Sun, Dec 4, 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. M&A - AllianzGI to acquire Sound Harbor Partners, SS&C completes acquisition of Wells Fargo's Global Fund Services business[more]

    AllianzGI to acquire Sound Harbor Partners Allianz Global Investors (AllianzGI), an active investment manager, announced that Sound Harbor Partners, a US private credit manager led by Michael Zupon and Dean Criares, have agreed to join its fast-growing Private Debt Platform. Under the te

  2. Hunt for yield pushes more investors into riskier assets[more]

    From FT.com: Pension funds and insurance companies have increasingly embraced riskier assets in their hunt for higher returns over the past five years. Alternative assets such as property, infrastructure, private equity and hedge funds have been bought up by institutional investors in a world where

  3. People - Nectar Financial hires senior investment team, Texas A&M replaces retiring foundation investment chief, Ex-Cadwalader partner Woolery makes another sudden exit, How to become a Python coder at a top hedge fund, by the co-CTO of Man AHL[more]

    Nectar Financial hires senior investment team Nectar Financial AG, a Swiss financial technology company for wealth and asset management, has announced that it has hired two key senior leaders to spearhead its digital asset management efforts. The company also announced that it has entere

  4. Activist News - Cognizant has introductory discussion with activist investor Elliott; to review letter, Starboard Value makes huge investment in Hewlett Packard, Hedge fund calls for removal of First NBC Bank CEO[more]

    Cognizant has introductory discussion with activist investor Elliott; to review letter From Indiatimes.com: Cognizant said it had an introductory discussion with Elliott Management after receiving the activist hedge fund's letter asking for a board shakeup, a buyback, a dividend and chan

  5. Opalesque Exclusive: Ireland relaxes treatment of direct lending funds[more]

    Bailey McCann, Opalesque New York: The Irish Central Bank has relaxed its treatment of direct lending funds, according to a recently released