Fri, Nov 28, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index -1.01% for the month of January, top performer up +4.19%

Friday, February 25, 2011
Opalesque Industry Update - The Parker FX Index is reporting a -1.01% return for the month of January. Sixty-two programs in the Index reported January results, of which nineteen reported positive results, forty-two incurred losses and one was flat. On a risk-adjusted basis, the Index was down -0.43% in January.The median return for the month was down -0.83%, while the performance for January ranged from a high of +4.19% to a low of -9.17%.

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 January, the Systematic Index was down -1.93%, while the Discretionary Index declined -0.09%. On a risk-adjusted basis, the Parker Systematic Index was down - 0.69% in January, and the Parker Discretionary Index was down -0.07%.

The top three performing constituent programs for the month of January, on a reported basis, returned +4.19%, +4.08% and +3.06%, respectively. The top three performers on a risk-adjusted basis returned +2.83%, +2.59% and +1.83%, respectively.

The currency markets remained volatile in January, the result of the ongoing sovereign debt crisis in Europe, questionable US fiscal policy, the threat of inflation in emerging markets, and political instability in Egypt and Tunisia.

The fiscal crisis in Europe was further complicated following the ECB’s policy statement in early January, which referenced short-term price pressures in the Eurozone. Anticipating imminent interest rate hikes, the euro rallied over +6%.

The credit rating downgrades of both Portugal and Ireland led to a sell off of the euro in the final two weeks of the month. Selling pressure was further amplified after Moody’s placed Greece and Belgium on review for possible downgrades. The British pound gained +2.5% versus the US dollar for the month. During the first half of January, the pound reached the strongest level against the euro in over four months as investors bet that the UK economy was in better shape than the Eurozone nations. In the second half of the month the pound declined -0.8% relative to the US dollar following the news of larger than expected UK CPI figures: inflation hit an 8-month high of +3.7% in December and economists expect it will stay well above +3% through 2011.

Commodity currencies were the worst performers for the month, as commodities, namely precious metals, fell the most in six months. The currencies of the largest gold exporters, including Australia, Canada and South Africa, declined -2.4%, -0.3% and -7.7%, respectively.

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 301 month compounded annual return since inception (January, 1986 through January, 2011) is up +11.60% on a reported basis and up +3.11% on a riskadjusted basis. From inception (January, 1986 through January, 2011) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.79% and +9.57%, respectively.

From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.77% and +3.73%, 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 $43 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 Greens...Corporate website:Source
PD

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. Unlucky Paulson & Co. rebrands $1.6bn Recovery Fund after 13% drop[more]

    From Businessweek.com: A maturing U.S. economic recovery is prompting Paulson & Co. to change course. The $19 billion hedge fund firm, led by billionaire John Paulson, told investors on a conference call this month that the Paulson Recovery Fund will be renamed Paulson Special Situations Fund on Jan

  2. Opalesque Roundtable: Islamic Finance races ahead with Sukuk, the first managed account platform, and foreign demand[more]

    Komfie Manalo, Opalesque Asia: A number of developments took place within Islamic finance in the past years, including the launch of a Islamic managed account platform and the further growth of the sukuk space that saw this instrument evolve from being a type of an ABS security that was rarely

  3. CTAs , event-driven strategies lead hedge funds recovery in mid-November[more]

    Komfie Manalo, Opalesque Asia: November’s performance proves to be in sharp contrast to the previous month, with equities further consolidating their upswing last week, according to the latest Lyxor Asset Management’s Weekly Brief. CTA funds als

  4. Fund Profile - A complex hedge fund strategy works for United Technologies[more]

    From Institutionalinvestor.com: Reports that portable alpha is dead have been greatly exaggerated, as Mark Twain might have phrased it. Another Connecticut Yankee, giant United Technologies Corp., is gearing up to grow its successful, nearly decade-long portable-alpha program. The UTC strategy took

  5. Opalesque Exclusive: The unintended consequences of Basel III[more]

    Benedicte Gravrand, Opalesque Geneva: Bijesh Amin, co-founder and managing director of Indus Valley Partners (IVP), a technology solutions and services firm focused on the alternative asset management industry, has recently observed