Tue, Aug 4, 2015
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. Activist News - Celgene says patent-fighting hedge fund manager wants to short its shares[more]

    From Reuters.com: Celgene Corp, one of the world's largest biotechnology companies, has accused U.S. hedge fund manager Kyle Bass of attempting to profit from his attempts to wipe out several major drug patents through his Coalition for Affordable Drugs. The company asked the U.S. Patent and T

  2. Einhorn's Greenlight Capital hedge fund slumps 6.1 percent in July[more]

    From Reuters/Thefiscaltimes.com: Hedge fund mogul David Einhorn's Greenlight Capital slumped 6.1 percent in July and is now down 9 percent for the year after gold, one of the fund's top holdings, tumbled to five-year lows last week. Greenlight notified clients of its returns late on Friday, ac

  3. Performance - Some hedge fund small-cap energy stocks have been free falling, Dan Loeb's simple strategy destroys the market, Baupost lost 1.4% last quarter as energy bargains proved elusive[more]

    Some hedge fund small-cap energy stocks have been free falling From Marketrealist.com: According to a July 28, 2015, Bloomberg article, there was a 34% fall in small-cap energy stocks over the past three months. These shares are tracked by the Russell 2000 Energy Index. Small-cap energy

  4. Legal - Hedge funds hit Rothstein Kass with $75m malpractice suit, JPMorgan questioned on private bank’s hedge fund disclosures, Kijani fund, seized by regulators in Cayman Islands, spotlights risks in lightly regulated market[more]

    Hedge funds hit Rothstein Kass with $75m malpractice suit From Law360.com: Two investment funds have sued Rothstein Kass & Co. PC for at least $75 million, claiming the New Jersey auditing firm committed accounting malpractice by failing to properly scrutinize overblown valuations of the

  5. Assets - Hedge funds are getting smoked by the commodities slump, Global ETF assets could more than double by 2020[more]

    Hedge funds are getting smoked by the commodities slump From Businessinsider.in: The collapse in commodity prices has burnt another hedge fund. Vermillion, a commodity hedge fund backed by Carlyle Group, has seen its flagship fund's assets fall from nearly $2 billion to less $50 million,

 

banner