Sat, Feb 28, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index reports a -0.37% return for October (-1.28% YTD)

Friday, November 30, 2012
Opalesque Industry Update - The Parker FX Index is reporting a -0.37% return for the month of October, 2012. Forty five of the forty-nine programs in the Index reported October results, of which nineteen reported positive results and twenty-six incurred losses. On a risk-adjusted basis, the Index was down -0.16% in October. The median return for the month was down -0.06%, while the performance for October ranged from a high of +1.70% to a low of -5.62%.

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 October, the Systematic Index was down -0.69%, and the Discretionary Index decreased by -0.04%. On a risk-adjusted basis, the Parker Systematic Index was down - 0.25% in October, and the Parker Discretionary Index was down -0.03%.

The top three performing constituent programs for the month of October, on a reported basis, returned +1.70%, +1.47% and +1.00%, respectively. The top three performers on a risk-adjusted basis returned +4.13%, +1.09% and +0.88%, respectively.

Markets continued to focus on the deterioration in global growth and the aggressive monetary measures used to address the issues. Developments that attracted focus included slow progress on the Euro bond plan, the looming fiscal cliffs in the US and Japan, a disappointing earnings season, and the uncertainties of the upcoming US election. Risk sentiment soured by mid-to late-month prompting sell-offs in commodities, equities, and higher beta currencies. While LatAm currencies were the hardest hit, Asian currencies strengthened for the fifth month in a row, as signs of a pickup in China’s economy brightened the outlook for the region’s exports. The resilient performance came in the wake of a stronger Chinese yuan fixings and the offshore USDCNY rate falling to a 20- year low. The South Korean won appreciated +2.14% versus the US dollar.

***

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 322-month compounded annual return since inception (January, 1986 through October, 2012) is up +10.68% on a reported basis and up +2.94% on a risk-adjusted basis.

From inception (January, 1986 through October, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.93% and +8.73%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.64% and +3.45%, respectively.

Press release

Parker Global Strategies, LLC http://parkerglobal.com/

Bg

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. Investing - Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched, Myriad hedge fund sold bulk of its Alibaba stake last year[more]

    Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched From Valuewalk.com: As hedge fund manager Seth Klarman, leader of the $28 billion Baupost Group, reviews 2014 performance and considers investors gained near 7 percent on the year, he cons

  2. Adamas Asset Management and Ping An Insurance to co-manage $500m debt fund[more]

    Komfie Manalo, Opalesque Asia: Hong Kong-based Adamas Asset Management and Ping An Insurance Group, one of China’s largest financial institutions, have finalized a memorandum of und

  3. Opalesque Exclusive: dbSelect’s top ten FX strategies average almost 10% in January[more]

    Benedicte Gravrand, Opalesque Geneva: In one of Deutsche Asset & Wealth Management (AWM)’s hedge fund platforms, called dbSelect, a number of FX Strategies did very well in January. dbSelect is a managed investment platform for unf

  4. Opalesque Exclusive: SEC’s Mark J. Flannery warns hedge funds against valuation misconduct[more]

    Komfie Manalo, Opalesque Asia: Securities and Exchange Commission chief economist and director of Division of Economic and Risk Analysis (DERA) Mark J. Flannery has warned of the risks posed by market misconduct, particularly in the true valuation of assets by hedge fund managers. In his

  5. Dymon Asia's $3bn macro hedge fund lost 10.45% in January[more]

    From Reuters.com: Dymon Asia's $3.1 billion macro hedge fund lost 10.45 percent in January, performance data seen by Reuters showed, a month where many peers lost heavily after a surprise rise in the Swiss franc. Singapore-based Dymon, set up by Danny Yong, a former founding partner and chie