May was a better month than April when most indices saw negative returns. However returns were still modest with bonds sold off heavily in the first half of the month before rallying in the latter half as economic data showed a weak economy. Government bonds were hardest hit, at -0.134% for the month. This was because the yield curve steepened and government bonds have a higher proportion of long dated bonds that other categories. The composite bond index showed a positive 0.022% and the semi-govt bond index saw 0.068%. FRNs returned 0.242% and corporate bonds had the best returns for the month 0.306%.
On a 12 month basis government bonds are the highest performing, returning 7.97% but closely followed by Semi government bonds and the composite bond index at 7.56% and 7.49% respectively.
|Bloomberg AusBond Indices||1m Return||12m Rolling|