Coquest 40 Index July 2021 Update
The Coquest 40 Index finished July up, +0.44%, bringing YTD performance to +6.18%.
The Delta variant was the major concern for market participants in July as infections increased across the globe. The reflation again took a hit as investors moved into safe-haven assets. Longer-dated government bond yields moved lower while U.S. equities finished higher on the back of a stronger than expected jobs report.
Trend following constituents make up the bulk of the index and finished the month up, +0.75%, on a weighted average basis. Net long European and U.S. fixed income exposure befitted trend managers who were able to generate gains from the longer end of the curve flattening. Long energies also benefitted trend managers during the month, with long natural gas positions responsible for most of the gains within the sector. Long U.S. and European equity positions also contributed to positive P&L for trend managers. Systematic non-trend managers included in the index finished down, -0.62%, on a weighted average basis.
Like last month, performance within the strategy bucket was very much mixed. Systematic Global Macro managers, who rely on fundamental data, struggled in July. Gains in equities were not enough to make up for losses in net short USD, as well as net short positions in U.S. and European government bonds. There was some dispersion in returns for multi-strategy program performance within the systematic non-trend bucket. Most gains came from the long energy, U.S. Treasury, and U.S. equity exposure. These strategy types trade a more diversified basket of markets and rely on both fundamental and technical data to identify attractive opportunities.
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 July up, +1.67% and +0.45%, respectively.
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