Thu, Sep 3, 2015
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. 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. Opalesque Exclusive: When the SEC calls, fund managers need to get out of their own way[more]

    Bailey McCann, Opalesque New York: New pressure is hitting alternative investment funds from all angles. So far this month both hedge fund and private equity players have seen enforcement actions, and subsequent fines over fees, disclosures, and misleading statements. Citi one of the biggest

  3. 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

  4. Fortress hedge fund manager David Dredge says markets trouble on the way[more]

    From AFR.com: David Dredge of global hedge fund Fortress has built a career studying, predicting and protecting against the world's major financial crises. The recent convulsions in global sharemarkets are "just the beginning" of a painful adjustment as money drains from the emerging market economie

  5. North America - Puerto Rico agency plans talks with hedge fund creditors[more]

    From WSJ.com: Puerto Rico’s Government Development Bank is planning to begin confidential debt-restructuring talks with hedge funds that own its bonds as early as next week, said a person familiar with the matter. The parties are set to discuss a plan under which the investors would lend additional

 

banner