帕克外汇指数上升,7月20家参与者发布利润报告

汇商资讯 9年前 (2015) admin
14 0

自由交易者再次通过系统化的方法安全避开美元风险,这使很多基金经理都感到惊讶。
帕克外汇指数跟踪了坐落在全球各地27家公司的超过31个项目,发表了此次的7月平均月度绩效报告。相对而言,7月是一个波动平缓的月份,指标升高了0.49百分点。这将年初至今的绩效十二月间从2.02百分点提升到6.9百分点。
帕克全球战略不是为每个参与者提供指数方面的单独数据,但是7月的绩效最高达到3.8百分点。相反,2015年7月,在这个平静的月份,失败者在外汇市场收入下跌了3.04个百分点。
我们来看帕克外汇指数的风险调整参数在7月只上升了0.22个百分点,年初至今绩效略低于1个百分点。在过去的12个月的风险调整期间,回报率达到3.29个百分点。
今年年初绩效稳定之后,外汇市场呈现高波动性,过去的几个月外汇基金经理一直举步维艰。
系统办法对比自动绩效指标
另外一种检测绩效的工具就是一种指数是部门的一种参加者进入系统自由操纵的战略。据报告,前者的回报率更高,为0.71%,但是管理者采取的办法直接对市场作用后的绩效却是0.28%。
该指数自1986年来一直都在对顶尖外汇经理的绩效进行跟踪,通过这种自由操纵的办法,平均每年在交易系统中的绩效为10.06%到8.02%之间。
(图为帕克外汇制图数据)
 
 
Parker FX Index Edges Up in July With 20 Participants Reporting Profits
Discretionary traders outperformed by systematic approach once more after safe haven demand for the U.S. dollar has surprised some managers
The Parker FX Index which is tracking over 31 programs run by 27 companies located all across the globe has published the average monthly performance figures for the month of July. With July being a relatively subdued month in terms of volatility, the indicator ticked higher by 0.49 per cent. This brings the broad performance of the index to 2.02 per cent year-to-date and to 6.9 per cent for the past twelve months.
Parker Global Strategies is not providing separate data for each participant in the index, but the top performer for July gained almost 3.8 per cent. On the losing side, the underdog during probably the most quiet month for the FX market in 2015 lost 3.04 per cent.
Looking at the risk-adjsted metrics the Parker FX index was up only 0.22 percent in July, with the year-to-date performance hovering just below 1 per cent. For the past twelve months the risk-adjusted return totaled 3.29 per cent.
After steady performance in the beginning of the year, amid high volatility on the FX market, the past couple of months have been difficult for FX fund managers.
Systematic vs discretionary performance metrics
Another measure of performance which the index covers is a division of the strategies used by the participants into systematic and discretionary. The returns of the former have been reported much higher at 0.71 per cent, while the managers who took a judgmental approach towards the market underperformed at 0.28 per cent.
The index has been tracking the performance of top foreign exchange fund managers since January 1986, averaging a compounded annual return for systematic trading at 10.06 per cent and at 8.02 per cent for the discretionary approach.

 

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版权声明:admin 发表于 2015年10月24日 下午 9:46。
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