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

Parker FX Index down -1.33% for the month of October, top performer up +4.36%

Wednesday, November 30, 2011
Opalesque Industry Update - The Parker FX Index is reporting a -1.33% return for the month of October. Fiftyfour programs in the Index reported October results, of which eighteen reported positive results and thirty-six incurred losses. On a risk-adjusted basis, the Index was down -0.57% in October. The median return for the month was down -0.56%, while the performance for October ranged from a high of +4.36% to a low of -9.50%.

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 October, the Systematic Index was down -1.75%, and the Discretionary Index decreased by -0.91%. On a risk-adjusted basis, the Parker Systematic Index was down - 0.63% in October, and the Parker Discretionary Index was down -0.66%.

The top three performing constituent programs for the month of October, on a reported basis, returned +4.36%, +2.07% and 1.91%, respectively. The top three performers on a risk-adjusted basis returned +3.19%, +2.62% and +2.25%, respectively.

Capital markets staged a strong relief rally in October, fueled by optimism that European leaders would collectively draft a resolution to the sovereign debt crisis. Investors trimmed their US dollar exposure in favor of riskier assets and higher yielding currencies.

Currency volatility was markedly lower, with the JP Morgan G7 and Emerging Volatility indices down 13.3% and 18.0%, respectively. US dollar weakness was driven by a return to risk seeking behavior as well as the Federal Reserve’s commitment to extend Operation Twist and other measures they deemed appropriate to protect the interests of the US economy. Despite rating downgrades to each of Spain and Italy by both Fitch and Moody’s, the euro was very resilient over the month in anticipation of EU Summit to address the European crisis.

(press release)

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 310-month compounded annual return since inception (January, 1986 through October, 2011) is up +11.22% on a reported basis and up +3.04% on a riskadjusted basis.

From inception (January, 1986 through October, 2011) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.43% and +9.20%, respectively.

From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.72% and +3.61%, 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 59 programs managed by 51 firms located in the US, Canada, UK, Germany, Switzerland, Sweden, France, Ireland, Singapore and Australia. The 59 programs include a combination of 38 programs that are systematic and 21 programs that are discretionary. The 59 programs manage over $46 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.

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
km

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. Hedge funds see $14.3bn outflows in Q1, CTAs and multi-strategy lead net inflows[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry saw net outflows of investor capital in the first quarter of the year, totaling $14.3bn, data from Preqin showed. This continues from the $8.9bn overall net outflows that funds recorded in Q4

  2. Third Point calls Q1 "catastrophic" for hedge funds[more]

    Bailey McCann, Opalesque New York: The first quarter of this year was rocky for hedge funds based on aggregate performance from the industry, but now we are beginning to hear what the managers thought of it as quarterly letters make their way to investors. Dan Loeb, CEO of New York-based $17 bill

  3. Asia - Stabilization of China's capital outflows may hinge on Janet Yellen, Fink says China to do well this year as bubble threat postponed, Chinese hedge fund to invest in India’s infrastructure[more]

    Stabilization of China's capital outflows may hinge on Janet Yellen From Bloomberg.com: Whether China’s recent stabilization of its currency and capital outflows continues -- or downside pressure reignites -- may hinge in large part on Janet Yellen. If the Federal Reserve chair sticks to

  4. …And Finally - After all, judges are human too[more]

    From Newsoftheweird.com: In March, one District of Columbia government administrative law judge was charged with misdemeanor assault on another. Judge Sharon Goodie said she wanted to give Judge Joan Davenport some files, but Davenport, in her office, would not answer the door. Goodie said once the

  5. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n