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.