Coquest 40 Index March 2020 Update

The Coquest 40 Index finished flat for the month, up 0.06% on a weighted average basis. March proved to be eventful, as volatility heightened across all asset classes due to the spread of COVID-19. Equity markets experienced not only their largest single day declines, but also their largest single day rallies. Performance was mixed across strategy buckets as the spread of COVID-19 continued to disrupt major economies across the globe. Trend following constituents make up the bulk of the index and finished up 0.73%, although performance was quite varied. Majority of gains came from the commodity sector, particularly in the energy and base metal markets, as demand weakened across the globe. Long fixed income positions also added marginal benefits as large stimulus packages were enacted towards the end of the month. Performance for the systematic non-trend managers included in the index, which largely consists of systematic global macro managers, finished down 2.85% for the month as equity markets sold off and fixed income did not provide the proper hedge due to a flight for liquidity. 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 March up 7.26% and down 0.46% respectively. FX strategies were able to profit from long USD positions, especially vs. commodity-based currencies, while short term strategies were able to react and go short equities and the energy complex, which mitigated large losses from Coronavirus fears.