Opalesque Industry Update - The Parker FX Index is reporting a +0.19% return for the month of February. Fiftytwo
programs in the Index reported February results, of which twenty-six reported positive results, twenty-three
incurred losses and three managers were flat. On a risk-adjusted basis, the Index was up +0.08% in February. The
median return for the month was up +0.04%, while the performance for February ranged from a high of +8.99 %
to a low of -3.56%.|
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 February, the Systematic Index was up +0.48%, and the Discretionary Index decreased by -0.09%. On a risk-adjusted basis, the Parker Systematic Index was up +0.17% in February, and the Parker Discretionary Index was down -0.07%.
The top three performing constituent programs for the month of February, on a reported basis, returned +8.99%, +6.08% and +4.29%, respectively. The top three performers on a risk-adjusted basis returned +3.40%, +2.84% and +2.09%, respectively.
Continued reports of strong US economic data have supported the “risk on” sentiment and have improved the risk taking conditions in foreign currency markets. Euro zone leaders finalized a 130-billion euro Greek bailout deal by mid-month through a combination of additional austerity measures and deeper haircuts to private bondholders. The bailout helped the euro gain 1.83% against the dollar, supported by successful bond auctions and positive euro zone economic data releases toward month end. Despite the late month rally, the euro closed the month at 1.2051 versus the Swiss franc, nearing the floor of 1.20 set by the Swiss National Bank in September.
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 314-month compounded annual return since inception (January, 1986 through February, 2012) is up +11.07 % on a reported basis and up +3.02% on a risk-adjusted basis.
From inception (January, 1986 through February, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.30% and +9.07%, respectively.
From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.71% and +3.58%, 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