Mon, Jan 23, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index reports -2.07% for May (-1.18% YTD)

Tuesday, June 28, 2011
Opalesque Industry Upate - The Parker FX Index is reporting a -2.07% return for the month of May. Sixty programs in the Index reported May results, of which nine reported positive results, fifty incurred losses, and one was flat. On a risk-adjusted basis, the Index was down -0.87% in May. The median return for the month was down - 1.84%, while the performance for May ranged from a high of +3.81% to a low of -12.64%.

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 May, the Systematic Index was down -2.83%, and the Discretionary Index decreased by -1.30%. On a risk-adjusted basis, the Parker Systematic Index was down -1.01% in May, and the Parker Discretionary Index was down -0.94%.

The top three performing constituent programs for the month of May, on a reported basis, returned +3.81%, +1.20% and +1.01%, respectively. The top three performers on a risk-adjusted basis returned +3.57%, +1.17% and +0.73%, respectively.

The DXY Index, a US dollar weighted index against a basket of G7 currencies, was higher by +4.35% through May 23, before giving back half its gains toward month end. This is the first positive monthly return for the index since November 2010. The euro continues to be volatile, dominated by the perception that the European sovereign debt crisis and regular downgrades by the various ratings agencies would perpetuate ongoing economic instability in the region. For the month, the euro was lower -3.07% against the US dollar.

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 305-month compounded annual return since inception (January, 1986 through May, 2011) is up +11.43% on a reported basis and up +3.08% on a risk- adjusted basis.

From inception (January, 1986 through May, 2011) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.66% and +9.39%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.75% and +3.67%, 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 $47 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.

(press release)

Source

kb

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. Investing - This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally, Hedge fund legend David Einhorn is making a big bet on GM, After impressive 85% return in 2016, hedge fund looks to Canadian gold producer, small banks[more]

    This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally From Forbes.com: Can bank stocks continue to rise after a 28% surge in the KBW Bank Index in 2016, fueled by a post-election rally as stock pickers returned to the beaten down sector? Forget the s

  2. SWFs - China sovereign wealth fund CIC plans more U.S. investments[more]

    From Reuters.com: China Investment Corporation (CIC), the country's sovereign wealth fund, is looking to raise alternative investments in the United States due to low returns in public markets, its chairman said on Monday. CIC will boost its investments in private equity and hedge funds as wel

  3. Some hedge funds strong start in 2017 nice contrast to 2016[more]

    With the 2016 HSBC Hedge Weekly performance rankings in the books - a year in which the same leader-board entries pretty much dominated unchallenged throughout the year - comes a new leader board that is a hard-scrabble mix of hedge fund styles and categories. What is clear after but a few short wee

  4. Macro hedge funds and CTAs outperform in December on strong dollar[more]

    Komfie Manalo, Opalesque Asia: The last month of 2016 saw risk assets climbing higher, as part of expectations that the new U.S. administration will remove barriers to growth and investment, Lyxor Asset Management said. December also saw the Fed hik

  5. Opalesque Exclusive: Roxbury credit events UCITS gathers more assets[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The Roxbury Credit Events Fund, launched in September 2015, was up 4.24% in 2016, having returned seven positive months during the year. The managers raised