Opalesque Industry Update – The Parker FX Index is reporting a +0.17% return for the month of December. Forty three
of the forty-seven programs in the Index reported December 2012 results, of which twenty-four reported positive
results and eighteen incurred losses, and one was flat. On a risk-adjusted basis, the Index was up +0.07% in
December. The median return for the month was +0.04%, while the performance for December ranged from a
high of +5.51% to a low of -6.45%.|
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 judgemental. During December, the Systematic Index was down -0.15% and the Discretionary Index was up 0.49%. On a risk-adjusted basis, the Parker Systematic Index was down -0.06% and the Parker Discretionary Index was up +0.36%.
The top three performing constituent programs for the month of December, on a reported basis, returned +5.51%, +4.30% and +2.60%, respectively. The top three performers on a risk-adjusted basis returned +5.34%, +4.63% and +1.51%, respectively.
In December, political uncertainty and accommodative, pro-growth monetary policies drove FX market trends. For the majority of the month, skepticism surrounding US fiscal cliff negotiations dominated headline news. Fortunately, Congress reached a last-minute solution that appeased global investors, but many issues including the debt ceiling still remain. G-10 currencies, excluding the Japanese yen, lacked any significant new developments and traded in a narrow range. The yen depreciated against other G-10 units following the promise by the new Japanese government to push for aggressive pro-growth policies. European currencies benefitted from the US political uncertainty which helped the euro and British pound strengthen slightly versus the US dollar. In emerging markets, regional growth expectations heavily influenced price behavior.
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 324-month compounded annual return since inception (January, 1986 through December, 2012) is up +10.62% on a reported basis and up +2.94% on a risk-adjusted basis.
From inception (January, 1986 through December, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.87% 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 +2.64% and +3.45%, respectively.