Coquest 40 Index October Commentary

The Coquest 40 Index finished October down -0.32%, on a weighted average basis as U.S. equities reversed at the end of the month due to increases in COVID-19 cases, contested U.S. election concerns, and failed stimulus. Trend following constituents make up the bulk of the index and finished modestly negative, returning -0.22%. Performance across the strategy bucket was mixed. Profitable short energy and long grain positions were not enough to cover losses in long equity and U.S. fixed income positions. Systematic non-trend managers included in the index, which largely consists of systematic global macro strategies, finished down -1.25%. Majority of losses came from long equity positions as equity markets sold off towards the end of the 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 October up 1.46% and down -0.40%, respectively. FX strategies profited from short USD positions vs EM currencies, while losses in the short-term bucket were driven by choppy U.S. equity and fixed income markets