FTSE Hedge Global Index Rebounds With A 0.42% Gain In May

The FTSE Hedge Global Index rebounded in May, posting a 0.42% gain in US dollar terms and a 0.68% gain in GBP terms. The biggest contributor to this positive return was the directional style (+0.85%), largely due to the strong

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The FTSE Hedge Global Index rebounded in May, posting a 0.42% gain in US dollar terms and a 0.68% gain in GBP terms. The biggest contributor to this positive return was the directional style (+0.85%), largely due to the strong performance of managers in the global macro (+3.39%) and CTA/managed futures (+1.31%) strategies.

Having experienced a difficult trading environment in April, these managers now benefited from their long positions in equities, bonds and the US dollar. Equity markets posted strong gains despite S&P’s downgrade of Ford and General Motors as US employment data and retail sales data confirmed that the US economy was still growing, while inflation data and lower oil prices for most of the month eased concerns over the pace at which the US Federal Reserve would raise interest rates, aiding bond prices. The US dollar strengthened against the Euro and Yen, while the oil price dipped by almost $3 in the first three weeks of the month before strengthening to above US$50 by month-end. Though the non-directional style recorded a modest loss, the convertible arbitrage strategy stabilized during the month after an extremely tough April. Managers in the event-driven style recorded positive returns.

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