Opalesque Industry Update – The Parker FX Index is reporting a +0.28% return for the month of September 2012. Fortyeight
of the fifty programs in the Index reported September results, of which twenty-eight reported positive results
and twenty incurred losses. On a risk-adjusted basis, the Index was up +0.12% in September. The median return for
the month was up +0.22%, while the performance for September ranged from a high of +5.81% to a low of
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 September, the Systematic Index was up +0.09%, and the Discretionary Index increased by +0.46%. On a risk-adjusted basis, the Parker Systematic Index was up +0.03% in September, and the Parker Discretionary Index was up +0.34%.
The top three performing constituent programs for the month of September, on a reported basis, returned +5.81%, +4.90% and +3.20%, respectively. The top three performers on a risk-adjusted basis returned +3.61%, +2.62% and +2.41%, respectively.
During the month, markets were dominated by monetary policy actions of the G10 countries central banks.
In the US, the Federal Reserve announced additional quantitative easing with open end buying of Mortgage Backed Securities and extended its time horizon for zero rates to 2015. In Asia, the BoJ increased its bond buying program and the Bank of China adopted several measures to improve liquidity through fiscal stimulus. In Europe, the focus shifted from Greece to the larger economy of Spain. Despite reassurances from the ECB, investors fear that the promised emergency funds for Spain will prove to be just the start of larger European nations requiring aid. The ECB tried to address this by providing more liquidity, with a focus on using the European Stability Mechanism, to buy periphery countries' bonds as well as other measures to curtail climbing yields.
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 321-month compounded annual return since inception (January, 1986 through September, 2012) is up +10.73% on a reported basis and up +2.95% on a risk-adjusted basis.
From inception (January, 1986 through September, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.99% and +8.76%, respectively.
From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.65% 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 $45 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.