Thu, Dec 8, 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. M&A - AllianzGI to acquire Sound Harbor Partners, SS&C completes acquisition of Wells Fargo's Global Fund Services business[more]

    AllianzGI to acquire Sound Harbor Partners Allianz Global Investors (AllianzGI), an active investment manager, announced that Sound Harbor Partners, a US private credit manager led by Michael Zupon and Dean Criares, have agreed to join its fast-growing Private Debt Platform. Under the te

  2. Hunt for yield pushes more investors into riskier assets[more]

    From FT.com: Pension funds and insurance companies have increasingly embraced riskier assets in their hunt for higher returns over the past five years. Alternative assets such as property, infrastructure, private equity and hedge funds have been bought up by institutional investors in a world where

  3. People - Nectar Financial hires senior investment team, Texas A&M replaces retiring foundation investment chief, Ex-Cadwalader partner Woolery makes another sudden exit, How to become a Python coder at a top hedge fund, by the co-CTO of Man AHL[more]

    Nectar Financial hires senior investment team Nectar Financial AG, a Swiss financial technology company for wealth and asset management, has announced that it has hired two key senior leaders to spearhead its digital asset management efforts. The company also announced that it has entere

  4. Activist News - Cognizant has introductory discussion with activist investor Elliott; to review letter, Starboard Value makes huge investment in Hewlett Packard, Hedge fund calls for removal of First NBC Bank CEO[more]

    Cognizant has introductory discussion with activist investor Elliott; to review letter From Indiatimes.com: Cognizant said it had an introductory discussion with Elliott Management after receiving the activist hedge fund's letter asking for a board shakeup, a buyback, a dividend and chan

  5. Opalesque Exclusive: Ireland relaxes treatment of direct lending funds[more]

    Bailey McCann, Opalesque New York: The Irish Central Bank has relaxed its treatment of direct lending funds, according to a recently released