|Highest positive contributions||YTD|
|E-mini S&P 500||+3.41%|
|E-mini Nasdaq 100||+3.26%|
|Vanguard Information Technology||+1.57%|
|Highest negative contributions||YTD|
|Bund (GER 10Y)||-0.52%|
|Long Gilt (UK 10Y)||-0.36%|
The Ivy strategy performance stands at +24% in 2017.
The collateral constituents, made of ETFs, represent approximately 55% of those gains, and the longs and shorts on futures 45%.
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 rates (Canadian and German ones), 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
We have increased our convictions on energy and durables goods.
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).