Sat, Jul 4, 2015
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 Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Opalesque Exclusive: New systematic strategy embraces machine learning[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The founder of a New York-based systematic trading firm, which offers a hybrid between alpha strategies and alternative feta at lower fees, describes his approa

  3. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  4. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  5. Hedge funds decline in June as stocks tumble on Greek woes[more]

    From Bloomberg.com: Hedge funds posted losses across strategies last month as uncertainty over whether Greece will remain in the euro sent global stock markets tumbling. Winton Capital Management declined about 3.1 percent in June in its $12.1 billion Winton Futures Fund, leaving it down 1.9 percent

 

banner