Sun, May 29, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX index up 1.60% in September, -1.81% YTD

Thursday, October 27, 2011
Opalesque Industry Update – The Parker FX Index is reporting a +1.60% return for the month of September.

Fifty five programs in the Index reported September results, of which thirty-seven reported positive results and eighteen incurred losses. On a risk-adjusted basis, the Index was up +0.67 % in September. The median return for the month was up +1.01%, while the performance for September ranged from a high of +13.17% to a low of -7.73%.

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 September, the Systematic Index was up +2.70%, and the Discretionary Index increased by +0.50%. On a risk-adjusted basis, the Parker Systematic Index was up +0.96% in September, and the Parker Discretionary Index was up +0.35%.

The top three performing constituent programs for the month of September, on a reported basis, returned +13.17%, +12.51% and +11.19%, respectively. The top three performers on a risk-adjusted basis returned +7.16%, +6.47% and +5.02%, respectively.

Risk aversion soared in September, resulting in broad-based de-risking across all asset classes in favor of US Treasuries and the US dollar. Currencies globally came under significant pressure, increasing G7 and emerging markets currency volatility. The European sovereign debt crisis escalated on fears that European leaders were inadequately addressing the solvency of the banks, increasing the likelihood of an outright default by Greece and, ultimately, a run on southern European banks. In the US, the Federal Reserve signaled “significant downside risks” to the US economy, and laid out its intention to replace $400 billion of short-term debt with longer-term Treasuries to keep long-term borrowing costs low.

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 309-month compounded annual return since inception (January, 1986 through September, 2011) is up +11.29% on a reported basis and up +3.06% on a risk-adjusted basis.

WWW.PARKERGLOBAL.COM

BG

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. Performance - Hedge fund ETFs take a battering, Have long-short credit funds delivered?[more]

    Hedge fund ETFs take a battering From ETFStrategy.co.uk: It was a blow for the hedge fund world when Hillary Clinton’s son-in-law Marc Mezvinsky announced he would be closing his Greek-focused fund after it plummeted in value by 90%, just two years after it launched. For passive investor

  2. Americas - Australian banks sending U.S. hedge funds broke, Ryan Puerto Rico ‘rescue’ bill could be windfall for hedge funds[more]

    Australian banks sending U.S. hedge funds broke From SMH.com.au: US hedge funds are not having the best of years. Profits are hard to find, they're underperforming and the punters are losing patience, withdrawing US$15 billion ($20.8 billion) in the March quarter. They're expected to wit

  3. Investing - Billionaire Wilbur Ross likes the look of Chinese bad loans, Hedge funds are still relevant in a diversified portfolio: 4 fundamental criteria for superior manager selection[more]

    Billionaire Wilbur Ross likes the look of Chinese bad loans From Bloomberg.com: U.S. billionaire Wilbur Ross said he’s considering investing in nonperforming loans in China, as Moody’s Investors Service said that the nation has the tools to prevent a financial crisis in the near term. I’

  4. Investing - Blackstone gives pricey Canadian energy and property thumbs down, One of the most concentrated hedge fund bets is getting crushed, Facebook is hedge funds' new tech darling,[more]

    Blackstone gives pricey Canadian energy and property thumbs down From Bloomberg.com: Canada’s energy assets are uneconomic and real-estate markets overvalued, making them less attractive for investment than in the U.S. and elsewhere, according to Tony James, president of Blackstone Group

  5. Study - Only 30% of institutional hedge fund portfolios beat the benchmark[more]

    Bailey McCann, Opalesque New York: A new study from CEM Benchmarking, an independent provider of cost and performance analysis for pension funds, shows that only 30 percent of institutional investors hedge fund portfolios beat the benchmark after fees. The study provides in depth analysis of real