Opalesque Industry Update – The Parker FX Index is reporting a +0.15% return for the month of November 2012.
Forty-three of the forty-seven programs in the Index reported November results, of which twenty reported positive
results and twenty-two incurred losses, and one was flat. On a risk-adjusted basis, the Index was up +0.07% in
November. The median return for the month was -0.02%, while the performance for November ranged from a high
of +3.70% to a low of -3.60%. |
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 November, the Systematic Index was up +0.31% and the Discretionary Index was flat. On a risk-adjusted basis, the Parker Systematic Index was up +0.11% in November and the Parker Discretionary Index was flat.
The top three performing constituent programs for the month of November, on a reported basis, returned +3.70%, +3.67% and +3.12%, respectively. The top three performers on a risk-adjusted basis returned +3.20%, +1.99% and +1.99%, respectively.
Fiscal deficits, sovereign warnings/downgrades, political uncertainty, changes in risk appetite and carry trade adjustments continue to dominate price behavior in currency markets. Following the US election, currency markets generally returned to “risk-on” trading, although not without hesitation. Higher yielding resources-driven currencies and Eastern European currencies appreciated versus the US dollar. Currency markets have been fixated on stimulus measures in the US and Europe as well as policy measures to keep the euro from breaking apart. In November, there were few significant events; G10 currencies, except for the Japanese yen, moved in narrow ranges.
In Japan, the yen weakened as a result of disappointing economic data and the possibility for more aggressive measures by the Bank of Japan following the upcoming election.
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 323-month compounded annual return since inception (January, 1986 through November, 2012) is up +10.65% on a reported basis and up +2.94% on a risk-adjusted basis.
From inception (January, 1986 through November, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.91% and +8.68%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.65% and +3.44%, respectively.