Coquest 40 Index September 2020 Update

The Coquest 40 Index finished September down -1.46%, on a weighted average basis, as U.S. equities reversed aggressively during the beginning of the month due to election and stimulus uncertainty. FX strategies were the only bright spot, as performance was negative across every other strategy bucket. Trend following constituents make up the bulk of the index and finished down -2.52%. Most of the losses suffered were primarily driven by the reversal in U.S. equities. Trend managers suffered from both long U.S. equity positions and short USD positions as the equity market sell-off saw capital flow to more risk off positions. Yields in Europe continued their decline as long European fixed income positions managed to limit losses due to increased European stimulus measures. Systematic non-trend managers included in the index, which largely consists of systematic global macro strategies, finished down -0.70%. The majority of losses came from short USD positions vs. G10 currencies. 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 September up 3.66% and down -2.11%, respectively. FX strategies profited from the USD rally, while losses in the short-term bucket were driven by choppy U.S. equity markets.

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