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Parker FX Index up +0.47% for the month of May (-0.82% YTD)

Friday, June 29, 2012
Opalesque Industry Update - The Parker FX Index is reporting a +0.47% return for the month of May. Fifty-one programs in the Index reported May results, of which thirty-one reported positive results and twenty incurred losses.

On a risk-adjusted basis, the Index was up 0.20% in May. The median return for the month was up +0.84%, while the performance for May ranged from a high of +11.36% to a low of -25.66%.

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 May, the Systematic Index was up +1.66%, and the Discretionary Index decreased by -0.73%. On a risk-adjusted basis, the Parker Systematic Index was up +0.60% in May, and the Parker Discretionary Index was down -0.53%.

The top three performing constituent programs for the month of May, on a reported basis, returned +11.36%, +9.98% and +8.31%, respectively. The top three performers on a risk-adjusted basis returned +4.72%, +4.65% and +3.35%, respectively.

Headline news in Europe overwhelmed financial markets for much of the month. High yielding assets were indiscriminately sold in May in favor of global fixed income, the US Dollar and Japanese yen. Currencies of countries with significant dependence on commodities on global growth were markedly lower, depreciating in excess of 4% versus the US dollar. Emerging markets were notably weaker, despite its stronger fiscal position and current account surpluses relative to its G10 counterparts. EM currencies remain very sensitive to changes in risk appetite and carry trade adjustments, as evidenced by the multi-year lows recorded versus the USD.

(press release)

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 317-month compounded annual return since inception (January, 1986 through May, 2012) is up +10.90% on a reported basis and up +2.98% on a risk adjusted basis...Corporate website:Source

PD

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