Sat, Mar 28, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index reports +0.74% for May, +1.72% YTD

Thursday, June 27, 2013
Opalesque Industry Update - The Parker FX Index is reporting a +0.74% return for the month of May. Forty of the forty-three programs in the Index reported May results, of which twenty reported positive results, nineteen incurred losses, and one was flat. On a risk-adjusted basis, the Index was up +0.32% in May 2013. The median return for the month was +0.10%, while the performance for May ranged from a high of +9.43% to a low of -8.62%.

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 May, the Systematic Index was up +0.18% and the Discretionary Index was up +1.30%. On a risk-adjusted basis, the Parker Systematic Index was up +0.06% and the Parker Discretionary Index was up +0.96%.

The top three performing constituent programs for the month of May on a reported basis, returned +9.43%, +7.76% and +6.21%, respectively. The top three performers on a risk-adjusted basis returned +4.45%, +4.27% and +3.94%, respectively.

In the US, improving economic growth and increased speculation surrounding the Federal Reserve’s decision to end or slow quantitative easing prompted the dollar to strengthen against sixteen of its most traded counterparts. The Bank of Japan continued an aggressive campaign against deflation as the yen fell by 3.08% versus the US dollar, and the dollar rose above the ¥100 for the first time since April 2009. Emerging market currencies were negatively impacted by the US dollar strengthening.

The Parker FX Index is a performance-based benchmark that measures both the reported and the riskadjusted 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 329-month compounded annual return since inception (January, 1986 through May, 2013) is up +10.52% on a reported basis and up +2.97% on a riskadjusted basis.

From inception (January, 1986 through May, 2013) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.73% and +8.63%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.67% 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. Other Voices: Does the hedge fund industry benefit society?[more]

    This article was authored by Don Steinbrugge, Chairman of Agecroft Partners, a US-based global consulting and third party marketing firm for hedge funds. It is no secret that the hedge fund industry is viewed negatively by a la

  2. Private credit comes into focus for investors[more]

    Bailey McCann, Opalesque New York: As investors look for a way out of the low yield/no yield environment, private credit is becoming an increasingly attractive asset class, according to a white paper from Bayshore Capital Advisors. Private credit has grown steadily since the financial crisis as

  3. M&A - Hedge funds no longer attractive targets for banks, reinsurers, Blackstone buys stake in Christopher Pucillo’s Solus event-driven hedge fund[more]

    Hedge funds no longer attractive targets for banks, reinsurers From Institutionalinvestor.com: Swiss RE, the world’s second-largest reinsurer, is looking to sell its 15 percent stake in Jersey, Channel Islands–based hedge fund firm Brevan Howard Asset Management. Morgan Stanley reported

  4. Opalesque Radio: Threadneedle expects continuing equity volatility this year[more]

    Benedicte Gravrand, Opalesque Geneva: Investors should expect more volatility, which is signaling a "slow moving" top to the market, KKM Financial’s founder and CEO Jeff Kilburg told CNBC on Monday. And this volatility is going

  5. Hedge funds show strong performance of 2.52% so far in 2015[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry got off to a strong start in 2015 "completely unmindful" of the poor performance last year, according to data provider Preqin. According to Preqin, following a year which saw the average he

 

banner