By John S. McClenahen Five of the 10 indicators that make up the Conference Board's Index of Leading Indicators advanced in May, and that pushed the closely watched index of future U.S. economic activity up by 0.4%, about twice as much as what most economists expected. The index now stands at 112.2 (1996=100). Nevertheless, "with only half of the leading index components rising and the coincident index up just 0.1%, the message is that the expansion is less than vigorous," says Maury Harris, chief U.S. economist at UBS Warburg LLC, New York. Real money supply, initial claims for unemployment insurance, consumer expectations, building permits and vendor performance all figured positively into the leading index last month. Stock prices, manufacturers' new orders for consumer goods, manufacturers' new orders for nondefense capital goods, and the interest spread were negatives. One indicator -- average weekly manufacturing hours -- was unchanged in May. Meanwhile, for the third consecutive week, initial claims for unemployment insurance have fallen. For the week ending June 15, reports the U.S. Labor Department's Employment & Training Administration, the seasonally adjusted figure was 393,000, a decrease of 2,000 from the previous week's revised figure of 395,000. The mark for the week ending June 15, however, was 8,000 claims above the 385,000 that economists had been predicting. As expected, the U.S. trade deficit with the rest of the world deepened in April. However, at a monthly record of $35.9 billion the ink was nearly $4 billion redder than the $32.2 billion economists expected. U.S. exports of goods and services totaling $80.1 billion in April were $1.7 billion higher than in March and posted their fourth consecutive gain. But imports grew even more, up $5.2 billion from March to $116 billion in April, according to U.S. Commerce Department data. "April's record trade deficit is the result of two fundamental factors: the U.S. recovery is outpacing growth abroad, and the high value of the dollar, which has undercut American firms' competitiveness," contends David Huether, chief economist at the National Association of Manufacturers, Washington, D.C.