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Managed futures return -0.77 in April, says Lipper Tass

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Managed futures managers stayed on a downward performance pattern in April, posting a negative 0.77 per cent return on average, according to the Lipper Tass Flash Estimate Report.

Managed futures managers stayed on a downward performance pattern in April, posting a negative 0.77 per cent return on average, according to the Lipper Tass Flash Estimate Report.

Managed futures posted minus 3.63 per cent since the beginning of the year, and a positive 2.32 per cent for the rolling 12-month window in US-dollar terms.

April confirmed the reading that in March reversed the findings of the previous two months of the year. Managers with assets in excess of USD45m returned a worse average performance at minus 2.50 per cent month on month-173 basis points below the average reading for the strategy.

Large managed futures managers returned a negative 5.31 per cent year to date at the end of April and a positive 4.02 per cent for the rolling 12-month window.

The report says mixed signals to buy or sell and conflicting trend patterns caught up many systematic diversified managers, who failed to benefit from opposing trends of either a strengthening of the global economic recovery or a further bottoming of the economic recession.

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 17.31 per cent month on month. However, it showed nondirectional peaks as it stayed above the 40-mark at the beginning of April, to ease afterward and peak again around 20 April.

Although major stock markets remained steady across the month, the banking sector ‘stress test’ announcements from Washington offered signs of unease, with some markets exhibiting a degree of volatility in the run-up to the 4 May final announcements.

Currency managers posted negative performance as long exposure to the US dollar suffered because of a comeback of many emerging currencies. The Brazilian real, South African rand, Russian ruble, Mexican peso, and Peruvian nuevo sol appreciated 5.50 per cent, 11.34 per cent, 2.47 per cent, 2.44 per cent, and 5.46 per cent, respectively.

Both developed and emerging stock markets reprised March’s upward trend, acting in unison for the month of April and benefiting from improved market confidence and risk-aversion tapering off globally. Greece (+24.27 per cent) among developed countries and Indonesia among developed markets (+35.29 per cent) stood as the best performers. Managers maintained cautious trading positions on stocks, failing to benefit from firm long portfolio exposure and sector rotation.

Financials continued to recover in April, with consumer discretionary and industrials topping the performance league table and outperforming defensive sectors. Information technology continued to climb in April, posting a remarkable 27.44 per cent for the last two months, according to the S&P Global BMI Index.

Commodity traders posted mixed performance in April as the China-induced, USD586bn stimulus programme-triggered buying euphoria faded progressively and considerations resumed that the global economy is still in recession. The Reuters/Jefferies increased a mere 0.90 per cent month on month.

Crude oil closed slightly higher at the end of the month, while natural gas prices ended in negative territory to six-year lows on a higher-than-expected build in inventories amid weak demand conditions. Agricultural trades were up during the month, and precious and base metals moved in opposite directions, with copper easing at the end of the month from record highs.

Countries enforcing quantitative easing measures-namely the US, UK and Japan-all experienced considerable increases in government yields, especially in the long-end segment of their respective yield curves, and featured a curve-steepening bias as concerns about oversupply and early inflation fears weighed.

The US yield curve exhibited an average 16-basis-point upward shift in April. Conversely, despite the European Central Bank’s cutting its rate 25 bps in April, the Eurozone yield curve was little changed from March, showing a slight flattening bias, with the 30-year/2-year spread tightening eight bps and with an average upward shift of five bps.

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