Tue, Feb 21, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index down -0.95% in July, +0.54% YTD

Thursday, August 29, 2013
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.

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. People - Kuwait wealth fund head Al Saad said to step down after 14 years[more]

    From Bloomberg.com: Kuwait Investment Authority is set to name Farouk Bastaki as managing director, replacing Bader Al Saad who ran the world's fifth-largest sovereign wealth fund for 14 years, a person familiar with the matter said. The KIA, as the fund is known, is finalizing the appointment, said

  2. Manager Profile - Eddie Lampert: a painful entanglement with Sears[more]

    From Moneyweek.com: "In the long run we are all dead." Lex in the Financial Times reached for the famous quote from John Maynard Keynes in January when, after a long and unforgiving decline, the clock finally appeared to be running out on Sears, the iconic US department store group. Yet the group's

  3. Investing - Hedge funds quit Aberdeen shorts as shares begin to recover, Hedge funds' next big short: U.S. malls, O'Connor fund owns 9.5% of Protalix Biotherapeutics, U.S. hedge fund takes position in Macau hotel The 13[more]

    Hedge funds quit Aberdeen shorts as shares begin to recover From Investmentweek.co.uk: The last two hedge funds to short Aberdeen Asset Management have removed their positions, as the fund group's shares begin to show signs of recovery after a difficult few years. According to the Financ

  4. Latin America, high yields and Asia Pacific strategies dominate hedge fund returns in January[more]

    Komfie Manalo, Opalesque Asia: Latin America (+7.04%), high yield (5.63%), and Asia-Pacific (+5.06%) strategies dominated hedge fund performance in January, data provider Hennesee Fund Research said. The bottom three strategies for the mont

  5. Investing - Hedge funds loading up on this dividend stock, The biggest hedge funds have been piling into bank stocks[more]

    Hedge funds loading up on this dividend stock From Incomeinvestors.com: Hedge funds are backing up the truck on Cameco Corp stock. Billionaire Jim Simons owns 389,000 shares. Other Wall Street titans - including Ray Dalio, Ken Griffin, and Chuck Royce - have been quietly building positio