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.