Coquest 40 Index February 2021 Update
The Coquest 40 Index finished February up +2.35% bringing YTD performance to +1.42%. Inflation risk, economic reopening, and vaccine distribution dominated headlines in February as the yield curve steepened and reached levels not seen in years. Risk assets were able to finish higher despite rising yields leading to losses in major indices toward the end of the month. Commodities continued their uptrend in February lead by the energy complex and industrial metals.
Trend following constituents make up the bulk of the index and ended the month up +2.94% on a weighted average basis. Opportunities in commodity and global equity markets were able to offset losses from long U.S. Treasury positioning. Positive returns were driven by long exposure to the energy complex, agricultural markets, and copper. Long global equity index exposure also contributed positively to performance, helping to offset losses from the intense selling of U.S. fixed income markets towards the end of the month.
Systematic non-trend managers included in the index, which largely consists of systematic global macro strategies, finished up +1.43% on a weighted average basis. Performance within the strategy bucket was mixed but many managers were able to profit from long equity and energy exposure. Long U.S. fixed income detracted from performance while net short USD positioning contributed neither negatively nor positively to returns. 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 February down, -1.40% and up +5.23%, respectively. FX strategies suffered losses from long positions in USD versus commodity currencies, while many short-term managers were able to profit from the spike in volatility across asset classes.
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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.
