Dear investors & friends
We have advised our current product partner to discontinue the current investment offering (the EPPS certificates) and instead offer access to investment solutions based on our range of rule-based investment strategies through a newly established partnership with a platform partner able to offer standardized and customized mandates.
In preparation for that, we have advised for the reference portfolio of the EPPS certificates to be fully in cash as of 5 December 2016. May we kindly prompt all investors, who have not done so already, to instruct their bank or wealth manager to sell their certificates (using the order type “NAV at close”) as soon as practicable.
Whilst we considered a certificate structure sufficient for implementing our strategy at launch, technical restrictions (limited investment universe, portfolio adjustment frequency, costs and in particular missing currency hedging possibilities) proved to be too limiting overall.
These technical restrictions prevented us from implementing the strategy fully as instructed by our QuantTrader software, resulting in foregone return opportunities and considerable negative performance contribution of over 15% since inception.
Under normal market conditions, the abovementioned technical restrictions would not cause too much harm but in the current market they do. We believe that the volatile market environment will continue for the foreseeable future. We will therefore reposition our investment approach.
The way forward
We have set up a Registered Advisor relationship with Interactive Brokers LLC and look forward to offering our range of existing and proven sub-strategies through mandate accounts. This will allow for full flexibility in the available investment universe as well as the ability to calibrate client requirements individually. Initially, only the partners’ proprietary asset base will be advised on through this new setup and we will update you as soon this opens to a broader audience.
The constructive dialogue with many of you over the past 18 months led us to conclude that the new investment approach will no longer be based on diversified meta-strategy. Instead, the focus will shift to harvesting return opportunities more efficiently, as they are identified by our models for the existing sub-strategies, at the expense of elevated portfolio risk. The investment process continues to be governed by Frank Grossmann, founder of Logical Invest, a research firm specialized in the development of mathematical, rule-based investment strategies.
We thank you for your continued trust and remain at your disposal to address any queries you may have.
With best regards
Chairman – Rational Invest AG
Tel +41 44 515 48 00 / Email