Coquest 40 February Update

The Coquest 40 Index finished negative for the month of February, down 1.49% on a weighted average basis. Performance was mostly negative across strategy buckets as COVID-19 fears rattled markets towards the end of the month, producing the largest one-week loss in US equites since the Great Recession. Trend following constituents make up the bulk of the index and finished down 1.21%, although performance was quite mixed. Majority of the losses came within the last six days as global equity gains were erased as Coronavirus spread to Europe and the US. Gains in fixed income and the energy sector contributed to positive performance for most trend-follower’s, offsetting some losses. Performance for the systematic non-trend managers included in the index, which largely consists of systematic global macro managers, finished down 3.38% for the month due to the risk-off environment during the last week of the month. The foreign exchange and short term managers included in the index make up the remaining assets in the Coquest 40 and ended the month of January up 2.90% and down 0.57% respectively. FX strategies were able to profit from safe-haven currencies while short term strategies were able to react and mitigate large losses from Coronavirus fears. The discretionary bucket finished down just shy of 7.00%.

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