Opalesque Industry Update - The Parker FX Index is reporting a -0.59% return for the month of April. Fifty-two
programs in the Index reported April results, of which twenty-one reported positive results, thirty incurred losses
and one manager was flat. On a risk-adjusted basis, the Index was down -0.25% in April. |
The median return for the month was down -0.13%, while the performance for April ranged from a high of +4.14% to a low of -17.47%. 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 down -0.23%, and the Discretionary Index decreased by -0.95%. On a risk-adjusted basis, the Parker Systematic Index was down - 0.08% in April, and the Parker Discretionary Index was down -0.69%.
The top three performing constituent programs for the month of April, on a reported basis, returned +4.14%, +4.04% and +2.87%, respectively. The top three performers on a risk-adjusted basis returned +2.80%, +2.17% and +1.86%, respectively.
The US dollar was mixed for the month, with modest strength against the Mexican peso, euro and Swiss franc and weakness against the Canadian dollar, Japanese yen and British pound. Fiscal deficits, sovereign warnings/downgrades, political uncertainty, changes in risk appetite and carry trade adjustments continue to dominate price behavior. Currently, the FX markets lack a specific currency that serves as a true safe haven. The yen has been depreciating, and the stronger commodities-based units such as the Norwegian krone and Brazilian real are now seen as extremely overvalued.
About Parker FX Index
From inception (January, 1986 through April, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.13% and +8.96%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.66% and +3.53%, 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 56 programs managed by 47 firms located in the US, Canada, UK, Germany, Switzerland, Sweden, France, Ireland, Singapore and Australia. The 56 programs include a combination of 37 programs that are systematic and 19 programs that are discretionary. The 56 programs manage over $47 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 (PGS) provides both institutional and private clients a broad spectrum of custom tailored alternative investments including foreign exchange, managed futures, and energy infrastructure. PGS has advised on the placement of over US$3.0 billion since its inception, and has provided foreign exchange advisory and management services since 1996... Corporate website: Source km