Fri, Jan 19, 2018
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. Legal - Former Och Ziff hedge fund executive indicted for fraud in Africa investment scheme, prosecutor says, Hedge fund blasts defense of Puerto Rico restructuring law[more]

    Former Och Ziff hedge fund executive indicted for fraud in Africa investment scheme, prosecutor says From CNBC.com: A former hedge fund executive faces federal charges for defrauding a UK-based charity over investments in Africa, according to a grand jury indictment made public Wednesday.

  2. U.S. economy, inflation and alternative investments to dominate 2018 markets, says family office Wilmington Trust[more]

    Komfie Manalo, Opalesque Asia: The emergence of a late-cycle economy in the U.S., the mystery of inflation and growth from a domestic and global perspective, and the potential for alternative investments to prosper against a backdrop of rich valuations, low yields, and higher volatility are the t

  3. Performance - Some hedge funds deliver double-digit gains for 2017, Brevan Howard's hedge fund suffers biggest annual loss in 2017, Crispin Odey's flagship hedge fund plummeted about 20% in 2017, Profits fall 90% at ex-Morgan Stanley banker's hedge fund, Fannie-Freddie overhaul might mint hedge fund riches, losses[more]

    Some hedge funds deliver double-digit gains for 2017 From Reuters/Investing.com: A handful of hedge funds ended 2017 with double digit returns, their investors said, at a time the $3 trillion industry took in fresh money and posted its best returns in years, industry data show. Act

  4. Investing - Hedge funds start 2018 with record $19 billion bet on the euro, Hedge fund Kora Management invests in Satin Creditcare[more]

    Hedge funds start 2018 with record $19 billion bet on the euro From Reuters.com: Hedge funds have kicked off 2018 with their biggest bet ever on the euro rising, a clear vote of confidence in the single currency but, with positioning so stretched, one which could backfire in the near ter

  5. News Briefs - Mobius to retire from Franklin Templeton, Authorities decrypt smart phone of Princeton grad charged with killing Manhattan hedge fund dad, Investigators seize (more) antiques from hedge-fund billionaire Michael Steinhardt's collection[more]

    Mobius to retire from Franklin Templeton Emerging markets pioneer Mark Mobius will be stepping down as executive chairman of the Templeton Emerging Markets Group (TEMG) and formally retire from Franklin Templeton on 31 January. He will also be relinquishing his post as portfolio manager