Coquest 40 Index June 2020 Update
The Coquest 40 Index finished June down 1.28%, on a weighted average basis. Fiscal and monetary policies were able to lift equity markets higher in developed countries despite increases in infection rates and lackluster economic data. Performance was negative across all strategy buckets. Trend following constituents make up the bulk of the index and finished down 1.56%. Losses were primarily driven by long USD positions vs developed and commodity currencies, particularly, vs. the AUD. Industrial metals appreciated on the back of renewed Chinese demand attributing to negative performance as well. Systematic non-trend managers included in the index, which largely consists of systematic global macro strategies, finished down 0.31% for the month. Losses were relatively broad based across financial markets with Long USD being the largest detractor from performance in the strategy class. 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 June down 2.09% and 0.84% respectively. FX strategies suffered losses from the continued weakness in the USD, while losses in the short term bucket were driven by the industrial metal and crude complex.
