PERFORMANCE SNAPSHOTS
August 2011 - The Parker Blacktree Currency Index (PBCI)
The PBCI is modular by construction and is comprised of two sub-indices: the Currency Managers Index (CMI) and the Investment Strategies Index (ISI). The CMI Index measures the alpha generated by active currency managers. The ISI Index is a portfolio of thematic rules-based trading strategies that decompose the market into tradable themes. 7KH &0, DQG ,6, DUH HTXDOO\ ZHLJKWHG WR FUHDWH GLYHUVLÀHG H[SRVXUH DFURVV WKH UDQJH RI LQYHVWPHQW RSSRUWXQLWLHV
CMI The CMI is a comprehensive multi-manager based index comprised of 3 sub-indices: Macro 'LVFUHWLRQDU\ 0RGHO 'ULYHQ 'LYHUVLÀHG 3*6 KDV developed a proprietary style mapping system, FX 6W\OH 7UD[™ DQG PDSSHG RYHU
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LQWR XQLTXH VW\OH EXFNHWV 3*6 KDV VHOHFWHG ´EHVW of breed” currency managers and programs to UHSUHVHQW HDFK RI WKH VXE LQGLFHV
• Macro Discretionary sub-index includes VKRUW WHUP DQG PXOWL ZHHN GLVFUHWLRQDU\ DQG HPHUJLQJ PDUNHWV PDQDJHUV
• Model-Driven sub-index includes short term DQG PXOWL ZHHN PDQDJHUV WKDW WUDGH RQ D systematic approach applying price and/or IXQGDPHQWDO LQSXWV
• 'LYHUVLÀHG sub-index includes managers whose programs span across macro GLVFUHWLRQDU\ DQG PRGHO GULYHQ GLVFLSOLQHV
ISI 7KH ,6, LV D GLYHUVLÀHG DQG UREXVW LQGH[ RI UXOHV based investment strategies comprised of 3 sub- LQGLFHV 0DFUR 3UHVVXUHV 5LVN 3HUFHSWLRQ DQG 0DUNHW '\QDPLFV (DFK VXE LQGH[ PHDVXUHV WKH SHUIRUPDQFH RI D GLVWLQFW VHW RI FXUUHQF\ PDUNHW GULYHUV WKDW %ODFNWUHH KDV LGHQWLÀHG DV EHLQJ FULWLFDO IDFWRUV LQ FDSWXULQJ UHWXUQV IURP FXUUHQF\ PDUNHWV
• Macro Pressures sub-index is a portfolio of fundamental strategies that combine economic valuation methodology with currency H[SHFWDWLRQV GHULYHG IURP HTXLWLHV FRPPRGLW\ DQG LQWHUHVW UDWHV PDUNHWV
• Risk Perception sub-index is a portfolio of carry-based strategies that dynamically WUDGH ULVN DYHUVLRQ DQG FROOHFW PDQDJHG ULVN SUHPLXP
• Market Dynamics sub-index is a portfolio of technical strategies that focus on price action ZLWKLQ FXUUHQF\ PDUNHWV
88 Currency Investor | Autumn 2011
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