Wed, Apr 1, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index reports +0.48% (est.) for February, +1.46% YTD

Thursday, March 28, 2013
Opalesque Industry Update – The Parker FX Index is reporting a +0.48% return for February 2013. Forty one of the forty-five programs in the Index reported February results, of which twenty reported positive results and twenty-one incurred losses. On a risk-adjusted basis, the Index was up +0.21% in February. The median return for the month was -0.01%, while the performance for February ranged from a high of +6.96% to a low of -2.11%.

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 February, the Systematic Index was up +0.40% and the Discretionary Index was up +0.56%. On a risk-adjusted basis, the Parker Systematic Index was up +0.15% and the Parker Discretionary Index was up +0.41%.

The top three performing constituent programs for the month of February, on a reported basis, returned +6.96%, +4.72% and +2.42%, respectively. The top three performers on a risk-adjusted basis returned +3.13%, +3.04% and +2.68%, respectively.

Bullish financial markets persisted as investors’ risk appetites strengthened. The upcoming US spending cuts had little effect on the dollar’s rally which was supported by positive economic data. For the month, the US Dollar Index (DXY) reached a six-month high strengthening by 3.46%. The euro fell against other G-10 currencies as Italian political instability negatively impacted the region. Elsewhere, the Japanese yen fell by 0.91% versus the US dollar as the currency continues to weaken due to plans for more aggressive monetary easing. Regional growth developments and monetary policy actions impacted emerging market currencies. Major Asian currencies, excluding the Indian rupee and Taiwanese dollar, modestly appreciated versus the US dollar. Eastern European currencies were negatively impacted by the eurozone political instability.

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 326-month compounded annual return since inception (January, 1986 through February, 2013) is up +10.61% on a reported basis and up +2.96% on a riskadjusted basis.

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. Other Voices: Does the hedge fund industry benefit society?[more]

    This article was authored by Don Steinbrugge, Chairman of Agecroft Partners, a US-based global consulting and third party marketing firm for hedge funds. It is no secret that the hedge fund industry is viewed negatively by a la

  2. Private credit comes into focus for investors[more]

    Bailey McCann, Opalesque New York: As investors look for a way out of the low yield/no yield environment, private credit is becoming an increasingly attractive asset class, according to a white paper from Bayshore Capital Advisors. Private credit has grown steadily since the financial crisis as

  3. Other Voices: The role of diversification in CTA portfolios[more]

    2014 brought a resurgence of managed futures strategies, or CTAs, which performed very well as a whole, outperforming all other hedge fund strategies. However, a closer look reveals that there was a wide range of performance, or return dispersion, across managers. The bottom line? Not all CTAs

  4. Neuberger Berman unit buys 20% stake in activist hedge fund Jana Partners for $2bn[more]

    Komfie Manalo, Opalesque Asia: Neuberger Berman’s unit Dyal Capital Partners bought a 20% stake in activist hedge fund firm Jana Partners worth $2bn, WSJ.com reports. The deal comes as activi

  5. Hedge fund launches fall again, $1bn funds found to outperform even smaller hedge funds[more]

    Komfie Manalo, Opalesque Asia: The number of new hedge fund launches fell again in 2014, the third consecutive year of decline, while fund liquidations saw their first drop since 2010, according to the latest HFR Market Microstructure Industry Report released by industry data provider HFR. Acc

 

banner