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.