Mon, Sep 22, 2014
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. SEC charges 19 investment firms and one trader for breach of Rule 105[more]

    Benedicte Gravrand, Opalesque Geneva: The Securities and Exchange Commission (SEC) started a push to enhance the enforcement of Rule 105 of Regulation M last year to uncover hedge funds and private equity firms that have illegally participated in an offering of a stock after short selling it duri

  2. Fund managers, bullish on Europe, anticipate monetary policy separation of Fed and ECB[more]

    Komfie Manalo, Opalesque Asia: At least 202 fund managers with $556bn of assets under management said that while the European Central Bank (ECB) has eased its monetary policy that sent sentiments towards Europe to pick up, the Fed is expected to hike its rate in the spring of 2015. Investor

  3. Institutions - North Carolina workers call on state pension to dump up to $6bn in hedge funds, UK pension fund criticizes hedge fund fees[more]

    North Carolina workers call on state pension to dump up to $6bn in hedge funds From Forbes.com: The State Employees Association of North Carolina this afternoon called on state Treasurer Janet Cowell to withdraw all investments in hedge funds, which appear to amount to approximately $6 b

  4. News Briefs - Limited partners of investment managers may be subject to self-employment taxes, Just one week left until NYC's Rocktoberfest[more]

    Limited partners of investment managers may be subject to self-employment taxes On September 5, 2014, the Internal Revenue Service (“IRS”) issued Chief Counsel Advice 201436049, concluding that members of an investment manager were subject to self-employment taxes with respect to their e

  5. Institutions - Adviser's faith in hedge funds unshaken by CalPERS' move Advisers weigh in on CalPERS’ decision, Gina Raimondo sees no reason to follow California’s lead, exit hedge funds, Danish pension funds step up 'alternative investments'[more]

    Adviser's faith in hedge funds unshaken by CalPERS' move From WSJ.com: Financial advisers who use hedge funds in their clients' portfolios say they aren't rethinking that approach after a huge California pension fund announced plans to exit the hedge-fund market. The decision by the Cali