The Parker FX Index
rose 0.4% in August, for a year-to-date return of 2.39%.
On a risk-adjusted
basis, the Index was up +0.18%, for +1.9% year-to-date, the median return for
the month was +0.38%, while the performance ranged from a high of +7.95% to a
low of -5.30%.
In addition to the
broad 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
During August, the
Systematic Index was +1.09% and the Discretionary Index was -0.28%. On a
risk-adjusted basis, the Systematic Index was up 0.42% and the Discretionary
Index was down 0.22%.
Systematic Index is 1.9% and the Discretionary Index is up 2.86%, both on a
reported basis, while the two indices have returned 0.73% and 2.18%
respectively on a risk adjusted basis.
Since inception in
January 1986, the he compounded annual return for the Systematic Index and the
Discretionary Index, on a reported basis, is +10.07% and +7.98%, respectively.
From inception, the compounded annualised return, on a risk-adjusted basis, for
the Systematic Index and the Discretionary Index, is +2.58% and +3.31%,
The headline index is
up 9.79% on a reported basis and up 2.85% on a risk- adjusted basis, since inception.
Colin_lambert@profit-loss.com Twitter @lamboPnL