Sun, Jun 26, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index up +0.45% for the month of December, top performer up +9.80%

Monday, January 31, 2011
Opalesque Industry Update - The Parker FX Index is reporting a +0.45% return for the month of December. Sixty-two programs in the Index reported December results, of which thirty-five reported positive results and 27 incurred losses. On a risk-adjusted basis, the Index was up +0.18% in December. The median return for the month was up +0.42%, while the performance for December ranged from a high of +9.80% to a low of -8.23%. For 2010, the Parker FX Index is up +2.12%.

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 December, the Systematic Index was up +1.10%, while the Discretionary Index declined -0.21%. For the year, the Systematic Index is up +2.65% and the Discretionary Index is up +1.58%. On a risk-adjusted basis, the Parker Systematic Index was up +0.39% in December, and the Parker Discretionary Index was down -0.16%.

The top three performing constituent programs for the month of December, on a reported basis, returned +9.80%, +8.64% and +5.60%, respectively. The top three performers on a risk-adjusted basis returned +3.38%, +2.92% and +1.65%, respectively.

During the month mixed US economic data and renewed buying of the euro and commodity-sensitive currencies pushed the US dollar lower, with the DXY falling -2.7% on the month. The dollar came under further selling pressures as investors favored higher yielding assets on speculation of a sustainable global economic recovery.

The euro, which gained +2.6% versus the USD, initially benefitted from increased demand for risky assets, however it fell nearly -1% vs. the dollar in the final two weeks of the month, following credit rating downgrades in Portugal and Ireland. Furthermore, Moody’s placed Greece and Belgium on review for possible downgrades. The British pound was the worst performing currency in the majors, depreciating -0.35% against the US dollar on increased inflation expectations. With commodity markets rising during the month, many commodity currencies rallied against the US dollar. Despite torrential rains that hampered gold and coal production, Australia’s currency rose +5.8% amid strengthening demand for commodities from China. Other significant commodity currencies included the Norwegian krone and the South African rand, which rose +6.1% and +7.5%, respectively, versus the USD.

(press release)

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 300 month compounded annual return since inception (January, 1986 through December, 2010) is up +11.69% on a reported basis and up +3.14% on a riskadjusted basis.

From inception (January, 1986 through December, 2010) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.92% and +9.61%, respectively.

From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.80% 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 70 programs managed by 61 firms located in the US, Canada, UK, Germany, Switzerland, France, Ireland, Singapore and Australia. The 70 programs include a combination of 45 programs that are systematic and 25 programs that are discretionary. The 70 programs manage over $42 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...Corporate website: Source
KM

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Roundup: Hedge funds shrink as liquidations outpace new launches in Q1: hedge fund news, week 27[more]

    In the week ending 17 May, 2016, HFR said hedge fund liquidations declined narrowly to begin 2016 after rising sharply to conclude 2015, as investors positioned f

  2. Europe - Hedge funds keep powder dry over big Brexit bets, Hedge funds sense profit in Europe shock waves after Brexit vote, Soros warns Brexit may cause pound plunge worse than Black Wednesday, After Brexit: What will happen if Britain votes to leave the UK?[more]

    Hedge funds keep powder dry over big Brexit bets From FT.com: Hedge funds are shying away from big bets on Brexit, with many unwilling to risk further losses having already suffered a painful first half of the year. With the outcome of a UK vote on the country’s membership of the Europea

  3. News Briefs - ’Flash Boys’ get green light to launch stock exchange, Pimco says ‘storm is brewing’ in U.S. commercial real estate, Bankers get ready to rumble at Hedge Fund Fight Night, AIMA Australia celebrates 15th anniversary[more]

    ’Flash Boys’ get green light to launch stock exchange In an investing environment ruled by fast, the newest U.S. public stock exchange is banking on slow. Well, slower. IEX Group, which won Securities and Exchange Commission approval on Friday to go head-to-head with the New York Stock E

  4. Blackstone buys minority stake in New York-based credit hedge fund Marathon[more]

    Benedicte Gravrand, Opalesque Geneva: Blackstone Strategic Capital Holdings Fund, a vehicle managed by Blackstone Alternative Asset Management (BAAM), has acquired a passive, minority interest in Marathon Asset Management, for an undisclosed sum. Based in New York,

  5. Visium hedge fund manager Sanjay Valvani found dead[more]

    Benedicte Gravrand, Opalesque London: A hedge fund manager connected with an insider trading case has apparently committed suicide. Sanjay Valvani, 44, a hedge fund manager at New York-based Visium Asset Management, was found dead in an apparent suicide on 21 June in his Brooklyn residence,