Thu, May 24, 2018
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. Investing - Hedge funds hike Smurfit Kappa positions amid takeover deal hopes, Hedge fund IBV Capital digs deep to unlock long-term value in a competitive market, Eisman of 'The Big Short' fame recommends shorting Deutsche Bank[more]

    Hedge funds hike Smurfit Kappa positions amid takeover deal hopes From Irishtimes.com: Two US hedge funds, Davidson Kempner and York Capital, have accumulated a combined 4.74 per cent interest in cardboard box maker Smurfit Kappa using financial derivatives. It comes as many investors cl

  2. Foundations of hedge fund managers gave big to controversial donor-advised funds[more]

    In the world of philanthropy and tax-deductible charitable giving, the explosion of donor-advised funds has touched off intense debate. Now, there is evidence that the DAF boom is being further fuelled by hedge fund foundation money. Four of the top five foundations that gave the most to large do

  3. Third Point to raise $400 million for SPAC, Farley to run it[more]

    From Reuters.com: Daniel Loeb's hedge fund Third Point LLC plans to raise $400 million for a "blank check" company which will be run by outgoing stock market operator NYSE Group President Thomas Farley, according to a regulatory filing made on Tuesday. The new company, referred to on Wall Stre

  4. Study: For hedge funds, smaller is better[more]

    From Institutionalinvestor.com: The smaller the hedge fund is, the better its performance is likely to be, according to a new study. The study - "Size, Age, and the Performance Life Cycle of Hedge Funds," released April 26 - sought to determine whether a hedge fund's size and age had any effect on i

  5. Hedge fund returns rose in April for first gain since January[more]

    From Bloomberg.com: Bloomberg Hedge Fund Database shows returns flat this year - Currency strategies had the biggest monthly gain at 13% Hedge fund returns increased 0.78 percent in April, reversing two consecutive monthly declines. The swing of 134 basis points was driven by gains in all seven