Coquest 40 Index August 2020 Update

The Coquest 40 Index finished August down, 1.13%, on a weighted average basis. US equities continued to drive higher as the S&P recorded its best August in over 30 years. Performance was negative across all strategy buckets. Trend following constituents make up the bulk of the index and finished down, 0.70%. Losses were primarily driven by long global fixed income positions as yields rebounded after the Fed signaled they would focus on an average inflation target that could overshoot the 2% mark. Short positions in energies, namely natural gas, also contributed to losses for trend followers, as hurricanes disrupted the Gulf Coast. Systematic non-trend managers included in the index, which largely consists of systematic global macro strategies, finished down, 0.61%. Gains in equities were offset by losses in long fixed income positions as global yields rose. The foreign exchange and short-term managers included in the index make up the remaining assets in the Coquest 40 Index and ended the month of August down, 3.93% and 3.31%, respectively. FX strategies suffered losses from the continued weakness in the USD, while losses in the short-term bucket were driven by an increase in sovereign yields and shorts in the energy sector.