Opalesque Industry Update - The Parker FX Index is reporting a +0.77% return for the month of January. Fifty-one
programs in the Index reported January results, of which thirty-two reported positive results, eighteen incurred
losses and one manager was flat. On a risk-adjusted basis, the Index was up +0.33% in January. The median return
for the month was up +0.11%, while the performance for January ranged from a high of +6.72 % to a low of -
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 January, the Systematic Index was up +0.82%, and the Discretionary Index increased by +0.71%. On a risk-adjusted basis, the Parker Systematic Index was up +0.30% in January, and the Parker Discretionary Index was up +0.52%.
The top three performing constituent programs for the month of January, on a reported basis, returned +6.72%, +6.48% and +5.22%, respectively. The top three performers on a risk-adjusted basis returned +3.91%, +3.00% and +2.44%, respectively.
We have seen an important shift in global market sentiment towards a “risk on”. Coupled with this transition has been a drop in correlations across asset classes. Against this backdrop, currency managers produced strong returns in January. The US Dollar came under heavy selling pressure globally as investor sentiment quickly shifted following multiple positive headline news. Commodity currencies were significantly higher as a group, with the New Zealand and Australian dollars strengthening 7.2% and 4.9%, respectively versus the US dollar.
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 313-month compounded annual return since inception (January, 1986 through January, 2012) is up +11.10 % on a reported basis and up +3.02% on a riskadjusted basis.
From inception (January, 1986 through January, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.32% and +9.11%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.70% and +3.59%, 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 $46 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. Corporate website: Source