Tue, Jul 29, 2014
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 fund manager Winton Capital making headway with long-only strategy[more]

    From PIonline.com: North American investors are helping Winton Capital Management Ltd. make progress — albeit slowly — toward its founder's goal of becoming a $100 billion company. The firm's ticket to quadrupling its assets under management is unlikely to be one of its scientifically designed manag

  2. Opalesque Roundtable: Success in hedge fund marketing not linked to performance, but investor appetite[more]

    Komfie Manalo, Opalesque Asia: Success in marketing a fund is not linked to the performance, but to investor appetite, to the way you can market the fund, and to how much time you can spend to raise assets, said Antoine Rolland, the CEO of incubator and seeding firm

  3. Opalesque Radio: Now is a good time to buy protection cheaply in the options market[more]

    Benedicte Gravrand, Opalesque Geneva: Investors are showing an increased interest in risk parity funds and strategies, Opalesque reported last year. Risk parity strategies have the

  4. The Big Picture: Charlemagne Capital smoothes risk out of frontier market investing with portfolio approach[more]

    Benedicte Gravrand, Opalesque Geneva: Opalesque recently talked to one of the portfolio managers of the Oaks funds, which are emerging and frontier market hedge funds focusing on equity long/short with a directional approach. They are run by

  5. Winton’s low-cost equities fund tops $1bn for first time[more]

    From FT.com: Winton, the London-based hedge fund, has increased the assets in its low-cost equities fund to more than $1bn for the first time in a sign that traditional stock managers may come under increasing pressure from computer-driven rivals. Winton, which manages about $25bn in total ass