Coquest 40 Index May 2021 Update

The Coquest 40 Index finished May up +1.46%, bringing YTD performance to +6.11%.

May saw equity markets finish slightly higher despite CPI numbers rising at their fastest pace in over 12 years. Broad commodity markets fared well, while continued dovish monetary policy caused the dollar to continue its trend lower versus its G7 peers.

Trend following constituents make up the bulk of the index and finished the month up +2.30% on a weighted average basis. Net short U.S. dollar exposure was responsible for most of the gains in May with long energy positions helping marginally. Long base and precious metals also contributed positively to performance as economies reopen and inflation fears continue to rise.

Systematic non-trend managers included in the index, which largely consists of systematic global macro strategies, finished up +1.19% on a weighted average basis. Performance within the strategy bucket was mostly positive with many managers able to profit from net short USD positions as the world’s reserve currency continued its decline in May. Long commodity exposure in base and precious metals, and energies, was also profitable this month.

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 -2.52% and -0.21% respectively. FX strategies recorded losses from long positions in USD versus European and commodity currencies, while short-term manager performance, albeit mixed, suffered losses from choppy U.S. Treasury markets.


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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.