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

Parker FX Index down -1.12% in June, (-2.17% YTD)

Monday, August 01, 2011
Opalesque Industry Update - The Parker FX Index is reporting a -1.12% return for the month of June. Fifty-nine programs in the Index reported June results, of which fifteen reported positive results and forty-four incurred losses. On a risk-adjusted basis, the Index was down -0.47% in June. The median return for the month was down - 0.48%, while the performance for June ranged from a high of +2.16% to a low of -7.64%.

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 June, the Systematic Index was down -1.11%, and the Discretionary Index decreased by -1.12%. On a risk-adjusted basis, the Parker Systematic Index was down - 0.40% in June, and the Parker Discretionary Index was down -0.81%.

The top three performing constituent programs for the month of June, on a reported basis, returned +2.16%, +1.91% and +1.56%, respectively. The top three performers on a risk-adjusted basis returned +2.02%, +1.67% and +0.88%, respectively.

The currency markets remained volatile, driven by the ongoing sovereign debt crisis in Europe, weaker than expected economic data releases in the US, and heightened global inflation concerns. For the month, the DXY Index, a US dollar weighted index against a basket of G7 currencies, was lower by 45 basis points. Among the major currencies, the Swiss franc experienced the biggest gain, strengthening 2.20% versus the dollar and 1.69% against the euro. The yen and euro appreciated 1.39% and 0.50%, respectively, versus the US dollar. For the quarter, the Swiss franc gained 9.64%, the euro rose 1.89% and the yen increased 3.55% versus the 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 306-month compounded annual return since inception (January, 1986 through June, 2011) is up +11.35% on a reported basis and up +3.06% on a riskadjusted basis.

From inception (January, 1986 through June, 2011) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.57% and +9.32%, respectively.

From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.74% and +3.63%, respectively.

(press release)

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 65 programs managed by 56 firms located in the US, Canada, UK, Germany, Switzerland, France, Ireland, Singapore and Australia. The 65 programs include a combination of 42 programs that are systematic and 23 programs that are discretionary. The 65 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:Source
km

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. Outlook - Gundlach's stock market warning comes true[more]

    From Bloomberg.com: Jeffrey Gundlach has been warning something's got to give. Based on the past two days, looks like we have our answer. Stocks fell around the world a second day and high-yield bonds headed for a fourth straight loss, resuming a historic correlation that the hedge fund manager on W

  2. Middle East - Saudi-Iran war would create this domino effect of global disaster, Saudi billionaires said to move funds from region to escape asset freeze[more]

    Saudi-Iran war would create this domino effect of global disaster From CNBC.com: Events appear to be spinning out of control in the Middle East, and the threat a Saudi-Iranian war is looking increasingly credible. Make no mistake, an out and out conflict between the two nations would be

  3. Investing - Six more Warren Buffett buys, including Southwest Airlines, Seth Klarman's Baupost Group bets on beaten-up health care, Roark Capital offers to buy Buffalo Wild Wings: Wall Street Journal[more]

    Six more Warren Buffett buys, including Southwest Airlines From Forbes.com: Our latest recommendation for aggressive investors is Restaurant Brands International . Hedge fund manager Bill Ackman has an incredible 40.1% of his fund at Pershing Square Capital Management invested in Restaur

  4. Investing - Tages Capital steps in to rescue Italy's Banca Carige, Hedge funds place $5.4bn bet on Toshiba's resurrection, Why outside investors are fleeing: John Paulson's 6 worst investments[more]

    Tages Capital steps in to rescue Italy's Banca Carige From TheTimes.co.uk: A little known London hedge fund has played a pivotal role in the first rescue of an Italian bank without state intervention since the country's bad debt crisis started three years ago. Banca Carige, a Genovese le

  5. Tourbillon Capital, a $3.4bn hedge fund that's been sounding the alarm about 'frothy speculation,' is suffering big losses[more]

    From Businessinsider.com: Tourbillon Capital, a $3.4 billion hedge fund firm led by Jason Karp, is suffering. The firm's flagship Global Master fund is down 3.5% for the first 17 days of November, bringing performance for the year to November 17 to a loss of 10.6%, according to a note to investors s