Sun, May 29, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index up 0.17% in December, -1.12% for 2012

Thursday, January 31, 2013
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.

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. Americas - Australian banks sending U.S. hedge funds broke, Ryan Puerto Rico ‘rescue’ bill could be windfall for hedge funds[more]

    Australian banks sending U.S. hedge funds broke From SMH.com.au: US hedge funds are not having the best of years. Profits are hard to find, they're underperforming and the punters are losing patience, withdrawing US$15 billion ($20.8 billion) in the March quarter. They're expected to wit

  2. Investing - Billionaire Wilbur Ross likes the look of Chinese bad loans, Hedge funds are still relevant in a diversified portfolio: 4 fundamental criteria for superior manager selection[more]

    Billionaire Wilbur Ross likes the look of Chinese bad loans From Bloomberg.com: U.S. billionaire Wilbur Ross said he’s considering investing in nonperforming loans in China, as Moody’s Investors Service said that the nation has the tools to prevent a financial crisis in the near term. I’

  3. Investing - Blackstone gives pricey Canadian energy and property thumbs down, One of the most concentrated hedge fund bets is getting crushed, Facebook is hedge funds' new tech darling,[more]

    Blackstone gives pricey Canadian energy and property thumbs down From Bloomberg.com: Canada’s energy assets are uneconomic and real-estate markets overvalued, making them less attractive for investment than in the U.S. and elsewhere, according to Tony James, president of Blackstone Group

  4. Study - Only 30% of institutional hedge fund portfolios beat the benchmark[more]

    Bailey McCann, Opalesque New York: A new study from CEM Benchmarking, an independent provider of cost and performance analysis for pension funds, shows that only 30 percent of institutional investors hedge fund portfolios beat the benchmark after fees. The study provides in depth analysis of real

  5. Opalesque Exclusive: $1bn hedge fund club grows to 668 managers, continues to dominate (Part One)[more]

    Komfie Manalo, Opalesque Asia: Despite an underwhelming 2015 and a slow start to 2016 in terms of performance, one group of managers that continues to dominate the assets of the hedge fund industry is the so called $1bn club – hedge fund managers with at least $1bn in assets under management (AU