Fri, Oct 9, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

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


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. U.S. hedge funds prepare for worst finish this year since 2008[more]

    Komfie Manalo, Opalesque Asia: U.S.-focused hedge funds are preparing for their worst year since the 2008 global financial crisis, following a series of letdown including the market sell-off in August and the sell-off in healthcare and biotechnology sectors last month, reported

  2. Investing - AQR Capital and Renaissance Technologies raise stakes in Southwest Airlines[more]

    From In the previous part of this series, we saw how institutional investors played Southwest Airlines (LUV) in 2Q15. Now let’s move on to the trades executed by key hedge funds in Southwest Airlines over the same period. … Most of the hedge funds that had significant exposu

  3. Manager Profile - Pimco alternative funds flourish as 30-year bond rally fades[more]

    From Inside Pacific Investment Management Co., the bond behemoth that lost two chief investment officers last year and saw almost $500 billion of client money leave, a hidden profit engine is easing some of the pain. For more than a decade, Newport Beach, California-based Pimco has qu

  4. Niche Investing - Art investment funds: Attracting institutional and other new investors[more]

    From The Deloitte/ArtTactic Art and Finance Report 2014 (the "Art and Finance Report") noted that the "global art investment fund market was estimated to be worth at least $1.26 billion in the first half of 2014." This seems almost inconsequential when juxtaposed with the $54 billion of

  5. DoubleLine’s Jeffrey Gundlach warns of another round of market shakedown[more]

    Komfie Manalo, Opalesque Asia: DoubleLine Capital co-founder Jeffrey Gundlach is painting a bleak future as he warned that the U.S. equity market and other risk markets, such as high-yield "junk" bonds, are facing another round of selling pressure. Gundlach said in an interview with