May Auspice Managed Futures Index Commentary

Auspice Managed Futures Excess Return Index (AMFERI)

Market Review

The AMFERI pulled back 3.97% in May to be off 8.33% in 2014 year-to-date. The market environment remains challenging as volatility across many asset classes is very low. Equities, Interest Rates, Currencies and several commodities are experiencing the lowest volatility since pre-crisis in 2008. Some markets, like Crude Oil, are at 20 year lows. 

This is a deceiving blanket of comfort. Historically, these periods of non-volatility are followed by violent market activity. Is this non-volatile environment the proverbial calm before the storm? Institutional asset class rotation hints at potential changes. The momentum from asset class rotation away from Equities and Fixed Income is building. 

Read the Full Commentary here.