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Parker FX Index down -0.03% in July, top performer up +8.80%

Thursday, September 01, 2011
Opalesque Industry Update - The Parker FX Index is reporting a -0.03% return for the month of July. Fifty-seven programs in the Index reported July results, of which thirty reported positive results, twenty-six incurred losses and one reported flat. On a risk-adjusted basis, the Index was down -0.40% in July. The median return for the month was up 0.30%, while the performance for July ranged from a high of +8.80% to a low of -11.34%.

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 July, the Systematic Index was up 0.23%, and the Discretionary Index decreased by -0.30%. On a risk-adjusted basis, the Parker Systematic Index was down -0.37% in July, and the Parker Discretionary Index was down -0.63%.

The top three performing constituent programs for the month of July, on a reported basis, returned +8.80%, +5.53% and +5.24%, respectively. The top three performers on a risk-adjusted basis returned +2.87%, +2.66% and +2.44%, respectively.

The European and US sovereign debt crisis dominated headline news, resulting in a flight to quality and a surge in currency and equity market volatility in anticipation of political developments on both sides of the Atlantic. With Europe struggling to contain its debt crisis, the euro was the worst performing currency for the month, depreciating 1.60% against the US dollar, 3.32% against the British pound, 4.15% against the Swiss Franc, and 5.29% against the Japanese yen.

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 307-month compounded annual return since inception (January, 1986 through July, 2011) is up +11.32% on a reported basis and up +3.06% on a riskadjusted basis.

From inception (January, 1986 through July, 2011) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.55% and +9.28%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.73% and +3.62%, 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 63 programs managed by 55 firms located in the US, Canada, UK, Germany, Switzerland, France, Ireland, Singapore and Australia. The 63 programs include a combination of 40 programs that are systematic and 23 programs that are discretionary. The 63 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.

(press release)

Founded in 1995, Parker Global Strategies (PGS) provides both institutional and private clients a broad spectrum of custom tailored alternative investments including foreign exchange, managed futures, and energy infrastructure. PGS has advised on the placement of over US$3.0 billion since its inception, and has provided foreign exchange advisory and management services since 1996. Corporate website:Source
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