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Parker FX Index down -0.99% in June, (-1.35% YTD)

Friday, July 27, 2012
Opalesque Industry Update - The Parker FX Index is reporting a -0.99% return for the month of June. All fifty programs in the Index reported June results, of which twenty-one reported positive results and twenty-nine incurred losses. On a risk-adjusted basis, the Index was down -0.42 % in June. The median return for the month was down - 1.04%, while the performance for June ranged from a high of +8.38% to a low of –7.05%.

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 -1.10%, and the Discretionary Index decreased by –0.88%. On a risk-adjusted basis, the Parker Systematic Index was down - 0.40% in June, and the Parker Discretionary Index was down -0.64%.

The top three performing constituent programs for the month of June, on a reported basis, returned +8.38%, +3.80% and +2.07%, respectively. The top three performers on a risk-adjusted basis returned +3.08%, +1.70% and +1.32%, respectively.

Currency markets remain sensitive to headline news and economic data releases. June was largely a “riskon” month, with investors favoring higher yielding assets over the perceived safety of the USD and Treasuries. Not surprising, previously oversold currencies were supported by a strong bid that helped the AUD and NZD to strong gains month-over-month, as well as that of Eastern European currencies. Specifically, the European summit at month end positively surprised investors as European leaders agreed on multiple short-term and long-term plans to restore confidence in the European Union. Commodity currencies rallied as a result of the increased risk appetite appreciating approximately 4% versus the US dollar.

(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 318-month compounded annual return since inception (January, 1986 through June, 2012) is up +10.82% on a reported basis and up +2.96% on a riskadjusted basis.

From inception (January, 1986 through June, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.08% and +8.83%, 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 +3.47%, 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 50 programs managed by 43 firms located in the US, Canada, UK, Germany, Switzerland, Sweden, France, Ireland, Singapore and Australia. The 50 programs include a combination of 32 programs that are systematic and 18 programs that are discretionary. The 50 programs manage over $42 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
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