LIPPER TASS FLASH ESTIMATE REPORT May 2010

Managed Futures Posts a Big Loss in May as Europe’s Debt Woes Trigger Heavy Sell-Offs in Global Markets

• Managed Futures had a hideous month in May as markets sold off across the board amid growing fears about Europe’s financial stability. Long-term trend followers generally posted losses as a number of market trends reversed sharply and as market correlations increased during a period of decreasing global market returns.
  
• The Lipper Managed Futures/CTAs index registered a negative return of 3.82% for May (minus 4.05% year on year).
  
• The degree of dispersion among individual fund returns increased from the previous month’s reading. A 61.08- percentage-point monthly performance difference in May divided the top and bottom performers of the actively reporting managers tracked by Lipper.
  
• May reversed April’s readings. Managers with assets in excess of US$45 million returned a better average performance at minus 2.23% month on month—157 basis points above the average reading for the strategy.