Sat, Apr 25, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index up 0.49% in December (-2.62% in 2011), Top Performer +7.49%

Friday, January 27, 2012
Opalesque Industry Update – The Parker FX Index is reporting a +0.49% return for the month of December.

Fifty two programs in the Index reported December results, of which thirty-one reported positive results, twenty incurred losses and one manager was flat. On a risk-adjusted basis, the Index was up +0.21% in December. The median return for the month was up +0.28%, while the performance for December ranged from a high of +7.49% to a low of -1.39%.

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 December, the Systematic Index was up +0.80%, and the Discretionary Index increased by +0.19%. On a risk-adjusted basis, the Parker Systematic Index was up +0.29% in December, and the Parker Discretionary Index was up +0.14%.

The top three performing constituent programs for the month of December, on a reported basis, returned +7.49%, +6.80% and +2.53%, respectively. The top three performers on a risk-adjusted basis returned +4.38%, +2.21% and +2.02%, respectively.

With little evidence that the European sovereign debt crisis has been sufficiently contained, the Euro weakened further against the US dollar, Japanese yen, British pound and Swiss franc on fears of rating downgrades across the Eurozone. The euro summits have been disappointing, and after two years of misleading headline news, investors appear to be capitulating, helping the euro to trade through key support levels.

For the year, the euro was the worst performing currency among the developed nations, declining -8.7%, -3.2%, and -3.0% versus the Japanese yen, US dollar, and British pound, respectively. The DXY index was higher +2.29% in December, despite the Federal Reserve’s commitment to maintain a near zero interest rate policy for 2012.

Despite the sell-off in gold and oil, Commodity-sensitive currencies were higher in December, supported by positive US economic data releases, and thin trading volume, in mid-December.

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 312-month compounded annual return since inception (January, 1986 through December, 2011) is up +10.71 % on a reported basis and up +2.85% on a risk-adjusted basis.

From inception (January, 1986 through December, 2011) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.89% and +8.83%, respectively.

From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.55% and +3.38%, respectively.

The Parker FX Index tracks the performance, or value-added, that managers have generated from positioning long or short foreign currencies. The Index is equally weighted, as opposed to capitalization weighted, to preclude very large managers from swaying the performance in a direction that may not be representative of the currency manager universe. Parker Global Strategies applies its model to the performance of a representative currency portfolio or composite, net of fees, and excluding interest for each currency manager.

The Parker FX Index currently includes 56 programs managed by 48 firms located in the US, Canada, UK, Germany, Switzerland, Sweden, France, Ireland, Singapore and Australia. The 56 programs include a combination of 37 programs that are systematic and 19 programs that are discretionary. The 56 programs manage over $47 billion in currency strategy assets. The Index also includes the performance of currency managers who are no longer trading in order to address survivorship bias. Disciplines include technical, fundamental and quantitative.

Founded in 1995, Parker Global Strategies (PGS) provides both institutional and private clients a broad spectrum of custom tailored alternative investments including foreign exchange, managed futures, and energy infrastructure. PGS has advised on the placement of over US$3.0 billion since its inception, and has provided foreign exchange advisory and management services since 1996.

(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. U.S. does not want hedge funds to invest in offshore re-insurers for tax purposes[more]

    Komfie Manalo, Opalesque Asia: The U.S. Treasury Department on Thursday introduced a new rule aimed at limiting hedge funds’ ability to reduce their tax bills by investing in insurance companies in offshore tax havens. As a general rule, the U.S. tax laws does not allow hedge funds to use off

  2. Ruling: Hedge funds suing Argentina can have access to bond offering[more]

    Komfie Manalo, Opalesque Asia: U.S. District Judge Thomas Griesa in Manhattan ruled yesterday that hedge funds are entitled to details of a recent bond offering by Buenos Aires, reports

  3. Hedge funds looking to continue their rally in Q2[more]

    Komfie Manalo, Opalesque Asia: Hedge funds finished the first quarter on a strong note and are looking to continue the rally in the second quarter, said Lyxor Asset Management in its Weekly Brief. The Lyxor Hedge Fund Index is up 0.4% over the week

  4. Hedge funds down -0.17% in March (+1.23%YTD)[more]

    Bailey McCann, Opalesque New York: The hedge fund industry produced an aggregate return of –0.17% in March to end Q1 2015 up 1.23%, compared to the S&P 500 which increased 0.96%, according to the latest data from eVestment. Hedge fund performance returns were mixed in March amid increased equity

  5. Fund managers express concern of overvaluation in both equity and bond markets[more]

    Komfie Manalo, Opalesque Asia: According to the BofA Merrill Lynch Fund Manager Survey, investors see growing overvaluations in both

 

banner