Mon, Mar 27, 2017
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. Hedge fund liquidations in 2016 surpass 2009 levels, new launches decline[more]

    Benedicte Gravrand, Opalesque Geneva: Even as the hedge fund industry's total assets exceeded the $3tln milestone last year, hedge fund liquidations increased. So much so that 2016 had the highest number of liquidations since 2008, claims the latest HFR Market Microstructure Report, re

  2. Hedge funds find no joy in macro as returns lag Trump rally[more]

    From Gulfnews.com: In 2017, macro hedge funds were expected to shine. So far? Not so much. It's been a far from impressive first two months for funds that trade around macroeconomic events. Discretionary funds rose just 0.3 per cent through February, according to Hedge Fund Research Inc., while the

  3. Strategies - Billionaire investor Marc Lasry shares how he's playing markets right now, Classic models are failing FX hedge funds desperate for return[more]

    Billionaire investor Marc Lasry shares how he's playing markets right now From CNBC.com: Buy on the prospect of deregulation. Sell on the enactment of deregulation. That's the strategy that billionaire investor Marc Lasry is implementing, according to an interview with CNBC in Las Vegas

  4. Opalesque Exclusive: Aberdeen makes the case for the lower mid-market[more]

    Bailey McCann, Opalesque New York: Aberdeen Asset Management has released a new paper focused on lower mid-market private equity. According to the paper, this segment of the private equity market is gaining popularity with private equity investors that are looking for multiple expansion and less

  5. Hedge funds await outcome of French elections, feel pinch on lower oil prices & weak dollar[more]

    Komfie Manalo, Opalesque Asia: Hedge funds felt the pinch of lower oil prices and weak U.S. dollar as the Lyxor Hedge Fund Index was marginally down as of the week ending 14 March, Lyxor Asset Management said in its Weekly Briefing. The Lyxor He