Wed, Sep 2, 2015
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. Cliff Asness attracts $360 million as liquid alternative funds hold up[more]

    From Bloomberg.com: As U.S. stocks suffered their worst month in more than three years in August, Clifford Asness’s managed futures fund was able to profit. Investors are taking notice. The $9.12 billion AQR Managed Futures Strategy Fund pulled in an estimated $360 million in net subscriptions last

  2. Activist News - Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping, Meet Europe's best activist investor[more]

    Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping From Businessinsider.com: Carl Icahn has picked his next target: Freeport-McMoRan. Icahn and a group of other investors have snapped up an 8.46% stake in mining company Freeport-McMoRan, according to a j

  3. North America - Hedge fund manager Ray Dalio’s challenge to the Fed[more]

    From Newyorker.com: For some reason, Janet Yellen, the chair of the Federal Reserve, decided to skip this year’s annual Fed conference in Jackson Hole, where monetary policymakers from the United States and abroad get together with some prominent academics to discuss the big issues of the moment. Th

  4. Performance - Einhorn and Loeb's hedge funds both decline 5% in August, Some target-date funds miss in the market turmoil[more]

    Einhorn and Loeb's hedge funds both decline 5% in August From Reuters.com: Hedge fund billionaires David Einhorn and Daniel Loeb saw their main funds lose roughly 5 percent in August during a dramatic market sell off, two people familiar with their returns said on Monday. Einhorn's

  5. Opalesque Exclusive: Foundation returns slide, but commitment to alternatives remains[more]

    Bailey McCann, Opalesque New York: Private and community foundations posted returns of 6.1 percent for the 2014 fiscal year (January 1 – December 31, 2014), down from the 15.6 percent return reported for FY2013, according to the latest Council on Foundations–Commonfund Study of Investment of End

 

banner