Opalesque Industry Update - The Parker FX Index is reporting a +2.04% return for the month of April. Sixty-three
programs in the Index reported April results, of which fifty reported positive results and thirteen incurred losses.|
On a risk-adjusted basis, the Index was up +0.85% in April. The median return for the month was up +1.67%, while the performance for April ranged from a high of +14.49% to a low of -4.37%.
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 April, the Systematic Index was up +3.51%, and the Discretionary Index increased by +0.57%. On a risk-adjusted basis, the Parker Systematic Index was up +1.24% in April, and the Parker Discretionary Index was up +0.40%.
The top three performing constituent programs for the month of April, on a reported basis, returned +14.49%, +10.23% and +10.06%, respectively. The top three performers on a risk-adjusted basis returned +6.21%, +4.78% and +4.34%, respectively.
US dollar weakness persisted in April, fueled by investors’ appetite for risky assets, inflation pressures across Europe and the US Federal Reserve’s near zero interest rate policy. For the month, the US Dollar Index was down -3.85%, bringing its year-to-date decline against a basket of G7 currencies to -7.71%. The euro strengthened 4.6% versus the US dollar, with the ECB raising the key lending rate 25bps to 1.25%. Economic data releases show that inflation increased to 2.7% in March, its highest level since October 2008.
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 303-month compounded annual return since inception (January, 1986 through April, 2011) is up +11.57% on a reported basis and up +3.13% on a risk adjusted basis.
From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.81% and +3.72%, 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
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