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 -
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