Coquest 40 Index – Dec. 2020 Update

The Coquest 40 Index ended December up, 3.77% and finished the year up, 0.97%. Risk assets rallied, bolstered by increased stimulus in the U.S. and deployment of the COVID-19 vaccine. The weakening U.S. dollar trend continued to persist, which also caused commodities to edge higher for the month.

Trend following constituents make up the bulk of the index and finished up 6.26% on a weighted average basis. Positive performance was primarily driven by commodity sectors, particularly long metals and grains coupled with short dollar positions vs. G10 and commodity currencies. Managers were also able to capitalize on long equity positions, while fixed-income positions finished about flat for the month. Systematic non-trend managers included in the index, largely consisting of systematic global macro strategies, finished up 2.16% on a weighted average basis. The majority of gains were from long equity index exposure and short USD positions versus developed and commodity currencies.

The foreign exchange and short-term managers included in the index make up the remaining assets in the Coquest 40 Index. They ended the month of December down, -5.82% and up 0.81%, respectively. FX strategies suffered losses from long USD positions vs. a global basket. Short-term manager performance, albeit mixed, secured minimal gains from short USD positions coupled with long commodity exposure.