Sat, Nov 29, 2014
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. Unlucky Paulson & Co. rebrands $1.6bn Recovery Fund after 13% drop[more]

    From Businessweek.com: A maturing U.S. economic recovery is prompting Paulson & Co. to change course. The $19 billion hedge fund firm, led by billionaire John Paulson, told investors on a conference call this month that the Paulson Recovery Fund will be renamed Paulson Special Situations Fund on Jan

  2. Opalesque Roundtable: Islamic Finance races ahead with Sukuk, the first managed account platform, and foreign demand[more]

    Komfie Manalo, Opalesque Asia: A number of developments took place within Islamic finance in the past years, including the launch of a Islamic managed account platform and the further growth of the sukuk space that saw this instrument evolve from being a type of an ABS security that was rarely

  3. Fund Profile - A complex hedge fund strategy works for United Technologies[more]

    From Institutionalinvestor.com: Reports that portable alpha is dead have been greatly exaggerated, as Mark Twain might have phrased it. Another Connecticut Yankee, giant United Technologies Corp., is gearing up to grow its successful, nearly decade-long portable-alpha program. The UTC strategy took

  4. Opalesque Exclusive: The unintended consequences of Basel III[more]

    Benedicte Gravrand, Opalesque Geneva: Bijesh Amin, co-founder and managing director of Indus Valley Partners (IVP), a technology solutions and services firm focused on the alternative asset management industry, has recently observed

  5. Legal - Six years after AIG takeover, lawsuit reveals another potential buyer[more]

    From Institutional investor.com: When former Treasury secretary Henry (Hank) Paulson Jr. testified in a suit last month about the U.S. government takeover of American International Group, his words were — mostly — numbingly familiar. Explaining the “punitive” terms set for the September 2008 bailout