Coquest 40 Index August 2021 Update
The Coquest 40 Index finished August up +0.02%%, bringing YTD performance to +6.20%.
Major geopolitical events, the Delta variant, and the devastation caused by Hurricane Ida dominated headlines in August. Despite all this, European and U.S. equities continued their grind higher as the two developed economies printed strong economic numbers. Inflation levels remained at heightened levels and the Fed indicated tapering may begin late this year.
Trend following constituents make up the bulk of the index and finished the month up +0.26% on a weighted average basis, albeit with mixed performance among the constituents. Positive performance in August was dependent on market exposures in equities and commodities. In terms of attribution, long natural gas positions in both the U.S. and European markets were the largest contributors to positive performance. Long U.S. equities also proved to be beneficial as well. Long treasuries detracted from gains within the sub-strategy group as inflation data remained strong.
Systematic non-trend managers included in the index finished down -0.53% on a weighted average basis. A similar story unfolded in August as systematic global macro managers who rely on fundamental data lagged multi-strategy program performance. Again, managers who depend on fundamental data suffered from net short U.S. dollar positions. Gains in long U.S. equity positions were not able to cover losses from the net short U.S. dollar exposure. Long European and U.S. sovereign bonds also detracted performance as yields rose slightly due to tapering talks among EU and U.S. central bankers.
Multi-strategy programs performed better than systematic global macro managers within the systematic non-trend bucket. Positive performance can be attributed to exposure to the agricultural and energy complex on the long and/or short side.
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 August up +0.60% and -1.55% respectively.
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Disclosure: The risk of loss in trading futures and/or options is substantial. Past performance is not indicative of future results. The information in this message derived from third-party sources is believed to be accurate and reliable; Coquest does not guarantee the accuracy or completeness of the information. Opinions expressed in this material are subject to change without notice. This report should not be interpreted as a request to engage in any transaction of futures, options, and/or OTC derivatives. The information contained in this material is not to be relied upon in substitution for the exercise of your independent judgment. Seek independent financial, tax, legal, and accounting advice from your own professional advisers, based upon your particular circumstances.
