Opalesque Industry Update - The Parker FX Index is reporting a +0.39% return for the month of March. Thirty three
of the thirty-six programs in the Index reported March results, of which seventeen reported positive results
and sixteen incurred losses. On a risk-adjusted basis, the Index was up +0.17% in March. The median return for the
month was +0.01%, while the performance for March ranged from a high of +8.50% to a low of -4.30%. 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 March, the Systematic Index was up +0.83% and the Discretionary Index was down -0.05 %. On a risk-adjusted basis, the Parker Systematic Index was up +0.31% and the Parker Discretionary Index was down -0.04%. The top three performing constituent programs for the month of March on a reported basis returned +8.50%, +4.60% and +4.34%, respectively. The top three performers on a risk-adjusted basis returned +3.06%, +3.02% and +2.63%, respectively. The US dollar was mixed in March as US data showed varying results and as the Federal Reserve minutes indicated new conditions and timing for interest rate changes and the end of quantitative easing. Emerging market currencies saw gains in March as currencies rallied, including the Indian rupee, due to optimism that Narendra Modi will win this year’s elections and reform the nation’s economy. Looking ahead, managers believe that EM currencies are increasingly more stable as global economies recover, but remain cautious due to the potential for decreased risk appetite in the event of a drawdown in developed 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 339-month compounded annual return since inception (January, 1986 through March, 2014) is up +10.05% on a reported basis and up +2.83% on a riskadjusted basis. PD |
Industry Updates
Parker FX Index reports +0.39% return for March (-0.77% YTD)
Thursday, May 01, 2014
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