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.