Sun, Jun 25, 2017
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. FinTech - Rise of robots: Inside the world's fastest growing hedge funds[more]

    From Bloomberg.com: Believe the hype. Quants have never been more popular. After doubling over the past decade, assets run by so-called systematic funds have hit a record $500 billion this year, according to estimates from Barclays Plc. In some ways, their meteoric rise is due to the same technolog

  2. Legal - Bond market concerns could scuttle Paulson's Fannie-Freddie plan[more]

    From Bloomberg.com: A hedge fund proposal for freeing Fannie Mae and Freddie Mac from U.S. control is poised to face stiff opposition from investors who say it risks wrecking the mortgage-bond market. The Moelis & Co. blueprint, which firms including Paulson & Co. and Blackstone Group LP sponsored,

  3. Other Voices: Are your pricing policies and procedures for less liquid instruments adequate?[more]

    Komfie Manalo, Opalesque Asia: The unrelated position mismarking incidents that quickly precipitated the closures of both Visium Asset Management and Marinus Capital have been recent focal points for market participants, but regulatory scrutiny of valuation choices for less liquid instruments is

  4. FinTech - AI hedge fund Numerai now live on Ethereum, Cryptocurrency hedge funds generate huge returns as bitcoin surges[more]

    AI hedge fund Numerai now live on Ethereum From Cryptoninjas.net: Back in February, Numerai announced numeraire (NMR), a cryptographic token to incentivize a new kind of hedge fund built by a network of data scientists. Earlier today, the Numeraire smart contract was officially deployed

  5. Investing - Advisors slash hedge fund positions, Theravance Biopharma is a top pick of investment guru Seth Klarman, As asset management industry grows a search for new revenue streams[more]

    Advisors slash hedge fund positions From Barrons.com: Financial advisors have cut wealthy clients' exposure to hedge funds by up to one third over the past 12 months, The Financial Times reports. Advisor firms in the FT's annual top-300 ranking have reduced their hedge fund allocation to