Fri, Jul 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. Opalesque Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Opalesque Exclusive: New systematic strategy embraces machine learning[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The founder of a New York-based systematic trading firm, which offers a hybrid between alpha strategies and alternative feta at lower fees, describes his approa

  3. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  4. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  5. Hedge funds panic over Greece[more]

    Komfie Manalo, Opalesque Asia: Some investors are in panic mode as Greek Prime Minister Alexis Tsipras announced Sunday night that the banks and the stock market would be closed Monday, said

 

banner