2017 PERFORMANCE AND ETF PORTFOLIOS

2017 was a good year for financial markets with many assets that had positive returns.
Instead, 2017 was more difficult for my active models that had mixed performances.

The most defensive models (Model 1 & 2) closed the year slightly negative.
More aggressive models (all versions of model 3) had a good year. The most aggressive models among the aggressive one (model 3.4 agg and model 3.4 agg) had the best results.

Models 4 that aim to beat an equal weighted diversified portfolio had mixed performances.
€ Models 4 closed positive, over performing the benchmark that closed negative.
US Model 4 closed with good performance, but doing worse than benchmark.

Below the table with monthly performances and the chart with year-to-date returns.

 

ETF PORTFOLIOS IN PRACTICE

Now I want to show how models could have done in 2017 using real ETFs listed in Milan. You will see that results between theoretical models and etf  can differ,but the trend is the same.

Note: these Bloomberg portfolio were built with a slight different assumption
- Excel models buy/sell the benchmark at the close price of the month
- Portfolio buy/sell ETFs at the close of the first trading day of the new month
(for example: models buy&sell at end of December, Portfolios buy&sell on the first trading day in January)

On models 3rw (risk-weighted) you'll be able to see performance and attributions from ETFs as well


 MODEL 3.4RW WITH ETFS (BETTER THAN IN EXCEL)

 

MODEL 3RW WITH ETFS (ALMOST IN LINE WITH EXCEL)

€ MODEL 4 WITH ETF (WORSE THAN EXCEL)

JANUARY ALLOCATION

Happy 2018!!
Here we go with January allocations for this new year.
Most aggressive models are equity biased, dropping exposure in Germany and leading towards Asia/Oceania.

In the coming days I'll post the performances for the 2017