Thu, Sep 3, 2015
A A A
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)

www.parkerglobal.com


BG

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. Cliff Asness attracts $360 million as liquid alternative funds hold up[more]

    From Bloomberg.com: As U.S. stocks suffered their worst month in more than three years in August, Clifford Asness’s managed futures fund was able to profit. Investors are taking notice. The $9.12 billion AQR Managed Futures Strategy Fund pulled in an estimated $360 million in net subscriptions last

  2. Performance - Einhorn and Loeb's hedge funds both decline 5% in August, Some target-date funds miss in the market turmoil[more]

    Einhorn and Loeb's hedge funds both decline 5% in August From Reuters.com: Hedge fund billionaires David Einhorn and Daniel Loeb saw their main funds lose roughly 5 percent in August during a dramatic market sell off, two people familiar with their returns said on Monday. Einhorn's

  3. Opalesque Exclusive: When the SEC calls, fund managers need to get out of their own way[more]

    Bailey McCann, Opalesque New York: New pressure is hitting alternative investment funds from all angles. So far this month both hedge fund and private equity players have seen enforcement actions, and subsequent fines over fees, disclosures, and misleading statements. Citi one of the biggest

  4. Fortress hedge fund manager David Dredge says markets trouble on the way[more]

    From AFR.com: David Dredge of global hedge fund Fortress has built a career studying, predicting and protecting against the world's major financial crises. The recent convulsions in global sharemarkets are "just the beginning" of a painful adjustment as money drains from the emerging market economie

  5. North America - Puerto Rico agency plans talks with hedge fund creditors[more]

    From WSJ.com: Puerto Rico’s Government Development Bank is planning to begin confidential debt-restructuring talks with hedge funds that own its bonds as early as next week, said a person familiar with the matter. The parties are set to discuss a plan under which the investors would lend additional

 

banner