|Highest positive contributions||YTD|
|E-mini Nasdaq 100||+3.23%|
|E-mini S&P 500||+3.16%|
|Highest negative contributions||YTD|
|Henry Hub Natural Gas||-0.62%|
The Ivy strategy performance stands at +20.9% in 2017 as of end of November.
The collateral constituents, made of ETFs, represent approximately 60% of those gains, and the longs and shorts on futures 40%.
Yearly gains come from the most part from equity markets and some commodities such as palladium, copper and softs. Most ETFs positions are in the black, which includes real estate and rates products as well.
Losses come from specific futures positions, on long term Canadian rates, platinum and natural gas.
A more detailed performance analysis is shown thereafter.
As per our positions and convictions, we remain bullish on equities. Our lowest convictions are in the energy and telecommunications sectors, as well as some
European markets (UK notably).
We have decreased our convictions in emerging markets, be they equity or bonds.
In the fixed income space, we favor convertibles and corporate bonds. We remain short on long term US rates, neutral on Canadian rates and German bunds, and long on UK gilts.
For real estate we favor ex US real estate.
In the commodities space we are bearish on corn, natural gas and platinum, while we are bullish on copper, Brent crude oil and palladium.
Equity ETFs represent the largest share of the gains made in the collateral in 2017.
The graphs (one by asset class) show the contribution to performance of ETFs since January 1st 2017 (in USD).
The graphs (one by asset class) show the contribution to performance of the futures since January 1st 2017 (in USD).