Document Actions
Parker FX Index
The Parker FX Index is a performance-based benchmark that measures both the reported and the risk adjusted returns of global currency managers. It is the first Index to analyze unleveraged (risk adjusted) performance in order to calculate pure currency alpha, or manager skill.
The Index tracks the performance, or value-added, managers have generated from positioning long or short foreign currencies. It is equally weighted, as opposed to capitalization weighted, to preclude very large managers from swaying the performance in a direction that may not be representative of the currency manager universe. Parker Global applies its model to the performance of a representative currency portfolio or composite, net of fees, and excluding interest for each currency manager.
In addition to the Parker FX Index, there are two style-driven subindexes: the Parker Systematic Index and the Parker Discretionary Index. The former tracks those managers whose decision process is rule based, and the latter tracks those managers whose decision process is judgmental.
The Parker FX Index currently includes 85 programs managed by 71 firms located in the US, Canada, UK, Germany, Switzerland, France, Ireland, Iceland, Singapore, and Australia. The 85 programs include a combination of 60 programs that are systematic and 25 programs that are discretionary. The 85 programs manage over $33 billion in currency strategy assets. The Index also includes the performance of currency managers who are no longer trading in order to address survivorship bias. Disciplines include technical, fundamental, and quantitative.
Parker FX Indexes
Reported 1 | Risk-Adjusted Reported 2 | |||||
Parker FX Index | Parker Systematic Index | Parker Discretionary Index | Parker FX Index | Parker Systematic Index | Parker Discretionary Index | |
May-08 | 0.08% | 0.00% | 0.27% | -0.03% | -0.05% | 0.08% |
Last 3 Months | 1.21% | 1.40% | 0.80% | 0.33% | 0.34% | 0.28% |
Year-To-Date | 2.32% | 2.44% | 2.09% | 0.64% | 0.58% | 0.94% |
Last 12 Months | 3.26% | 2.40% | 5.10% | 0.09% | -0.19% | 1.34% |
Last 24 Months | 6.47% | 6.45% | 6.50% | -0.66% | -0.54% | -1.15% |
Last 36 Months | 9.35% | 8.38% | 11.36% | -1.91% | -2.07% | -0.97% |
1 Net of fees, including interest. | ||||||
2 Net of fees, in excess of short term interest rates and scaled to a 5% volatility. | ||||||
© 2008 Parker Global Strategies, LLC | ||||||
Subscription and Press Releases
Current press releases are available through subscription only. The monthly release provides the top 3 manager's performance with extensive analysis of all indices. Names of managers in the index are not released, only the top monthly performers.
Contact Justin Snyder at fx@parkerglobal.com for more information regarding subscriptions