Opalesque Industry Update - The Parker FX Index is reporting a +1.64% return for the month of September. Sixty two
programs in the index reported September results, of which forty-eight reported positive results, thirteen
incurred losses and one was flat. On a risk-adjusted basis, the Index was up +0.68% in September. The median
return for the month was up +1.17%, while the performance for September ranged from a high of +13.87% to a
low of -6.21%. Year to date, the Parker FX Index is up +2.28%.|
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 September, the Systematic Index was up +2.05% and the Discretionary Index was up +1.24%. Year to date, the Systematic Index is up +2.62% and the Discretionary Index is up +1.94%. On a risk-adjusted basis, the Parker Systematic Index was up +0.72% in September, and the Parker Discretionary Index was up +0.43%.
The top three performing constituent programs for the month of September, on a reported basis, returned +13.87%, +10.62% and +8.54%, respectively. The top three performers on a risk-adjusted basis returned +4.03%, +3.68% and +3.31%, respectively.
Currency markets in September were marked by the US dollar’s depreciation, with the US dollar Index retreating -5.39% on implications of further quantitative easing, dubbed the “QE2”. The Fed’s method for the QE2 will involve increased purchases of debt to support the economy and potentially a reduction in interest rates. In this setting, the market was particularly sensitive to US economic data releases, which was used to gauge the extent to which the Fed will implement the next round of quantitative easing. One of the greatest beneficiaries of the dollar’s descent was the Euro, which was up +7.6% relative to the dollar.
The Euro also benefitted from improved outlook after investors bought the maximum amount offered at Spanish and Irish debt sales, easing concerns over Europe’s sovereign debt crisis. The Japanese yen was one of the most volatile currencies in the G-10 after the Bank of Japan intervened in the currency market for the first time since 2004 on September 15th. Japan’s government had been under pressure to intervene, since the yen’s strength had been hurting the export dependent economy. Elsewhere, commodity currencies gained in September, benefitting from the weakening USD and rising commodity prices.
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 used to analyze unleveraged (risk-adjusted) performance in order to calculate pure currency alpha, or manager skill. The 297 month compounded annual return since inception (January, 1986 through September, 2010) is up +11.82% on a reported basis and up +3.16% on a risk adjusted basis.
From inception (January, 1986 through September, 2010) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +12.05% and +9.72% respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.82% and +3.74%, 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 71 programs managed by 62 firms located in the US, Canada, UK, Germany, Switzerland, France, Ireland, Singapore and Australia. The 71 programs include a combination of 48 programs that are systematic and 23 programs that are discretionary. The 71 programs manage over $37 billion in currency strategy assets. The Index also includes the performance of currency managers 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