Thu, Dec 8, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX index down 0.79% in June (+0.71% YTD), top performer up 6.47%

Monday, August 02, 2010
Opalesque Industry Update – The Parker FX Index is reporting a -0.79% return for the month of June. Sixty-five programs in the index reported June results, of which twenty-two reported positive results and forty-three incurred losses. On a risk-adjusted basis, the Index was down -0.33% in June. The median return for the month was down - 0.72%, while the performance for June ranged from a high of +6.47% to a low of -5.97%. Year to date, the Parker FX Index is up +0.71%.

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 June, the Systematic Index was down -0.76% and the Discretionary Index was down -0.82%. Year to date, the Systematic Index is up +0.64% and the Discretionary Index is up +0.78%. On a risk-adjusted basis, the Parker Systematic Index was down -0.27% in June, and the Parker Discretionary Index was down -0.29%.

The top three performing constituent programs for the month of June, on a reported basis, returned +6.47%, +3.21% and +3.06%, respectively. The top three performers on a risk-adjusted basis returned +2.52%, +1.58% and +1.54%, respectively.

In June, the currency markets saw a broad-based reversal of currencies versus the US Dollar, which declined - 0.66% against a basket of G-6 currencies. Nearly all currencies reversed their year-to-date downward trends against the dollar, largely due to weakness in the USD as traders increased bets that the Federal Reserve will keep interest rates near zero for longer than previously expected. Some of the largest currency moves occurred in European currencies with the Swiss franc gaining 7% versus the US dollar after the Swiss central bank said that the threat of deflation has “practically disappeared,” fueling speculation that the central bank will not continue to constrain the currency.

Another large mover in the month was the British pound, which gained 3.8% relative to the dollar amid optimism that the country’s credit rating and growth will remain stable. Commodity currencies were generally positive in the month with the Australian dollar, New Zealand dollar and Canadian dollar all appreciating relative to the US dollar.

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 294 month compounded annual return since inception (January, 1986 through June, 2010) is up +11.88% on a reported basis and up +3.15% on a riskadjusted basis.

From inception (January, 1986 through June, 2010) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +12.09% and +9.77% 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 +3.75%, 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 68 programs managed by 58 firms located in the US, Canada, UK, Germany, Switzerland, France, Ireland, Singapore, and Australia. The 68 programs include a combination of 46 programs that are systematic and 22 programs that are discretionary. The 68 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.

www.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. Institutions - Texas County & District culls 5 hedge funds, reallocates to existing managers, Kentucky board gives final approval to halve hedge fund portfolio, $38bn Finnish fund moves assets to U.S. as Europe flounders, South Korea’s National Pension Fund holds 5% stake in 62 listed companies[more]

    Texas County & District culls 5 hedge funds, reallocates to existing managers Texas County & District Retirement System, Austin, continues to reduce the number of hedge funds, but not the size of its $6.2 billion hedge fund portfolio. It will redeem a total of $760 million from five hedg

  2. Opalesque Roundtable: Australian family offices search for good risk adjusted returns, happy to pay for skill[more]

    Komfie Manalo, Opalesque Asia: Australian family offices want foremost good risk adjusted returns, and they are happy to pay for the skill, and in some cases, the limited capacity of an active manager. Jonas Daly, Head of Distribution at B

  3. StepStone announces close of Swiss Capital acquisition[more]

    StepStone Group LP announced it has successfully closed the acquisition of Swiss Capital Alternative Investments AG, one of the leading private debt and hedge fund solutions providers in Europe. The transaction was originally announced in May 2016, and has been in the process of receiving regulatory

  4. Investing - Stephen Cohen investing $275m in free clinics treating veterans' mental health issues, California Resources loses favor with hedge funds[more]

    Stephen Cohen investing $275m in free clinics treating veterans' mental health issues From Healthcarefinancenews.com: …Now, a new chain of free mental health clinics for vets has opened in five cities across the United States to fill the gap. The much-needed new treatment is underwritten

  5. Hedge funds flat in last week of November 'in sympathy with markets’[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were close to flat in the last week of November in sympathy with markets, which took a pause ahead of the OPEC meeting and Italian referendum. The Lyxor Hedge Fund Index was -0.1% as of end November 29 (-1.7% YTD), according to the latest