systematic Index, which tracks those managers whose decision process is rule based, and the Parker Discretionary Index, which tracks managers whose decision process is judgmental. During July, the Systematic Index was up +0.34% and the Discretionary Index was up +0.73%. Year to date, the Systematic Index is up +1.00% and the Discretionary Index is up +1.52%. On a risk-adjusted basis, the Parker Systematic Index was up +0.12% in July, and the Parker Discretionary Index was up +0.25%.
The top three performing constituent programs for the month of July, on a reported basis, returned +6.82%, +5.78% and +2.17%, respectively. The top three performers on a risk-adjusted basis returned +3.50%, +2.02% and +1.94%, respectively.
In July, currency markets were defined by a significant decline in the US dollar relative to most G-10 currencies. The DXY Index declined -5.21%. Dollar weakness was spurred by a flight to riskier assets on the back of positive news flows from Europe. Furthermore, weaker-than-expected second quarter GDP figures accentuated selling pressures on the US dollar. The president of the Federal Reserve Bank of St. Louis then surprised the market by providing dovish remarks, saying that financial conditions had become less supportive of economic growth. This led investors and economists alike to believe the Fed will not only keep its interest rates low but could possibly bring back stimulus measures by further reducing the Fed Funds Rate. All European currencies appreciated against the US dollar due to a combination of the US dollar’s troubles and stronger economic indicators in the different regions. During the month, the Euro, British pound and Swiss franc gained +6.65%, +4.98% and +3.44%, respectively, vs. the USD. The Japanese yen gained +2.27% against the dollar; however it declined against most of the other G-10 currencies after the Japan’s factory output declined by -1.5% in June from the previous month.
The Parker FX Index is a performance-based benchmark that measures both the reported and the riskadjusted returns of global currency managers. It is the first index used to analyze unleveraged (risk-adjusted) performance in order to calculate pure currency alpha, or manager skill. The 295 month compounded annual return since inception (January, 1986 through July, 2010) is up +11.86% on a reported basis and up +3.15% on a riskadjusted basis.
From inception (January, 1986 through July, 2010) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +12.06% and +9.77% respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.81% and +3.75%, respectively.
The Parker FX Index tracks the performance, or value-added, that 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 67 programs managed by 57 firms located in the US, Canada, UK, Germany, Switzerland, France, Ireland, Singapore and Australia. The 67 programs include a combination of 45 programs that are systematic and 22 programs that are discretionary. The 67 programs manage over $36 billion in currency strategy assets. The Index also includes the performance of currencymanagers who are no longer trading in order to address survivorship bias. Disciplines include technical, fundamental and quantitative.
Founded in 1995, Parker Global Strategies specializes in designing and managing multi-manager hedge fund
strategies for institutional clients across the globe and providing risk management oversight. PGS also designs and
manages niche fund of hedge funds including Currency, US Energy Infrastructure, Transparency, CTAs and Green... Corporate website: Source