May was a mixed month in which the returns were affected by the movement of the US Dollar against the Euro. Secondly our Asian Long Short manager had a terrible month and CTA managers performed on average also poorly.
Within the CTA managers the performance differences were however huge. The more traditional managers were suffering serious losses. In the same time the more alternative CTA’s did a great job. Strategies like currency and volatility trading are missing volatility to perform.
Without big winners it all came down to the US Dollar, the slump of more than 4% during one month made the difference. When we would calculate our result in US dollars the return was more than 1% positive.