361 Managed Futures Strategy Fund &
361 Global Managed Futures Strategy Fund
For the month of May, the S&P 500 Index was up 2.41%, while the MSCI World Index gained 0.69%. The S&P 500 was up almost 4% intramonth, followed by some choppiness towards the end of the month. The VIX started and finished the month at nearly the same level, 15.93 and 15.43, respectively, with an intramonth low of 12.53 on May 24. There was a small spike in volatility at the end of the month primarily due to the concern with Italy but, overall, volatility has continued its downward trend since the event on February 5.
In May, the Morningstar managed futures category was down 1.84%, while the 361 Managed Futures Strategy Fund (AMFZX) gained 0.70% and the 361 Global Managed Futures Strategy Fund (AGFZX) was just slightly down 0.28%. Within AGFZX, the U.S. region provided positive attribution, while losses in the European region were the main detractor and the Asian region provided mixed returns. Within AMFZX, the Nasdaq 100 exposure provided the most benefit, while the Dow Jones Industrial Average exposure gave negative attribution for the month. Both Funds remain down for the year, mostly due to the transitionary period to higher volatility that occurred in February. However, if the markets remain choppy, we believe that the Funds will be well positioned for positive return expectations.