Auspice Managed Futures Excess Return Index (AMFERI)
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.