Tue, Sep 23, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX index up 0.15% in November (-1.53% YTD)

Friday, December 21, 2012
Opalesque Industry Update – The Parker FX Index is reporting a +0.15% return for the month of November 2012. Forty-three of the forty-seven programs in the Index reported November results, of which twenty reported positive results and twenty-two incurred losses, and one was flat. On a risk-adjusted basis, the Index was up +0.07% in November. The median return for the month was -0.02%, while the performance for November ranged from a high of +3.70% to a low of -3.60%.

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 November, the Systematic Index was up +0.31% and the Discretionary Index was flat. On a risk-adjusted basis, the Parker Systematic Index was up +0.11% in November and the Parker Discretionary Index was flat.

The top three performing constituent programs for the month of November, on a reported basis, returned +3.70%, +3.67% and +3.12%, respectively. The top three performers on a risk-adjusted basis returned +3.20%, +1.99% and +1.99%, respectively.

Fiscal deficits, sovereign warnings/downgrades, political uncertainty, changes in risk appetite and carry trade adjustments continue to dominate price behavior in currency markets. Following the US election, currency markets generally returned to “risk-on” trading, although not without hesitation. Higher yielding resources-driven currencies and Eastern European currencies appreciated versus the US dollar. Currency markets have been fixated on stimulus measures in the US and Europe as well as policy measures to keep the euro from breaking apart. In November, there were few significant events; G10 currencies, except for the Japanese yen, moved in narrow ranges.

In Japan, the yen weakened as a result of disappointing economic data and the possibility for more aggressive measures by the Bank of Japan following the upcoming election.

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 323-month compounded annual return since inception (January, 1986 through November, 2012) is up +10.65% on a reported basis and up +2.94% on a risk-adjusted basis.

From inception (January, 1986 through November, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.91% and +8.68%, 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 +3.44%, respectively.

Press release

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. 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

  2. Outlook - Julian Robertson: There are two bubbles that can bite us[more]

    From Businessinsider.com: Legendary hedge fund manager Julian Robertson gave a warning about two bubbles that could "bite us" at Bloomberg Market's Most Influential Summit. "I agree with the fact that the economy is definitely getting better. I think the cause of that is two bubbles that will

  3. Manager Profile: Leon Cooperman: The stock market is 'fairly valued,' but the bond market is 'overvalued'[more]

    From Businessinsider.com: Leon Cooperman of Omega Advisors and Howard Marks of Oaktree just finished a panel at Bloomberg's Most Influential Summit. Bloomberg TV's Stephanie Ruhle was the moderator. The two titans, who have known each other for 40 years, spoke about the market and the state of

  4. North America - Some newly registered U.S. hedge fund advisers are ‘cherrypicking’[more]

    From Reuters.com: Some newly registered U.S. hedge fund advisers are "cherry-picking" investments to showcase their performance and improperly changing how they value securities, an agency official said on Monday. Andrew Bowden, head of the SEC's Office of Compliance, Inspections and Examinati

  5. Short Selling - Notorious U.S. short-seller targets Alibaba[more]

    From Wantchinatimes.com: A notorious American short-seller appears to have "targeted" Chinese internet giant Alibaba on the eve of its historic public listing on the New York Stock Exchange, reports Chinese web portal Hexun. Alibaba's highly-anticipated listing on Friday could potentially be the big