Sat, Feb 25, 2017
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. Opalesque Exclusive: Swiss investors take fund seeding and acceleration into their own hands[more]

    Benedicte Gravrand, Opalesque Geneva: Banque Bonhote, a 200-year old Swiss private bank, last year launched a community of investors - heads of Swiss family and advisory offices and wealth managers - with the aim of co-investing in the kind of managers they wanted to invest in, either by way of s

  2. K2 Advisors : Why We Like Activist Hedge Fund Strategies and Some Thoughts on Alpha[more]

    Matthias Knab, Opalesque: Rob Christian, Senior Managing Director, Head of Research K2 Advisors, Franklin Templeton Solutions, writes on Harvest Exchange: When d

  3. Ex-Navy SEAL backed by Mario Gabelli, Jean-Marie Eveillard and other value giants off to strong start[more]

    From Valuewalk.com: Sententia Capital Management is not your average value focused hedge fund. The fund was founded by Michael Zapata, a former Navy Seal Team 6 Officer and has attracted funding from some of the best-known names in the value space. Mario Gabelli, Jean-Marie Eveillard from First Eagl

  4. Europe - 1 trillion euro non-performing loans are clogging EU lending channels[more]

    From Centralbanking.com: As much as 1 trillion euro of non-performing loans (NPLs) are still clogging the lending channel in the European Union. An EU asset management company (AMC) could address market failures in the secondary market for NPLs as part of a suite of measures designed to tackle the b

  5. Investing - Hedge funds' novel approach: investing for longer at lower returns, U.S. hedge fund Delta Partners lifts stake in Bellamy's, Hedge funds stockpile cobalt, electric carmakers on battery alert, Facebook is racking up the likes among the world's biggest hedge funds, Einhorn affirms gold on Trump uncertainty[more]

    Hedge funds' novel approach: investing for longer at lower returns From FNLondon.com: Hedge funds are known for making short-term bets, dipping quickly in and out of markets to take advantage of swings in prices. But, under pressure to innovate, some big-name managers are looking at ways