Opalesque Industry Update - The Parker FX Index is reporting a -0.95% return for the month of July. Thirty-nine of
the forty-two programs in the Index reported July 2013 results, of which ten reported positive results and twenty-nine
incurred losses. On a risk-adjusted basis, the Index was down -0.41% in July. The median return for the month was
-1.26%, while the performance for July ranged from a high of +5.33% to a low of -5.90%.|
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 July, the Systematic Index was down -1.67% and the Discretionary Index was down -0.23%. On a risk-adjusted basis, the Parker Systematic Index was down -0.61% and the Parker Discretionary Index was down -0.17%.
The top three performing constituent programs for the month of July on a reported basis returned +5.33%, +1.96% and +1.75%, respectively. The top three performers on a risk-adjusted basis returned +2.50%, +1.96% and +0.86%, respectively.
During the month, the US dollar experienced significant volatility with the US Dollar index experiencing its largest one day decline since March 2009. Elsewhere, the euro strengthened by 2.08% versus the US dollar as leading economic indicators suggest that the eurozone economy continues to steadily improve. Overall, managers noted that G-10 central banks’ actions will continue to significantly impact global EM currency markets.
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 331-month compounded annual return since inception (January, 1986 through July, 2013) is up +10.40% on a reported basis and up +2.91% on a riskadjusted basis.
From inception (January, 1986 through July, 2013) the compounded annual return for the Parker Systematic Index and the Parker Discretionary Index, on a reported basis, is +10.58% and +8.56%, respectively. From inception, the compounded annualized return, on a risk-adjusted basis, for the Parker Systematic Index and the Parker Discretionary Index, is +2.60% and +3.46%, respectively.