Ivy program

Letter to investors

June 2018

The month in a few words

News and Markets


Market commentary

A few year-to-date price changes

Markets have stumbled in the first half of the year, intoxicated it seems from too much directionality and clear trends. We are now recovering from the hangover, by experiencing a somewhat chaotic, although not intense yet, trading range. In the last week of June, investors got tired of the unconstant weather and withdrew 29 billions from equity markets. All the tit for tat around tarriffs can certainly be a worrying factor, but is there more to read than a end of semester window dressing in recent flows? Should we expect a broader derisking? For now certains areas look tense, in some emerging markets notably, while we reach new highs in some other areas, like US technology stocks.

In any case what we observe is a larger divergence, in market performance and in economic expectations. Central banks for now tend to stay the course and are providing the needed anchor. The ECB has confirmed it will stop its QE program end of this year, by halving it to 15 billions a month in the last quarter before terminating it. The Fed hiked by 25 more basis points in June, its 7th hike since end of 2015. The Fed has stopped surprising us. Where there is a bit more change is in China, with liquidity boosted through a diminution of the reserve ratio for certain banks. This ratio sets the quantity of money that banks have to keep at the central bank. That decrease in the reserve ratio will free up 108 billions dollars, in an intent to support smaller companies, and maybe to counter a bit the recent trade tensions with the US. As such and for now central banks do not overreact and we anticipate a stabilization of economic growth from the slightly reduced recent level.

As far as Europe is concerned, where to invest? We favor France and the UK (hedged against currency risk). We believe the dollar has more room to go, which can support European equities. At the same time the economy has been slowing down a bit in recent months. If we look more closely at Italy and Spain, we should not expect high confidence levels, and in turn no pick up in growth. We need to pay attention at the same time to Germany, which would suffer from a strenghtening of trade tensions, not to mention the political situation with the coalition having earned a respite early July, but for how long? The ECB might not have all the necessary room to act as it intends in the coming year, and this means divergences could strengthen. The dollar could well keep rising for some time.

The Ivy program has seen its allocation evolve significantly so far this year. We are currently allocating more to commodities than usual for instance. We believe that the flexibility and the diversity of exposures brought by the program are a must in the current uncertain market environment. As of end of June, the program is down 2.8% for the year, and ready to adapt to any incoming market moves.

Our convictions

Market convictions and active views
The graphs show our current market convictions from -100% (maximum bearish) to +100% (maximum bullish).
For each asset class, our highest and lowest three convictions are shown.


Ivy program YTD

Highest positive contributions
+1.08% United States Oil Fund LP
+0.56% Low Sulphur Gas Oil
+0.55% Brent Crude
+0.49% US 10Y T-Note
Highest negative contributions
-0.85% Corn
-0.78% FTSE 100
-0.58% High Grade Copper
-0.55% SMI

Performance and positions

The Ivy strategy yearly performance for 2018 stands at -2.8% as of end of June.

Gains in 2018 come from short positions on US rates, from various commodity positions (including longs on gasoil and crude oil), from some equity positions (technology, discretionary consumption and health sectors) and being long convertible bonds.

Losses during the year come for the most part from short positions on Canadian rates, specific futures positions on equity indices (Footsie100, SMI), and on some commodities (corn, copper, palladium).

A more detailed performance analysis is shown thereafter.

As per our convictions, we are mildly bullish, almost neutral, on equities. For bonds, we still favor convertibles which benefit from an increased volatility. We have decreased our exposures on long term US and Canada bonds and are long bunds and gilts. For real estate, we favor the ex US instruments.
In the commodity space, we are bearish on sugar and bullish on gold and crude oil.


Performance contribution of ETFs

The graphs (one by asset class) show the contribution to performance of ETFs since January 1st 2018 (in USD).


Performance contribution of futures

The graphs (one by asset class) show the contribution to performance of the futures since January 1st 2018 (in USD).

Risk contributions

Risk contributions (component VaR 95% 1-day)

The graphs show how a position contributes to the combined portfolio VaR (Value at Risk). A positive number indicates that the position generally moves in the same direction as the overall portfolio. A negative number means the opposite, indicating that the position diminishes the overall portfolio risk level.

For each asset class, we are showing the largest and lowest three contributions to risk.


Key points and benchmarking

Strengths of the Ivy program
Deep learning Swiss made
Tail risk protection & crisis alpha Daily liquidity
Metrics Ivy 12 SG CTA Trend Index S&P500 20Y Treasury Bond
Annualized return 12.20% 5.04% 5.38% 6.94%
Volatility 10.23% 13.31% 19.28% 12.73%
Sharpe ratio 1.1 0.36 0.27 0.53
Max. drawdown 13.63% 21.66% 55.20% 26.59%
Correlation with Ivy - 0.56 0.27 0.13


The Ivy Deep Learning strategy is currently available as a managed account with a minimum investment size of 500’000 CHF/EUR/USD/GBP.

Ivy Deep Learning is also available through a certificate for qualified investors which ISIN code is DE000A2MDNL3.
The daily price of the certificate is available online: Price of the certificate

Please contact us for more information.

Want to know more?


Discover Ivy in a unique and interactive way by clicking on the below link:

Interactive Ivy portfolio


And contact us

+41 22 310 69 51