Opalesque Industry Update - The Parker FX Index is reporting a +0.50% return for the month of February. Sixtyfour programs in the index reported February results, of which forty-three reported positive results, twenty incurred losses and one was flat. On a risk-adjusted basis, the Index was up +0.20% in February. The median return for the month was up +0.39%, while the performance for February ranged from a high of +5.37% to a low of -7.61%. Year to date return of the Parker FX Index is up +0.14%.|
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 +0.41% and the Discretionary Index was up +0.58%. Year to date the Systematic Index is down -0.11% and the Discretionary Index is up +0.39%. On a risk-adjusted basis, the Parker Systematic Index was up +0.14% in February, and the Parker Discretionary Index was up +0.20%.
The top three performing funds for the month of February, on a reported basis, returned +5.37%, +4.59% and +3.16%, respectively. The top three performers on a risk-adjusted basis returned +3.48%, +1.61% and +1.58%, respectively.
The vast majority of positively performing managers benefitted from short positions in European major currencies; notably the Euro, the British pound and the Swiss franc. During the month the euro continued its depreciation relative to the US dollar with the EUR declining -1.69% on heavy selling pressures by hedge funds and other market participants.
Concerns linger about Europe’s ability to bail out Greece from its enormous debt obligation, particularly after S&P and Moody’s both indicated that they may lower Greece’s debt rating by one to two notches, which could exacerbate Greece’s financial distress as its bonds would no longer be eligible for collateral. Switzerland’s currency depreciated –1.18% to the USD on fears of risk contagion in Europe as well as on Parker FX Index speculation that the Swiss National Bank sold some of the currency in the month.
The pound was the worst performing currency among the majors as Britain’s currency declined -4.65% versus the dollar on concerns that the UK may struggle to manage its rising debt amid signs that its economic recovery is faltering.
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 290 month compounded annual return since inception (January, 1986 through February, 2010) is up +12.03% on a reported basis and up +3.16% on a risk adjusted basis.
From inception (January, 1986 through February, 2010) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +12.23% and +9.89% respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.82% and +3.37%, respectively.
The Parker FX Index tracks the performance, or value-added, that managers have generated from positioning long or short foreign currencies. The Index is equally weighted, as opposed to capitalization weighted, to preclude very large managers from swaying the performance in a direction that may not be representative of the currency manager universe. Parker Global Strategies applies its model to the performance of a representative currency portfolio or composite, net of fees, and excluding interest for each currency manager.
The Parker FX Index currently includes 67 programs managed by 58 firms located in the US, Canada, UK, Germany, Switzerland, France, Ireland, Singapore, and Australia. The 67 programs include a combination of 45 programs that are systematic and 22 programs that are discretionary. The 67 programs manage over $35 billion in currency strategy assets. The Index also includes the performance of currencymanagers who are no longer trading in order to address survivorship bias. Disciplines include technical, fundamental, and quantitative.
Founded in 1995, Parker Global Strategies specializes in designing and managing multi-manager hedge fund strategies for institutional clients across the globe and providing risk management oversight. PGS also designs and manages niche fund of hedge funds including Currency, US Energy Infrastructure, Transparency, CTAs and Green. - KM - Corporate website: Source