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Managed futures managers post solid gains in May

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Managed futures managers posted a solid 3.52 per cent return in May, taking year-to-date performance to -1.05 per cent, according to Lipper Tass.

Managed futures managers posted a solid 3.52 per cent return in May, taking year-to-date performance to -1.05 per cent, according to Lipper Tass.

All managed futures sub-strategies posted positive returns for May, but managers showed a significant degree of dispersion among the individual fund returns.

A record 85.6 percentage points divided the top and bottom performers of the actively reporting CTAs programmes, single-manager futures, and currency hedge funds tracked by Lipper.

May reversed the readings of the previous two months, restoring the pattern observed in January and February. Managers with assets in excess of USD45m returned a better average performance at 3.66 per cent month on month-14 basis points above the average reading for the strategy.

Large managed dutures managers returned a negative 1.75 per cent for the year to date at the end of May and a positive 6.38 per cent for the rolling 12-month window.

Although markets continued to be volatile throughout the month, the VIX or CBOE index of S&P 500 options prices-the thermometer of investor fear and investors’ engagement in the US Treasury market-declined 20.77 per cent month on month, closing below the 30 mark at 28.92.

Supporting macro data buoyed market sentiment, and an early comeback of risk appetite sustained the emerging markets rally. According to the S&P Global BMI Indices, developed markets rose 8.81 per cent month on month-all of the 25 markets ended the month in the black-and emerging markets gained 19.54 per cent-all of the 21 markets also closed in positive territory.

The US (+5.22 per cent) ranked above Korea at the bottom of the monthly performance league table of developed countries as profit-taking drivers and concerns about financing requirements of the stimulus programmes weighed.

Along with Hungary (+26.89 per cent) the top emerging market performers in May were three countries of the BRIC aggregate, with India climbing 37.70 per cent, Russia posting a 28.46 per cent gain, and Brazil rising 21.96 per cent.

All sectors of the S&P 500 Index except consumer discretionary (-1.06 per cent) and telecommunication services (-1.32 per cent) posted positive returns for May. Financials (+13.10 per cent) confirmed the trend to recovery, topping the performance league table and outperforming the energy sector (+10.16 per cent).

Commodities’ rally in May (the Reuters/Jefferies CRB Index climbed 13.79 per cent) mainly reflected a weakening US dollar and speculative trading triggered by early expectations of a recovery in demand. Oil climbed 24.82 per cent month on month. Metals ended the month on a strong note, buoyed by a weak US dollar, which plunged to a year-to-date low against the euro.

Gold rallied 10.44 per cent in May as investors poured money into the noble metal to protect the value of dollar-denominated portfolios. Despite poor underlying fundamental drivers, copper ended 9.43 per cent higher month on month as the Chinese restocking program continued to sustain market prices.

The increase in risk appetite made government bonds less attractive, determining a rise in yields as government bonds were dragged down by investor concerns about mounting government debt and the record budget deficit. Yield curves on both sides of the Atlantic featured a steepening bias in May, with a sharper trend in the euro region. The US yield curve exhibited an average 15-bp upward shift. At the same time, as the European Central Bank cut its rate 25 bps in May the Eurozone yield curve ended the month with an average upward shift of 16 bps.

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