Asset Class Scoreboard- May 2012

It wasn’t quite April showers that brought May flowers, but we’ll take it anyway. After getting soaked in March (and remaining flat throughout April), May finally brought the conditions we’ve been waiting for. Sustained trends across multiple markets (down, mostly) pushed the Newedge CTA Index* back into positive territory year-to-date, while every other asset class that wasn’t named “bonds” lost ground. While a few managers struggled in the downturn, most in managed futures shined, demonstrating why the asset class has its reputation for crisis period performance. However, as we’ve said before, one month does not make a year, and we’re hoping this is only the beginning of a better trading environment for our favorite asset class.

Disclaimer: past performance is not necessarily indicative of future results

Managed Futures = Newedge CTA Index, Cash = 13 wk T-Bill rate,

Bonds = Vanguard Total Bond Market ETF (BND), Hedge Funds = DJCS Core Hedge Fund Index

Commodities = iShares GSCI ETF (GSC), Real Estate = iShares DJ Real Estate ETF (IYR)

World Stocks = MCSI World Index (ex USA), US Stocks = S&P 500

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