Tue, Sep 27, 2016
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. Star names struggle as smaller hedge funds make hay[more]

    From eFinancialnews.com: Many big-name funds have been hit by sharp reversals in markets, including US government bonds and UK stocks, and have struggled to extricate themselves from positions that have gone bad. According to data group eVestment, hedge funds below $250 million in size are up 4.1% t

  2. North America - Acela fight splits hedge fund Connecticut and old money enclaves[more]

    From Bloomberg.com: Connecticut’s residential coastline is two worlds, the one of newcomer millionaires and one whose wealth and New England roots span generations. Now, their differences over a rail route threaten to gum up plans for the U.S. Northeast’s fastest-ever trains. About 30 miles from Man

  3. Activist News - Caesars offers creditors another $1.6bn, would spell end of hedge fund ownership, Activist investors double chance of CEO exits[more]

    Caesars offers creditors another $1.6bn, would spell end of hedge fund ownership From Calvinayre.com: Casino operator Caesars Entertainment has improved its offer to junior creditors to over $5b, but the offer is only good until Friday. On Wednesday, Caesars added an extra $1.6b to the $

  4. Nobel Sustainability Trust, Prince Albert II of Monaco help launch major new initiative to drive sustainable technologies[more]

    Matthias Knab, Opalesque: The Nobel Sustainability® Trust ("NST") is leading a major new initiative to finance, incubate and accelerate the development of clean technologies. The initiative will start with the formation of the Nobel Sustainability Fund® ("NSF"). NSF will drive faster access t

  5. Comment - ‘Gut feeling’ measurable in hedge fund traders, How hedge fund managers can use blockchain to maximize benefits[more]

    ‘Gut feeling’ measurable in hedge fund traders From Laboratoryequipment.com: “Gut feeling” is an intangible – an automatic hunch – based on prior experience for some people. But the “gut feeling” is actually a measurable response developed in professionals doing some high-risk work, acco