Coquest 40 Index March 2021 Update
The Coquest 40 Index finished March up +1.34%, bringing YTD performance to +2.78%. Risk assets finished higher in March due in part to increasing vaccine distribution and expectations around the Biden administration’s trillion-dollar infrastructure plan.
Trend following constituents make up the bulk of the index and ended the month up +1.26% on a weighted average basis. Long U.S. and European equities coupled with short U.S. fixed income exposure were responsible for most gains in March. FX performance was mixed. More nimble managers were able to profit from net long USD exposure as the dollar drifted higher during the month. Long commodity exposure, particularly in energies and metals were the largest detractors to performance for trend-followers, as commodity markets gave back some of February’s gains. Systematic non-trend managers included in the index, which largely consists of systematic global macro strategies, finished marginally positive up 0.40% on a weighted average basis. Performance within the strategy bucket was mixed but many managers were able to profit from short positions on the longer end of the U.S. yield curve and U.S. and European equities. 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 +4.32% and +0.46% respectively. FX strategies recorded gains from long positions in USD versus a global basket, while short-term manager performance, albeit mixed, benefitted from long equity and FX positioning.
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