Mon, Mar 19, 2018
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index reports a -0.03% return for the month of November (-3.10% YTD)

Thursday, December 22, 2011
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.

(press release)


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. Performance - Hedge fund mojo is back with investor hopes at six-year high, These hedge funds produce the most consistently great results[more]

    Hedge fund mojo is back with investor hopes at six-year high From Hedge funds on the heels of a surprisingly strong performance in 2017 are raising hopes for an encore. Investors expect their managers to return 8.5 percent in 2018, according to a Credit Suisse Group AG sur

  2. Investing - Hedge funds amass big bets against world's leading advertisers, Investor Elliott Management buys tiny stake in Wipro[more]

    Hedge funds amass big bets against world's leading advertisers From Hedge funds have amassed bearish bets of more than $3bn against the world's largest advertising companies in an attempt to profit as the industry undergoes ongoing wrenching disruption and slowing growth. Funds i

  3. News Briefs - Investcorp to launch a $100 million PE fund for Omani pension funds[more]

    Bahrain-based investment firm Investcorp will soon launch a $100 million fund dedicated to Oman's Pension Funds as part of its investment plan. 'The Opportunities Fund' will be focused on private equity investments in the U.S. and Europe and will target mid-sized companies across a broad range of se

  4. DoubleLine's Gundlach sees U.S. 10-year Treasury yield rising, weighing on stocks[more]

    From Reuters/ Jeffrey Gundlach, the chief executive of DoubleLine Capital and known on Wall Street as the "Bond King," said on Tuesday the yield on the U.S. 10-year Treasury note will likely move higher and pressure riskier assets including equities and junk bonds. Gundlach, on an

  5. SEC charges Theranos CEO Holmes with fraud[more]

    Bailey McCann, Opalesque New York: The SEC has charged Elizabeth Holmes, founder and CEO of Theranos and its former President Ramesh "Sunny" Balwani with raising more than $700 million from investors through an elaborate, years-long fraud in which they exaggerated or made false statements about t