Sat, Apr 30, 2016
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. Hedge funds see $14.3bn outflows in Q1, CTAs and multi-strategy lead net inflows[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry saw net outflows of investor capital in the first quarter of the year, totaling $14.3bn, data from Preqin showed. This continues from the $8.9bn overall net outflows that funds recorded in Q4

  2. Third Point calls Q1 "catastrophic" for hedge funds[more]

    Bailey McCann, Opalesque New York: The first quarter of this year was rocky for hedge funds based on aggregate performance from the industry, but now we are beginning to hear what the managers thought of it as quarterly letters make their way to investors. Dan Loeb, CEO of New York-based $17 bill

  3. Asia - Stabilization of China's capital outflows may hinge on Janet Yellen, Fink says China to do well this year as bubble threat postponed, Chinese hedge fund to invest in India’s infrastructure[more]

    Stabilization of China's capital outflows may hinge on Janet Yellen From Bloomberg.com: Whether China’s recent stabilization of its currency and capital outflows continues -- or downside pressure reignites -- may hinge in large part on Janet Yellen. If the Federal Reserve chair sticks to

  4. …And Finally - After all, judges are human too[more]

    From Newsoftheweird.com: In March, one District of Columbia government administrative law judge was charged with misdemeanor assault on another. Judge Sharon Goodie said she wanted to give Judge Joan Davenport some files, but Davenport, in her office, would not answer the door. Goodie said once the

  5. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n