Opalesque Industry Update - The Parker FX Index is reporting a +0.72% return for the month of March. Forty-one
of the forty-five programs in the Index reported March 2013 results, of which twenty-seven reported positive results and
fourteen incurred losses. On a risk-adjusted basis, the Index was up +0.31% in March. The median return for the
month was +0.36%, while the performance for March ranged from a high of +8.96% to a low of -3.27%.|
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 March, the Systematic Index was up +1.28% and the Discretionary Index was up +0.15%. On a risk-adjusted basis, the Parker Systematic Index was up +0.47% and the Parker Discretionary Index was up +0.11%.
The top three performing constituent programs for the month of March, on a reported basis, returned +8.96%, +8.60% and +6.49%, respectively. The top three performers on a risk-adjusted basis returned +3.54%, +3.50% and +3.23%, respectively.
The US Dollar Index (DXY) moved higher by 1.25% as economic uncertainty in Europe and aggressive monetary easing in Japan led to increased demand for the US dollar. The euro weakened against other G-10 currencies as investors reacted to Cyprus bailout negotiations and continued political instability in Italy. Major Asian currencies, excluding the Thai baht, fell against the US dollar. In Latin America, the Mexican peso significantly rallied versus the dollar after an interest rate cut by Mexico’s central bank and the release of a surprisingly strong US jobs report.
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 327-month compounded annual return since inception (January, 1986 through March, 2013) is up +10.58% on a reported basis and up +2.95% on a risk adjusted basis.
From inception (January, 1986 through March, 2013) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.85% and +8.63%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.66% and +3.46%, respectively.
Founded in 1995, Parker Global Strategies (PGS) provides both institutional and private clients a broad spectrum of custom tailored alternative investments including foreign exchange, managed futures, and energy infrastructure. PGS has advised on the placement of over US$3.0 billion since its inception, and has provided foreign exchange advisory and management services since 1996.