Mon, Apr 21, 2014
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   |   
Banner
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: Classic Auto Funds Limited (CAF) launches several car investing funds[more]

    Bailey McCann, Opalesque New York: A new trend in alternative alternatives is emerging - car appreciation funds. Classic Auto Funds Limited (CAF) is the first to market with several funds that make super elite luxury cars into real asset investments. As a result of growing overseas demand couple

  2. Investing – Big hedge funds bought Puerto Rico's junk bonds, Fidelity explores new trading venue amid flash trade concerns, Crisis-era Greek bonds reward early buyers with big effective returns, Cargill unit discloses stake in Freddie preferred[more]

    Big hedge funds bought Puerto Rico's junk bonds From Reuters.com: Several large hedge funds doubled down on Puerto Rico in last month's giant bond sale despite the U.S. territory's financial struggles, the Wall Street Journal reported, citing confidential documents reviewed by the newspa

  3. Opalesque Exclusive: Hedge fund replicators evolve[more]

    Bailey McCann, Opalesque New York: Hedge fund replicators as a group of products tend to get a bad rap from hedge fund managers who suggest that the best a replicator can offer is dynamic beta capture. A

  4. Opalesque Exclusive: Pensions, endowments, family offices reconsider life settlement investments[more]

    Bailey McCann, Opalesque New York: Hedge funds were once the largest investors in the life settlement industry, now the industry is seeing more interest from pensions, endowments and family offices directly. Life settlements have always been considered a niche part of the investing landscape, an

  5. SEC allows investment funds to use social media[more]

    Bailey McCann, Opalesque New York: The Securities and Exchange Commission (SEC) has released new guidance letting investment funds and advisors use social media to promote client reviews. The guidance seeks to assist investment managers in developing compliance policies and procedures reasonably