Tue, May 3, 2016
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. Third Point calls Q1 "catastrophic" for hedge funds[more]

    Bailey McCann, Opalesque New York: The first quarter of this year was rocky for hedge funds based on aggregate performance from the industry, but now we are beginning to hear what the managers thought of it as quarterly letters make their way to investors. Dan Loeb, CEO of New York-based $17 bill

  2. Hedge funds see $14.3bn outflows in Q1, CTAs and multi-strategy lead net inflows[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry saw net outflows of investor capital in the first quarter of the year, totaling $14.3bn, data from Preqin showed. This continues from the $8.9bn overall net outflows that funds recorded in Q4

  3. Asia - Stabilization of China's capital outflows may hinge on Janet Yellen, Fink says China to do well this year as bubble threat postponed, Chinese hedge fund to invest in India’s infrastructure[more]

    Stabilization of China's capital outflows may hinge on Janet Yellen From Bloomberg.com: Whether China’s recent stabilization of its currency and capital outflows continues -- or downside pressure reignites -- may hinge in large part on Janet Yellen. If the Federal Reserve chair sticks to

  4. …And Finally - After all, judges are human too[more]

    From Newsoftheweird.com: In March, one District of Columbia government administrative law judge was charged with misdemeanor assault on another. Judge Sharon Goodie said she wanted to give Judge Joan Davenport some files, but Davenport, in her office, would not answer the door. Goodie said once the

  5. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n