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In May, global financial markets ended the volatile month with mixed and little changed results. Although, global equities recovered steep intra-month losses into month end as equities traded in a wide range as a result of continued inflationary pressures and expectations for a slowing economy. Energy and Semiconductors led sector gains while Germany, China & Russia led regional gains. Interest rates were little changed for the month as the yield curve steepened from falling short term rates; the US dollar declined against most currencies. Energy once again led commodity gains with Natural Gas and Oil extending gains; Aluminum & Silver led Metals declines while Lumber & Cotton led Agricultural declines.
Continuing recent trends, commodity strategies – specifically energy markets – led the way for bank systematic risk premia strategies in May.  Commodity Volatility, Momentum, and Carry were up +5.59%, +4.68%, and +3.86% MTD respectively (-8.39%, 33.30%, and 10.03% YTD).  Currency Momentum and Carry strategies suffered as recent trends reversed, declining -2.96% and -3.36% MTD (+9.17%, +7.32% YTD).  In keeping with a risk-off environment, Credit Carry declined -5.72% for the month (-19.44% YTD).