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

Parker FX Index down 0.06% in March, top performer up 4.69%

Tuesday, May 03, 2011
Opalesque Industry Update - The Parker FX Index is reporting a -0.06% return for the month of March. Sixty-six programs in the Index reported March results, of which thirty-two reported positive results, thirty-three incurred losses, and one program was flat. On a risk-adjusted basis, the Index was down -0.03% in March. The median return for the month was down -0.07%, while the performance for March ranged from a high of +4.69% to a low of - 4.18%.

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 March, the Systematic Index was flat, while the Discretionary Index declined -0.12%. On a risk-adjusted basis, the Parker Systematic Index was flat in March and the Parker Discretionary Index was down -0.09%.

The top three performing constituent programs for the month of March, on a reported basis, returned +4.69%, +3.42% and +3.06%, respectively. The top three performers on a risk-adjusted basis returned +1.95%, +1.80% and +1.38%, respectively.

The currency markets remained volatile in March, influenced by the tragic events in Japan, the escalating crisis in Libya, and inflationary pressures in Europe. For the month, the US Dollar Index was down -1.34%, bringing its year-to-date decline against a basket of G7 currencies to -4.01%. Weakness in the index was largely influenced by the euro, which was up +2.72% for the month. Despite on-going weakness in the periphery, inflation in Europe accelerated to +2.6%, 60 basis points above the bank’s targeted threshold. The ECB has signaled its intention to raise rates in April, followed by a gradual pace of interest rate hikes for the remainder of the year.

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 303-month compounded annual return since inception (January, 1986 through March, 2011) is up +11.52% on a reported basis and up +3.10% on a risk- adjusted basis.

From inception (January, 1986 through March, 2011) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.73% and +9.48%, 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 +3.71%, 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 66 programs managed by 56 firms located in the US, Canada, UK, Germany, Switzerland, France, Ireland, Singapore and Australia. The 66 programs include a combination of 43 programs that are systematic and 23 programs that are discretionary. The 66 programs manage over $48 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: www.parkerglobal.com

- FG

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. Paul Tudor’s hedge fund trims fee amidst poor performance, keep investors[more]

    Komfie Manalo, Opalesque Asia: Paul Tudor’s $11.6bn hedge fund firm Tudor Investment Corp. announced on Monday it would slash down fees of one of its biggest fund to 2.25% of assets and 25% of profits amidst backlash arising from poor performa

  2. Ares Capital to buy American Capital in $3.4 billion deal[more]

    From PIOnline.com: Ares Management's business development company Ares Capital Corp. is buying troubled BDC American Capital for $3.43 billion, said a joint news release by the BDCs and another release by Ares Management. Ares Capital Corp.'s assets are expected to grow to about $13.2 billion when t

  3. Performance - Hedge fund ETFs take a battering, Have long-short credit funds delivered?[more]

    Hedge fund ETFs take a battering From ETFStrategy.co.uk: It was a blow for the hedge fund world when Hillary Clinton’s son-in-law Marc Mezvinsky announced he would be closing his Greek-focused fund after it plummeted in value by 90%, just two years after it launched. For passive investor

  4. West Virginia objects to Alpha Natural sale to hedge fund[more]

    From AP/Heraldcourier.com: West Virginia's environmental authority has filed an objection to the proposed $500 million sale of Alpha Natural Resources' assets to a hedge fund, arguing that the deal could leave the state holding hundreds of millions in reclamation liabilities. The Register-Hera

  5. Launches - Man Group and American Beacon launch new emerging debt fund, Nikko AM launches new Japan equity UCITS fund[more]

    Man Group and American Beacon launch new emerging debt fund American Beacon Advisors, an experienced provider of investment advisory services to institutional and retail markets, launched the American Beacon GLG Total Return Fund today. The Fund became effective May 20. The America