Opalesque Industry Update - The Parker FX Index is reporting a -0.03% return for the month of November. Fiftythree
programs in the Index reported November results, of which twenty-two reported positive results, thirty
incurred losses and one manager was flat. On a risk-adjusted basis, the Index was down -0.01% in November. The
median return for the month was down -0.11%, while the performance for November ranged from a high of
+5.14% to a low of -2.58%.|
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 November, the Systematic Index was up +0.13%, and the Discretionary Index decreased by -0.18%. On a risk-adjusted basis, the Parker Systematic Index was up +0.05% in November, and the Parker Discretionary Index was down -0.13%.
The top three performing constituent programs for the month of November, on a reported basis, returned +5.14%, +2.96% and +2.35%, respectively. The top three performers on a risk-adjusted basis returned +3.12%, +2.70% and +2.59%, respectively.
The euro opened the month sharply lower on continued turmoil in Europe. Greece unexpectedly called a referendum on the EU’s newly proposed bailout package, pushing investors into the US dollar and other perceived “risk-off” asset classes. The volatility in the dollar reflected the on-going weakness in the EU, coupled with the Federal Reserve’s announcement that economic growth strengthened month-over-month and that there were no immediate plans to implement a third round of quantitative easing. The dollar quickly pulled back on reports (and subsequent confirmation) that the US congressional “super committee” failed to come up with a plan to cut US debt. Early reports on stronger-then-expected holiday retail sales over the Thanksgiving Weekend helped create a dollar rally heading into month end.
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 311-month compounded annual return since inception (January, 1986 through November, 2011) is up +11.22% on a reported basis and up +3.05% on a risk-adjusted basis. From inception (January, 1986 through November, 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.