Coquest 40 Index May 2020 Update
The Coquest 40 Index finished the month of May down 1.17%, on a weighted average basis. Re-opening of major economies coupled with stimulus packages from Japan and the EU buoyed equity markets for the month. Despite the broad equity rally, shorter term government bonds also appreciated due to the continued uncertainty surrounding the impact of Coronavirus. Performance was mostly negative across strategy buckets. Trend following constituents make up the bulk of the index and finished down 1.53%. Gains in shorter term treasuries were not able to offset losses in long USD dollar positions, while many trend-followers also suffered losses from recently acquired short equity positions. Performance for the systematic non-trend managers included in the index, which largely consists of systematic global macro strategies, finished up 0.13% for the month, as gains from long positions in shorter term treasuries offset losses from long USD positions. 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 May down 2.25% and 1.21% respectively. FX strategies suffered losses from a weaker USD, while losses in the short term bucket were broad based across markets.
