Sat, Jun 25, 2016
A A A
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)

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 Roundup: Hedge funds shrink as liquidations outpace new launches in Q1: hedge fund news, week 27[more]

    In the week ending 17 May, 2016, HFR said hedge fund liquidations declined narrowly to begin 2016 after rising sharply to conclude 2015, as investors positioned f

  2. Europe - Hedge funds keep powder dry over big Brexit bets, Hedge funds sense profit in Europe shock waves after Brexit vote, Soros warns Brexit may cause pound plunge worse than Black Wednesday, After Brexit: What will happen if Britain votes to leave the UK?[more]

    Hedge funds keep powder dry over big Brexit bets From FT.com: Hedge funds are shying away from big bets on Brexit, with many unwilling to risk further losses having already suffered a painful first half of the year. With the outcome of a UK vote on the country’s membership of the Europea

  3. News Briefs - ’Flash Boys’ get green light to launch stock exchange, Pimco says ‘storm is brewing’ in U.S. commercial real estate, Bankers get ready to rumble at Hedge Fund Fight Night, AIMA Australia celebrates 15th anniversary[more]

    ’Flash Boys’ get green light to launch stock exchange In an investing environment ruled by fast, the newest U.S. public stock exchange is banking on slow. Well, slower. IEX Group, which won Securities and Exchange Commission approval on Friday to go head-to-head with the New York Stock E

  4. Blackstone buys minority stake in New York-based credit hedge fund Marathon[more]

    Benedicte Gravrand, Opalesque Geneva: Blackstone Strategic Capital Holdings Fund, a vehicle managed by Blackstone Alternative Asset Management (BAAM), has acquired a passive, minority interest in Marathon Asset Management, for an undisclosed sum. Based in New York,

  5. Visium hedge fund manager Sanjay Valvani found dead[more]

    Benedicte Gravrand, Opalesque London: A hedge fund manager connected with an insider trading case has apparently committed suicide. Sanjay Valvani, 44, a hedge fund manager at New York-based Visium Asset Management, was found dead in an apparent suicide on 21 June in his Brooklyn residence,