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Global financial markets posted mixed performance in May, as many countries & economies began to emerge from the pandemic quarantine and inflationary pressures began to arise. Global equity markets were also mixed with gains in large cap and Energy sectors offset by weakness in Technology; European and Asian equities also gained. US interest rates were basically unchanged while inflationary pressures increased, the US dollar declined. Energy & Metals commodity gains were led by Gold, Silver and Oil.
May 2021 was a mixed month for Bank Systematic Risk Premia indices as well. The trends associated with the economic recovery from COVID took a pause. In Commodities, Commodity Carry had strong performance gaining +4.12% MTD, +14.22% YTD as backwardated forward curves provided ample profit opportunities. Conversely, Commodity Momentum declined -1.10% MTD (+17.60% YTD) as commodity uptrends paused. In Rates, interest rates spent the month in a trading range, allowing Rates Volatility to generate a strong +5.08% gain in May (+11.45% YTD). Other momentum strategies continued to profit with Currency Momentum and Equity Momentum gaining +5.26% and +3.63% in May respectively.
Comments reference performance figures as of May 31, 2021