Coquest 40 Index January 2021 Update
The Coquest 40 Index finished January down 0.91%. Risk assets continued to rally during the first half of the month, but optimism around the Biden stimulus package and COVID-19 vaccine distribution began to fade towards the end of January causing risk assets to finish lower. The retail army’s short squeeze also contributed to heightened market volatility. The U.S. dollar bucked its downtrend, finishing higher for the month, while commodity prices, particularly agricultural products, continued to rally.
Trend-following constituents make up the bulk of the index and finished down 0.87% on a weighted average basis. Profits from long grains and energy positions were not enough to make up for losses from long fixed income and short U.S. dollar trades. Long equity exposure also suffered due to a rise in volatility towards the end of the month. Systematic non-trend managers included in the index, which largely consists of systematic global macro strategies, finished down 1.25% on a weighted average basis. Losses stemmed from long equity index exposure, higher yields, and net short USD positions vs a global basket.
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 0.63% and down 2.08%, respectively. FX strategies generated gains from long positions in USD and commodity currencies, while short-term managers found it difficult to sift through the noise of the fixed income and equity markets.
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