Opalesque Industry Update - The Parker FX Index is reporting a +0.74% return for the month of May. Forty of the
forty-three programs in the Index reported May results, of which twenty reported positive results, nineteen incurred
losses, and one was flat. On a risk-adjusted basis, the Index was up +0.32% in May 2013. The median return for the
month was +0.10%, while the performance for May ranged from a high of +9.43% to a low of -8.62%.|
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 May, the Systematic Index was up +0.18% and the Discretionary Index was up +1.30%. On a risk-adjusted basis, the Parker Systematic Index was up +0.06% and the Parker Discretionary Index was up +0.96%.
The top three performing constituent programs for the month of May on a reported basis, returned +9.43%, +7.76% and +6.21%, respectively. The top three performers on a risk-adjusted basis returned +4.45%, +4.27% and +3.94%, respectively.
In the US, improving economic growth and increased speculation surrounding the Federal Reserve’s decision to end or slow quantitative easing prompted the dollar to strengthen against sixteen of its most traded counterparts. The Bank of Japan continued an aggressive campaign against deflation as the yen fell by 3.08% versus the US dollar, and the dollar rose above the ¥100 for the first time since April 2009. Emerging market currencies were negatively impacted by the US dollar strengthening.
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 329-month compounded annual return since inception (January, 1986 through May, 2013) is up +10.52% on a reported basis and up +2.97% on a riskadjusted basis.
From inception (January, 1986 through May, 2013) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.73% 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 +2.67% and +3.48%, respectively.