Opalesque Industry Updates - The Parker FX Index is reporting a +0.52% return for the month of April. Sixty-five
programs in the index reported April results, of which forty-four reported positive results, twenty incurred losses
and one was flat. On a risk-adjusted basis, the Index was up +0.21% in April. The median return for the month was
up +0.45%, while the performance for April ranged from a high of +6.15% to a low of -4.82%. Year to date, the
Parker FX Index is up +1.30 %. |
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 April, the Systematic Index was up +0.59% and the Discretionary Index was up +0.44%. Year to date, the Systematic Index is up +0.99% and the Discretionary Index is up +1.62%. On a risk-adjusted basis, the Parker Systematic Index was up +0.20% in April, and the Parker Discretionary Index was up +0.15%.
The top three performing constituent programs for the month of April, on a reported basis, returned +6.15%, +3.84% and +3.71%, respectively. The top three performers on a risk-adjusted basis returned +2.46%, +2.45% and +2.04%, respectively.
Currency markets were marked by continued depreciation of European currencies as the euro declined - 1.58% and -1.16% relative to the USD and JPY, respectively, on concerns about Europe’s ability to support the PIIGS nations. On April 26th, the EU announced a €45 billion aid package to Greece; however, significant uncertainties remain over how Europe will fund such package and whether any of the other PIIGS nations require a similar aid package.
The greatest beneficiary of the developments in Europe has been the US dollar, which continued to appreciate in April with the DXY Index gaining +1.35% as investors bought dollars on heightened risk aversion. The dollar also gained in April due to strengthening US economic indicators and reduced shorting pressures on the dollar as financial institutions eased carry positions which used the USD as the funding currency. Managers involved in the emerging markets space also performed well, benefitting from gains in Asian currencies, notably the Singapore dollar (+2.3% vs. USD) and Malaysian ringgit (+2.5%), which appreciated on speculation that regional central banks would raise borrowing rates as economic growth accelerates.
The Parker FX Index is a performance-based benchmark that measures both the reported and the risk- adjusted 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 292 month compounded annual return since inception (January, 1986 through April, 2010) is up +11.99% on a reported basis and up +3.16% on a risk- adjusted basis.
From inception (January, 1986 through April, 2010) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +12.19% and +9.87% respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.81% and +3.36%, 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 71 programs managed by 61 firms located in the US, Canada, UK, Germany, Switzerland, France, Ireland, Singapore, and Australia. The 71 programs include a combination of 48 programs that are systematic and 23 programs that are discretionary. The 71 programs manage over $36 billion in currency strategy assets. The Index also includes the performance of currency managers 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. Corporate website: Source