Wed, Aug 27, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index reports a -0.37% return for October (-1.28% YTD)

Friday, November 30, 2012
Opalesque Industry Update - The Parker FX Index is reporting a -0.37% return for the month of October, 2012. Forty five of the forty-nine programs in the Index reported October results, of which nineteen reported positive results and twenty-six incurred losses. On a risk-adjusted basis, the Index was down -0.16% in October. The median return for the month was down -0.06%, while the performance for October ranged from a high of +1.70% to a low of -5.62%.

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 October, the Systematic Index was down -0.69%, and the Discretionary Index decreased by -0.04%. On a risk-adjusted basis, the Parker Systematic Index was down - 0.25% in October, and the Parker Discretionary Index was down -0.03%.

The top three performing constituent programs for the month of October, on a reported basis, returned +1.70%, +1.47% and +1.00%, respectively. The top three performers on a risk-adjusted basis returned +4.13%, +1.09% and +0.88%, respectively.

Markets continued to focus on the deterioration in global growth and the aggressive monetary measures used to address the issues. Developments that attracted focus included slow progress on the Euro bond plan, the looming fiscal cliffs in the US and Japan, a disappointing earnings season, and the uncertainties of the upcoming US election. Risk sentiment soured by mid-to late-month prompting sell-offs in commodities, equities, and higher beta currencies. While LatAm currencies were the hardest hit, Asian currencies strengthened for the fifth month in a row, as signs of a pickup in China’s economy brightened the outlook for the region’s exports. The resilient performance came in the wake of a stronger Chinese yuan fixings and the offshore USDCNY rate falling to a 20- year low. The South Korean won appreciated +2.14% versus the US dollar.

***

The Parker FX Index is a performance-based benchmark that measures both the reported and the risk-adjusted 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 322-month compounded annual return since inception (January, 1986 through October, 2012) is up +10.68% on a reported basis and up +2.94% on a risk-adjusted basis.

From inception (January, 1986 through October, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.93% and +8.73%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.64% and +3.45%, respectively.

Press release

Parker Global Strategies, LLC http://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. Institutions – Texas Employees sets 2015 tactical plan for alternatives, CalPERS' real estate consultant cautions the pension fund's investment committee, Why Sunsuper likes hedge funds[more]

    Texas Employees sets 2015 tactical plan for alternatives From PIOnline.com: Texas Employees Retirement System will invest in up to four new hedge funds in the next fiscal year, which begins Sept. 1. Trustees approved 2015 tactical investment plans for the hedge fund, private equity and in

  2. Investors now net short S&P500 and increased Russell shorts, technicals suggest further selling[more]

    Komfie Manalo, Opalesque Asia: Market Neutral funds increased their market exposure to -1% net short from -6% net short last week, according to Bank of America Merrill Lynch’s Hedge Fund Monitor. The report also added

  3. Hedge fund assets decline in July - eVestment[more]

    Bailey McCann, Opalesque New York: Total assets in hedge funds declined in July and dropped 0.49%, marking the industry's second monthly asset decline in 2014, according to the latest asset flows data from eVestment. Despite the asset decline, total industry AUM remained above the $3 trillion

  4. AIMA makes 'the case for hedge funds'[more]

    Bailey McCann, Opalesque New York: The Alternative Investment Management Association (AIMA), the global hedge fund industry body,

  5. Managed futures' global diversification is important in next phase of economic recovery[more]

    Komfie Manalo, Opalesque Asia: The global diversification provided by managed futures may prove to be extremely valuable as the markets enter the next phase of the economic recovery, said Campbell & Company, a pioneer in absolute return invest