Wed, Jan 28, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index up +0.93% in January

Thursday, February 28, 2013
Opalesque Industry Update - The Parker FX Index is reporting a +0.93% return for the month of January. Fortytwo of the forty-five programs in the Index reported January results, of which thirty reported positive results and eleven incurred losses, and one was flat. On a risk-adjusted basis, the Index was up +0.40% in January. The median return for the month was +0.95%, while the performance for January ranged from a high of +4.63% to a low of -4.31%.

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 January, the Systematic Index was up 0.77% and the Discretionary Index was up 1.10%. On a risk-adjusted basis, the Parker Systematic Index was up 0.28% and the Parker Discretionary Index was up +0.81%.

The top three performing constituent programs for the month of January, on a reported basis, returned +4.63%, +4.20% and +4.16%, respectively. The top three performers on a risk-adjusted basis returned +3.87%, +2.91% and +2.66%, respectively. Global financial markets trended higher following the fiscal cliff resolution as appetite for risk resumed.

Accommodative, pro-growth monetary policies continued to drive FX market trends. Eurozone economic sentiment rose for the third straight month, signaling improvement across all sectors that resulted in the euro reaching a 14-month high against the dollar and a 33-month peak against the yen. The yen experienced further declines versus other G-10 units due to greater pressure on the Bank of Japan for more aggressive monetary easing.

Regional growth developments and monetary policy actions impacted emerging market currencies. Major Asian currencies, excluding the Indian rupee and Thai baht, fell against the dollar while eastern European currencies benefited from the improved outlook for the eurozone region.

The Parker FX Index is a performance-based benchmark that measures both the reported and the riskadjusted 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 325-month compounded annual return since inception (January, 1986 through January, 2013) is up +10.62% on a reported basis and up +2.95% on a riskadjusted basis.

From inception (January, 1986 through January, 2013) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.86% and +8.69%, 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 +3.47%, respectively.

km

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. Investing - U.S. investors favor currency hedged Europe ETFs as euro tumbles, Quants win back investors as Swiss franc fuels volatility gains, David Einhorn's $7bn hedge fund is loading up on this stock, Hedge fund BlueMountain Capital unveils Ocwen Financial short, claims default on notes[more]

    U.S. investors favor currency hedged Europe ETFs as euro tumbles From Reuters.com: U.S. investors stung by the falling euro who want to stay invested in Europe are turning to exchange-traded funds designed to strip out the impact of the region's currency. The biggest among so-called "cur

  2. News Briefs - Millennials use tech tools to jump into investing, Winklevoss twins to launch bitcoin exchange with FDIC insured deposits, Robertson’s legacy from hedge funds to New Zealand, Real estate managers exploring smaller open-end funds[more]

    Millennials use tech tools to jump into investing It is the Facebookification of monetary investing. From social networking platforms that enable young investors to stick to every other's stock-picking mojo, to internet sites for initially-timers hungry for a piece of the Silicon Valley

  3. Comment - Why invest in hedge funds if they don't outperform the market?[more]

    From Forbes.com: Hedge funds have always been a bit exotic and an enigma to some, but bottom line they are supposed to produce good returns using a range of strategies including global macro, event driven and relative value (arbitrage). And, sophisticated or high-net-worth individuals (HNWIs) could

  4. Owen Li 'truly sorry' for blowing up $100m of hedge fund’s assets[more]

    From CNBC.com: A hedge fund manager told clients he is "truly sorry" for losing virtually all their money. Owen Li, the founder of Canarsie Capital in New York, said Tuesday he had lost all but $200,000 of the firm's capital—down from the roughly $100 million it ran as of late March. "I take r

  5. Indices - Barclay CTA Index gains 7.71% in 2014; largest traders return 12.31% for the year, Wilshire Liquid Alternative Index family outperforms investable hedge fund index counterparts in 2014[more]

    Barclay CTA Index gains 7.71% in 2014; largest traders return 12.31% for the year The Barclay CTA Index compiled by BarclayHedge gained 7.71% in 2014. The Barclay BTOP50 Index, which measures performance of the largest CTAs, was up 12.31% in 2014. “The BTOP50 had a strong finish, e