Wed, Jan 18, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index reports +0.74% for May, +1.72% YTD

Thursday, June 27, 2013
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.

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. The Big Picture: The case for emerging market debt in 2017[more]

    Benedicte Gravrand, Opalesque Geneva: Emerging market (EM) assets outperformed in 2016 mainly because of stronger fundamentals and an improving international environment, with GDP picking up speed, leading to positive earnings revisions for the first time in five years,

  2. Short Selling - Long-short hedge funds are ditching the shorts to focus on longs[more]

    From Bloomberg.com: What happens when you take the "short" out of a long-short trading strategy? Some hedge funds are about to find out. Equity long-short fund managers, the biggest category in hedge funds, hold the fewest bearish stock bets on record, data compiled by Credit Suisse Group AG s

  3. SWFs - China sovereign wealth fund CIC plans more U.S. investments[more]

    From Reuters.com: China Investment Corporation (CIC), the country's sovereign wealth fund, is looking to raise alternative investments in the United States due to low returns in public markets, its chairman said on Monday. CIC will boost its investments in private equity and hedge funds as wel

  4. Some hedge funds strong start in 2017 nice contrast to 2016[more]

    With the 2016 HSBC Hedge Weekly performance rankings in the books - a year in which the same leader-board entries pretty much dominated unchallenged throughout the year - comes a new leader board that is a hard-scrabble mix of hedge fund styles and categories. What is clear after but a few short wee

  5. Macro hedge funds and CTAs outperform in December on strong dollar[more]

    Komfie Manalo, Opalesque Asia: The last month of 2016 saw risk assets climbing higher, as part of expectations that the new U.S. administration will remove barriers to growth and investment, Lyxor Asset Management said. December also saw the Fed hik