26 Jul 2010
LIPPER TASS FLASH ESTIMATES REPORT – JUNE 2010
- Managed Futures posted slightly positive performance for June as commodities edged higher during the month. Trend followers generally ended the month in positive territory; they were able to benefit from the recent price trends in commodities, especially gold, and on flattening yield curves on both sides of the Atlantic.
- The Lipper Managed Futures/CTAs Index registered a positive return of 0.12% for June, bringing the year-to-date performance to minus 3.90%. Long exposures to equities, however, dragged down manager performance as markets sold off on lingering concerns over Eurozone debt and weak U.S. economic data.
- The degree of dispersion among individual fund returns decreased from the previous month’s reading. A 33.61-percentage-point monthly performance difference for June divided the top and bottom performers of the actively reporting managers tracked by Lipper.
- Managers with assets in excess of US$45 million returned a better average performance at 0.47% month on month—36 basis points above the average reading for the strategy. “Large” Managed Futures managers returned a positive 1.21% on average for the 12-month rolling period at the end of June (-0.19% YTD).
