Managed futures managers finish April on a high note

Managed futures managers performed relatively well in April 2010, according to a Lipper Tass report, as commodities continued to trend higher during the month. Long equity exposures and large speculative short positions in euro futures sustained manager performance. The Lipper Managed Futures/CTAs index registered a positive return of 0.63% for the month, and 1.30% year on year. Dispersion among individual fund returns narrowed from March, with a 31.66-percentage-point monthly spread between the top and bottom performers among actively reporting managers. Managers with more than USD45m in assets returned an average of 0.93% month on month, 19 basis points above the strategy average, and returned 4.66% on average over the 12 months to the end of April.

Equity markets were mixed. The MSCI World TR Index gained 0.07%, while the S&P 500 rose 1.58%, with seven of ten sectors finishing higher. Consumer discretionary (+6.02%) and energy (+4.43%) led, while healthcare (-3.91%) lagged. Developed markets overall fell 0.16%, dragged down by Greece (-11.47%) and Portugal (-9.42%), as twelve of 16 European markets declined on Greek debt fears. Emerging markets gained 1.23%, led by Turkey and Indonesia, although four of the five BRIC markets fell. Value (+2.59%) outperformed growth (+1.12%), and mid- and small-caps (+2.16%) outpaced large-caps (+1.85%).

Volatility rose sharply, with the CBOE VIX climbing 25.36% to 22.05 on 30 April, after S&P downgraded Greece's sovereign rating to junk and Portugal's to A-. In currencies, the US dollar appreciated 1.59% against the euro on safe-haven demand tied to Eurozone sovereign debt concerns, and 0.37% against the yen, but fell 0.57% against sterling. US consumer confidence rose to 57.9 from 52.3, and employment grew at its fastest pace in four years, although the unemployment rate edged up to 9.9%.

Commodities rose 1.60% over the month per the Reuters/Jefferies CRB Index. Gold gained 2.39% as investors sought safe havens, while sugar fell 8.24% as Brazil's 2010/11 cane crop was estimated to rise 17% and India's monsoon rains boosted planting. Crude oil rose 1.85%, while natural gas fell 1.05%.