Opalesque Industry Update - The Parker FX Index is reporting a -0.58% return for the month of August. Forty-five
of the fifty programs in the Index reported August results, of which fifteen reported positive results and thirty
incurred losses. On a risk-adjusted basis, the Index was down -0.25% in August. The median return for the month
was down -0.47%, while the performance for August ranged from a high of +1.90% to a low of –5.70%.|
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 August, the Systematic Index was down -1.33%, and the Discretionary Index increased by +0.17%. On a risk-adjusted basis, the Parker Systematic Index was down - 0.48% in August, and the Parker Discretionary Index was up +0.13%.
The top three performing constituent programs for the month of August, on a reported basis, returned +1.90%, +1.25% and +1.05%, respectively. The top three performers on a risk-adjusted basis returned +2.95%, +1.97% and +0.69%, respectively.
During the month, markets were dominated by global policy measures to address the European crisis and lower growth expectations, as well as outflows from many “higher risk” Eurozone countries. By month-end, investors were confident that additional aggressive monetary measures were imminent resulting in increased risk taking. Expecting more liquidity, the flight to safety into the US dollar reversed as the US Dollar Index fell by - 1.73%, and the USD was lower against the euro by -2.39%. In Asia, fears of a slowing Chinese economy grew stronger following the release of July’s export data which grew at the slowest pace since 2009. To alleviate concerns, China announced 8 trillion yuan of stimulus projects. Analysts remain skeptical, and believe that the government could lower the value of the yuan to bail out manufacturers.
The Parker FX Index is a performance-based benchmark that measures both the reported and the risk- adjusted 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 320-month compounded annual return since inception (January, 1986 through August, 2012) is up +10.76% on a reported basis and up +2.95% on a risk- adjusted basis.
From inception (January, 1986 through August, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +11.02% and +8.78%, 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 +3.45%, 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