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
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.