Mon, Oct 24, 2016
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index up 0.17% in December, -1.12% for 2012

Thursday, January 31, 2013
Opalesque Industry Update – The Parker FX Index is reporting a +0.17% return for the month of December. Forty three of the forty-seven programs in the Index reported December 2012 results, of which twenty-four reported positive results and eighteen incurred losses, and one was flat. On a risk-adjusted basis, the Index was up +0.07% in December. The median return for the month was +0.04%, while the performance for December ranged from a high of +5.51% to a low of -6.45%.

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 judgemental. During December, the Systematic Index was down -0.15% and the Discretionary Index was up 0.49%. On a risk-adjusted basis, the Parker Systematic Index was down -0.06% and the Parker Discretionary Index was up +0.36%.

The top three performing constituent programs for the month of December, on a reported basis, returned +5.51%, +4.30% and +2.60%, respectively. The top three performers on a risk-adjusted basis returned +5.34%, +4.63% and +1.51%, respectively.

In December, political uncertainty and accommodative, pro-growth monetary policies drove FX market trends. For the majority of the month, skepticism surrounding US fiscal cliff negotiations dominated headline news. Fortunately, Congress reached a last-minute solution that appeased global investors, but many issues including the debt ceiling still remain. G-10 currencies, excluding the Japanese yen, lacked any significant new developments and traded in a narrow range. The yen depreciated against other G-10 units following the promise by the new Japanese government to push for aggressive pro-growth policies. European currencies benefitted from the US political uncertainty which helped the euro and British pound strengthen slightly versus the US dollar. In emerging markets, regional growth expectations heavily influenced price behavior.

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 324-month compounded annual return since inception (January, 1986 through December, 2012) is up +10.62% on a reported basis and up +2.94% on a risk-adjusted basis.

From inception (January, 1986 through December, 2012) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.87% 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 +2.64% and +3.45%, respectively.

Press release



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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. Other Voices: Follow the advice of investment consultants - I think not[more]

    Mark Rzepczynski, Founding Partner, Chief Investment Officer AMPHI Research and Trading, writes on Harvest Exchange: Investment consultants are a force to the reckoned with in the pension world. They advise and drive many pension decisions around the globe. Consultants literally control trillion