Sat, Aug 1, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index up 0.78% for the month of March, top performer up +4.72%

Monday, April 26, 2010
The Parker FX Index is reporting a +0.78% return for the month of March. Sixty-two programs in the index reported March results, of which forty reported positive results and twenty-two incurred losses. On a risk-adjusted basis, the Index was up +0.32% in March. The median return for the month was up +0.46%, while the performance for March ranged from a high of +4.72% to a low of -3.93%. Year to date return of the Parker FX Index is up +0.80%.

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 +0.60% and the Discretionary Index was up +0.95%. Year to date the Systematic Index is up +0.42% and the Discretionary Index is up +1.18%. On a risk-adjusted basis, the Parker Systematic Index was up +0.21% in March, and the Parker Discretionary Index was up +0.33%.

The top three performing funds for the month of March, on a reported basis, returned +4.72%, +4.69% and +3.95%, respectively. The top three performers on a risk-adjusted basis returned +8.82%, +2.55% and +2.14%, respectively.

During the month the USD continued its appreciation relative to the majors with the DXY Index gaining 0.62%. The US dollar rally was driven by strengthening US economic figures, subdued inflation and on dropping selling pressures. Additionally, the dollar has been a beneficiary of the uncertainty in the Euro-zone amidst the Greek debt crisis as investors sold euros. During the month the Japanese yen declined -4.85% relative to the dollar due to dampened demand for the refuge currency on continued signs supporting a global economic recovery.

Managers that were long commodity currencies benefitted with positioning in the Canadian dollar, Australian dollar and New Zealand dollar, all of which appreciated against the US dollar amidst strengthening oil prices. Managers that were long emerging market currencies also benefitted from gains in the Mexican peso, which was up 3.39% versus the US dollar after the Mexican Finance Ministry raised its forecast for the country’s economic growth.

Managers in the emerging space also gained from long positions in the Hungarian Forint which was up nearly 1% versus the USD on indications that economic growth will continue to expand due to low inflation figures.

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 291 month compounded annual return since inception (January, 1986 through March, 2010) is up +12.01% on a reported basis and up +3.16% on a riskadjusted basis.

From inception (January, 1986 through March, 2010) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +12.21% 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 $36 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

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. Opalesque Exclusive: Despite bumpy June/July, CTAs hold on[more]

    Bailey McCann, Opalesque New York: To say that things have been rocky in managed futures recently is putting it mildly. In June, the industry saw its worst month on a performance basis in the past four years. Then yesterday,

  2. Investing - Hedge fund billionaires bet on London as revival gathers pace[more]

    From Bloomberg.com: London’s fund industry is bouncing back, and U.S. billionaires Steven A. Cohen and Ken Griffin are grabbing a piece of the action. Griffin’s Citadel and Millennium Management, a hedge fund run by Israel Englander, have bulked up in London, where asset growth is outpacing the U.S.

  3. Other Voices: Same day reporting and the evolving role of fund administrators[more]

    By: Scott Price, Head of Business Development and Client Management for North America, Maitland Ernst & Young’s latest glob

  4. Cowen Group, Inc. to acquire Conifer Securities[more]

    Cowen Group, Inc. and Conifer Securities, LLC had announced the signing of a definitive agreement under which Cowen will acquire Conifer Securities, the prime services division of Conifer Financial Services LLC. The transaction, the terms of which have not yet been disclosed, was approved by the boa

  5. Cargill’s Black River Asset to shut down four hedge funds[more]

    Komfie Manalo, Opalesque Asia: Cargill Inc.’s $7.4 billion Black River Asset Management said it was closing four hedge funds with a combined $ 1 billion in assets and start returning investors money over the next several months, various media said. The hedge funds represent 15% of Black River’

 

banner