Sat, Aug 1, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index loses -0.90% in April (0.94% YTD)

Friday, May 31, 2013
Opalesque Industry Update - The Parker FX Index is reporting a -0.90% return for the month of April. Forty-two of the forty-four programs in the Index reported April results, of which sixteen reported positive results and twenty six incurred losses. On a risk-adjusted basis, the Index was down -0.39% in April. The median return for the month was -0.48%, while the performance for April ranged from a high of +3.92% to a low of -11.46%.

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 April, the Systematic Index was down -1.45% and the Discretionary Index was down -0.35%. On a risk-adjusted basis, the Parker Systematic Index was down -0.53% and the Parker Discretionary Index was down -0.26%.

The top three performing constituent programs for the month of April, on a reported basis, returned +3.92%, +2.85% and +2.83%, respectively. The top three performers on a risk-adjusted basis returned +2.46%, +2.24% and +2.22%, respectively.

In the US, disappointing economic data resulted in the US Dollar Index (DXY) falling by 1.48%. The Bank of Japan continued an aggressive campaign against deflation announcing that it would expand its balance sheet by purchasing longer-term debt and more exotic securities like ETFs. In Latin America, expectations that global monetary stimulus will continue to provide a steady flow of dollars seeking higher yields in emerging markets prompted the Mexican peso and Brazilian to strengthen by 1.49% and 1.09%, respectively, 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 328-month compounded annual return since inception (January, 1986 through April, 2013) is up +10.52% on a reported basis and up +2.96% on a risk adjusted basis.

From inception (January, 1986 through April, 2013) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.76% and +8.61%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.66% and +3.48%, 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. Opalesque Exclusive: Despite bumpy June/July, CTAs hold on[more]

    Bailey McCann, Opalesque New York: To say that things have been rocky in managed futures recently is putting it mildly. In June, the industry saw its worst month on a performance basis in the past four years. Then yesterday,

  2. Investing - Hedge fund billionaires bet on London as revival gathers pace[more]

    From Bloomberg.com: London’s fund industry is bouncing back, and U.S. billionaires Steven A. Cohen and Ken Griffin are grabbing a piece of the action. Griffin’s Citadel and Millennium Management, a hedge fund run by Israel Englander, have bulked up in London, where asset growth is outpacing the U.S.

  3. Other Voices: Same day reporting and the evolving role of fund administrators[more]

    By: Scott Price, Head of Business Development and Client Management for North America, Maitland Ernst & Young’s latest glob

  4. Opalesque Roundup: Hedge fund assets rose to 11th consecutive quarterly record level: hedge fund news, week 31[more]

    In the week ending 24 July, 2015, the total global hedge fund industry assets rose to the 11th consecutive quarterly record level in 2Q15 to $2.97tln; Eurekahedge reported that hedge funds raised $93bn in the first six months of 2015; The SS&C GlobeOp Forward Redemption Indicator for July 201

  5. Cowen Group, Inc. to acquire Conifer Securities[more]

    Cowen Group, Inc. and Conifer Securities, LLC had announced the signing of a definitive agreement under which Cowen will acquire Conifer Securities, the prime services division of Conifer Financial Services LLC. The transaction, the terms of which have not yet been disclosed, was approved by the boa

 

banner