Coquest 40 Index June 2021 Update
The Coquest 40 Index finished June down, -0.38%, bringing YTD performance to +5.71%.
In June, existing trends in the U.S. dollar, fixed income, and broad-based commodities reversed, causing losses for many strategy types. Risk assets finished higher, and yields crept lower as the Federal Reserve signaled a more hawkish tone.
Trend following constituents make up the bulk of the index and finished the month down, -1.60% on a weighted average basis. Gains in long energy positions could not make up for losses in short USD and Treasuries. Long exposure to U.S. equity positions proved to be profitable but only marginally.
Systematic non-trend managers included in the index, which largely consists of systematic global macro strategies, finished up +0.36% on a weighted average basis. Performance within the strategy bucket was very much mixed. Systematic global macro managers, who rely on fundamental data and have a bias towards financial markets, experienced losses from short USD and U.S. Treasuries, particularly on the longer end of the curve. Multi-strategy programs were responsible for the positive return in June within the systematic non-trend bucket, profiting from long exposure to U.S. equities and the energy complex. 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 June up, +6.50% and down, -0.30%, respectively. FX strategies recorded gains from long positions in USD versus European and commodity currencies, while short-term manager performance, albeit mixed, suffered marginal losses from the unwinding of the reflation trade.
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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.
