Wait a second… Managed Futures can go down? Stocks and Bonds can go up?  May showed us it is never quite that easy for asset classes to continue printing positive month after positive month (or negative after negative month) into infinity. Trends do end. Reversals do happen. Value buyers come in. Profit takers take profits. In this case, it was bonds seeing their first sign of life in quite some time, catching a bid mid-month as the equity sell-off gained acceleration. That equity sell-off had the S&P briefly in bear market territory, down more than -20%, when measuring from the low on May 19th. But we never closed there, and equities somehow managed to eke out a small gain for the month, keeping the market out of a ‘bear market’ for now. Meanwhile, we’re in the last month of the first half of the year and still on pace for one of the worst performances of the 60/40 portfolio in the past 100 years.

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Past performance is not indicative of future results.

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Past performance is not indicative of future results.

Sources: Managed Futures = SocGen CTA Index,
Cash = US T-Bill 13 week coupon equivalent annual rate/12, with YTD the sum of each month’s value,
Bonds = Vanguard Total Bond Market ETF (NYSEARCA:BND),
Hedge Funds = IQ Hedge Multi-Strategy Tracker ETF (NYSEARCA:QAI)
Commodities = iShares S&P GSCI Commodity-Indexed Trust ETF (NYSEARCA:GSG);
Real Estate = iShares U.S. Real Estate ETF (NYSEARCA:IYR);
World Stocks = iShares MSCI ACWI ex-U.S. ETF (NASDAQ:ACWX);
US Stocks = SPDR S&P 500 ETF (NYSEARCA:SPY)

All ETF performance data from Y Charts

Asset Class Scoreboard: May 2022 on RCM Alternatives.