Sat, Mar 24, 2018
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index down -1.19% in March, -0.23% YTD

Wednesday, April 25, 2012
Opalesque Industry Update – The Parker FX Index is reporting a -1.19% return for the month of March, 2012. On a risk-adjusted basis, the Index was down -0.51%% in March (-0.10% YTD).

Fifty-one programs in the Index reported March results, of which fourteen reported positive results, thirty-six incurred losses and one manager was flat.

The median return for the month was down -0.96%, while the performance for March ranged from a high of +2.57% to a low of -8.00%.

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 March, the Systematic Index was down -2.02%, and the Discretionary Index decreased by -0.35%. On a risk-adjusted basis, the Parker Systematic Index was down -0.73% in March, and the Parker Discretionary Index was down -0.25%.

The top three performing constituent programs for the month of March, on a reported basis, returned +2.57%, +2.15% and +1.80%, respectively. The top three performers on a risk-adjusted basis returned +2.90%, +1.64% and +1.39%, respectively.

Capital markets pulled back broadly on disappointing economic reports across the eurozone and Asia, with the US dollar outperforming both developed and emerging market currencies. The US Dollar Index was higher by +0.34%, with the dollar gaining +0.81% against the euro and +1.90% against the yen. Austerity measures in place by the euro zone periphery have helped dampened global trade, resulting in weaker industrial production. Fears of a hard landing in China demonstrated by weak PMI manufacturing figures further led to a broad-based de-risking.

Commodity driven currencies suffered largely in response to the poor Chinese economic data. For the month, the Australian and New Zealand dollars weakened -4.14% and -2.79%, versus the 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 315-month compounded annual return since inception (January, 1986 through March, 2012) is up +10.98 % on a reported basis and up +3.00% on a riskadjusted basis.

From inception (January, 1986 through March, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.18% and +9.03%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.67% and +3.56%, respectively.

(press release)


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. John Paulson, once the industry's largest hedge fund, to return some investors' money[more]

    Komfie Manalo, Opalesque Asia: John Paulson is reported to be retuning some of his investors' money as a number of his hedge funds continue to suffer setbacks, reports

  2. Institutional Investors - Overdrawn pension fund scores gains[more]

    From Investments in big banks, pawn shops and rolling papers helped boost public safety workers' underfunded pensions this past calendar years, according to newly released figures. After recording middling returns in recent years, the Police & Fire Pension Fund (P&F) notched

  3. Activist Investors - The seven most undervalued stocks in Larry Robbins' portfolio, Stamford hedge fund still seeking shakeup of Taubman board[more]

    The seven most undervalued stocks in Larry Robbins' portfolio From ...On February 14th, Larry Robbins' firm Glenview Capital Management filed its quarterly Form 13F regulatory filing. The firm's stock portfolio totals $18.5 billion with 58 positions according to the latest

  4. Hot hedge fund loses 21% after bet on volatility goes wrong[more]

    From In December, Shahraab Ahmad shared with his hedge fund clients the principle that helped him trounce peers for two turbulent decades: steer clear of the crowd. He'd turned $50 million into an operation with more than $700 million over three years and delivered market-beating retu

  5. Opalesque Exclusive: Northern Trust builds on blockchain-backed private equity solution[more]

    Bailey McCann, Opalesque New York: Private equity clients at Northern Trust can now carry out audits of private equity lifecycle events directly from the blockchain. Northern Trust, working with PwC and other audit firms in Guernsey, has added this feature to its existing solution set for private