Mon, May 4, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

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
PD

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. SEC charges funds of hedge funds Alpha Titans, executives, and auditor for improper expense allocations[more]

    Update: Please note the important updated information at the end of the article.The Securities and Exchange Commission today announced charges against a Santa Barbara, Calif.-based hedge fund advisory firm and two executives involved in improper allocations of fund assets to pay undisclose

  2. Swiss group Pictet releases first public annual and financial reports[more]

    Benedicte Gravrand, Opalesque Geneva: Pictet Group, a Swiss private bank, has just released its first public annual report and financial report since it opened for business in Geneva in 1805. I

  3. Opalesque Exclusive: Carne establishes non-EU ManCo in Jersey[more]

    Benedicte Gravrand, Opalesque Geneva: For those managers who will not domicile their fund in the European Union (EU) and yet want to distribute it in the EU – especially the UK –, going under the wing of an AIFMD-compliant ManCo on the Channel Islands could be one of the ways to do it. Ch

  4. Opalesque TV: Aequam Capital: Asset management industry will be mainly quantitative going forward[more]

    Benedicte Gravrand, Opalesque Geneva: Before starting his boutique in 2010, Arnaud Chretien, co-founder and CIO of Aequam Capital, worked ten years as a market trader and 18 years as a quantitative and systematic fund manager for Soc

  5. Class-action lawsuit accuse hedge fund Standard General of holding American Apparel hostage[more]

    Komfie Manalo, Opalesque Asia: A shareholder class-action suit filed on Wednesday accused New York-based hedge fund Standard General of holding American Apparel hostage. It would reportedly reap huge benefits if the clothing company declared bankruptcy. Standard General is the controlling sto

 

banner