Thu, Feb 11, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index up +0.77% in July (-0.59% YTD)

Wednesday, August 29, 2012
Opalesque Industry Update - The Parker FX Index is reporting a +0.77% return for the month of July. Forty-six of the fifty programs in the Index reported July results, of which twenty-nine reported positive results and seventeen incurred losses. On a risk-adjusted basis, the Index was up +0.33% in July. The median return for the month was up +0.36%, while the performance for July ranged from a high of +10.40% to a low of –3.86%.

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 July, the Systematic Index was up +1.74%, and the Discretionary Index decreased by –0.21%. On a risk-adjusted basis, the Parker Systematic Index was up +0.63% in July, and the Parker Discretionary Index was down -0.16%.

The top three performing constituent programs for the month of July, on a reported basis, returned +10.40%, +10.10% and +5.46%, respectively. The top three performers on a risk-adjusted basis returned +3.48%, +3.33% and +3.08%, respectively.

For the first time in more than two years, commodities, equities, bonds, and the dollar posted monthly gains. Within currency markets, uncertainty surrounding the euro and prospects for future growth continue to drive returns. Safe haven currencies such as the US dollar and Japanese yen benefitted from the flight to safety as each currency rallied by +2.44% and 4.08%, respectively, versus the euro. In response to elevated concerns, European policy makers remained steadfast, and promised more monetary accommodation and other policy changes in order to defend the euro. Fears eased momentarily, prompting a “risk-on” environment. Both commodity sensitive and emerging market currencies benefitted as the Canadian dollar and Brazilian real appreciated by +2.29% and 1.93%, respectively, 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 319-month compounded annual return since inception (January, 1986 through July, 2012) is up +10.82% on a reported basis and up +2.97% on a riskadjusted basis.

From inception (January, 1986 through July, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.11% and +8.80%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.68% and +3.45%, 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 $43 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

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. Credit Suisse cherry picks hedge fund ideas[more]

    From FT.com: Credit Suisse Asset Management plans to cherry pick profitable concepts from hedge funds with the launch in Europe of a “best ideas” strategy. The investment arm of the Swiss bank said the strategy will separate it from other funds blighted by “overcrowding problems”. It comes at a time

  2. Investing - Hedge funds bet on risks in U.S. blue-chip debt, Hedge funds bets against bank credit risk paying off, Tiger Global still likes Internet names, gets pointers from Jeter[more]

    Hedge funds bet on risks in U.S. blue-chip debt From WSJ.com: Hedge funds are betting the next bond sector to crack will be the $4.5 trillion market for the safest U.S. corporate debt. New York’s Perry Capital has placed a $1 billion wager against investment-grade bonds issued by 10 comp

  3. Short Selling - Hedge fund manager Kyle Bass is shorting real estate—again, Top US hedge fund has €80m short position in Paddy Power Betfair[more]

    Hedge fund manager Kyle Bass is shorting real estate—again From Fortune.com: He also predicted the mortgage crisis in 2008. Hedge fund manager Kyle Bass, who runs Dallas-based Hayman Capital, tanked the stock of a little-known real estate financier Friday by revealing that he is shorting

  4. Investing - Real estate secondaries sole 'bright spot' in 2015, As hedge funds stumble, one firm prepares to buy illiquid stakes[more]

    Real estate secondaries sole 'bright spot' in 2015 From IPE.com: The secondary market for property was the sole “bright spot” over the course of 2015, as hedge fund secondaries saw deals fall by two-thirds, according to a wide-ranging survey of the market. Setter Capital said 2015 saw th

  5. Opalesque Exclusive: Directors want to be considered trusted partners by new manager[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A hedge fund director provides her perspective on emerging hedge fund managers. She will happily work with those who have set themselves up for future growth, s