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Managed futures managers struggle in June, says Lipper Tass


Managed futures managers were hit in June by the lack of a clear trend as intra-month volatility spikes resumed across a number of asset classes, according to a report from Lipper Tass.

Managed futures managers were hit in June by the lack of a clear trend as intra-month volatility spikes resumed across a number of asset classes, according to a report from Lipper Tass.

Both systematic and discretionary traders ended in negative territory, while only agricultural traders closed in the black.

The strategy posted a negative 1.45 per cent return on average for June, minus 2.37 per cent for the first six months of the year, and a negative 1.10 per cent for the rolling 12-month window in US-dollar terms.

The degree of dispersion among individual fund returns significantly dropped from the previous month’s reading. A 33.03-percentage-point monthly performance difference in June separated the top and bottom performers of the actively reporting managers tracked by Lipper.

June reversed May’s reading. Managers with assets in excess of USD45m returned a worse average performance at minus 1.96 per cent month on month-51 basis points below the average reading for the strategy. Large managed futures managers returned a negative 3.19 per cent for the year to date at the end of June and a positive 0.97 per cent for the rolling 12-month window.

Generally speaking, stock markets-as well as crude oil prices-stayed on an upward pattern for part of the month as optimistic views of a global economic rebound sustained a short-lived market rally and also negatively impacted global demand for the greenback as a safe haven.

Developed markets declined slightly in June as the S&P Global BMI Index closed at minus 0.47 per cent. There were a few bright spots though, with Australia (+4.51 per cent) ranking at the top of the developed countries performance league table.

After enjoying double-digit returns since February 2009, emerging markets-especially BRIC members-performed relatively poorly across the regions at the end of June.

The macro-scenario in Europe was not so rosy either. German unemployment rose to its highest level since 2007 as the number of people out of work rose to 3.5 million, bringing the adjusted jobless rate to 8.3 per cent. In the UK final GDP figures for Q1 showed that the economy contracted 2.4 per cent, its biggest decline since 1958. However, there was a bright spot on the housing front: the Nationwide Building Society announced that housing prices increased 0.9 per cent in June.

Corporate spreads continued to tighten in all credit sectors in June. With the exception of
US, which posted the third straight loss, Treasuries of the main currency segments ended in positive territory, with yield curve flattening in the Eurozone and UK.

The ICE Futures US Dollar Index rose 1.17 per cent month on month in June. US dollar buying at the end of the month was impacted by disappointing macro data that curbed hopes of an impending economic recovery, triggering safe-haven currency drivers (the Conference Board’s US Consumer Confidence Index fell in June to 49.3 from a downwardly revised 54.8 in May).

Carrytrade strategies made a timid comeback in June, offering healthy returns as the Brazilian real and South African rand rose, with the Brazilian real returning a solid 2.29 per cent in the first half of the month.

Despite mixed economic data from the region, Central Europe’s currencies-namely the Czech koruna, Hungarian forint, and Polish zloty-rallied at the end of the month as improving economic sentiment buoyed appetite for riskier emerging market assets.

The Commodities Reuters/Jefferies CRB Index stayed on a rollercoaster path in June, climbing 5.18 per cent in the first 11 days of the month but ending the month in negative territory at minus 1.22 per cent.

Aluminum, natural gas, copper, and gas trended higher in June. Copper continued to be sustained by China’s purchases for stockpiling purposes. Despite oil prices rising sharply at the end of the month as new attacks by Nigerian militants on oil installations took the markets by surprise, traditional supply/demand drivers and fundamentals determined the crude price trend in June.

IEA cut its medium-term forecast for oil demand at the end of the month. The agency expected long-term average demand to grow just 40,000 barrels per day between 2008 and 2014, down from growth of 1.0 million bpd a year projected in December 2008.

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