Newsletter end of October 2021

The month of October 2021 was an extremely good month for world stock markets. A surprise was also the good performance of our defensive hedging assets Treasuries and Gold. All together, the Enhanced Permanent Portfolio reference account added +4.6% while the ACWI was up +5.4% and Europe up +4.55%. Defensive Treasuries were up +2.47% and Gold up +1.48%. The Sharpe Ratio (risk adjusted performance) topped 10 for this month which is an extremely occasion. It means that also market volatility was very low for the month of October.

Your Rational Invest Team
Walter Baumann / Frank Grossmann / Thomas Ritter
Tel +41 79 306 11 60 / Email

Newsletter end of September 2021

For the month of September 2021, the Enhanced Permanent Portfolio reference account lost-2.28% while the S&P500 was down -4.7%, ACWI was down -4.23% and Europe down -3.41%. Unfortunately, also our defensive hedging assets lost -2.91% for Treasuries and -3.22% for Gold.
The only relieve came from good option premium income, which contributed with about+2% within a month. The effect can be seen in the below chart.

With the month of September we also ended the 3rd quarter of 2021 with a profit of +3.88%. Even with the bad month of September the portfolio achieved a particularly good 3 month Sharpe ratio of 1.78%.

Going forward we think that the recalibration of Treasury yields should soon come to end and from then on, Treasuries should again offer a good protection to our portfolio.

From this month on, we calculate currency adjusted SI (Since Inception) performances for our benchmark indexes which are the USD denominated ACWI (All Country World Index) and the DJ Stoxx 600 Index which is EUR denominated. These currency adjusted performances are also used in the performance chart to allow an unbiased comparison to our CHF (Swiss Franc) denominated reference portfolio.

Your Rational Invest Team
Walter Baumann / Frank Grossmann / Thomas Ritter
Tel +41 79 306 11 60 / Email

Newsletter end of August 2021

For the month of August 2021, the Enhanced Permanent Portfolio strategy-account added +2.58% while the 100% equity ACWI index (All Country World Index) was up by +2.17% and Europe (Euro Stoxx 600 index) added +1.98%. Treasuries lost -0.4% and Gold -0.1%

Your Rational Invest Team
Walter Baumann / Frank Grossmann / Thomas Ritter
Tel +41 79 306 11 60 / Email

Newsletter end of July 2021

For the month of July 2021, the Enhanced Permanent Portfolio strategy-account added +3.4% while the 100% equity ACWI index (All Country World Index) was up by 0.9%. Europe added 1.97%.
As it can be seen in the below monthly chart, the EPP (blue line) only had about half the volatility than major equity indexes, because of the again negative correlation of the defensive US Treasury component (yellow line).

Your Rational Invest Team
Walter Baumann / Frank Grossmann / Thomas Ritter
Tel +41 79 306 11 60 / Email

Newsletter end of June 2021

For the month of June 2021, the Enhanced Permanent Portfolio strategy-account added +0.84% while the 100% equity ACWI index (All Country World Index) was up by 1.26%. While Equity and Treasuries performed well, Gold was down -6%. Volatilities came down to low pre-covid levels indicating that investors don’t see any immediate market risks during this summer.

Your Rational Invest Team
Walter Baumann / Frank Grossmann / Thomas Ritter
Tel +41 79 306 11 60 / Email

Newsletter end of May 2021

For the month of May 2021, the Enhanced Permanent Portfolio strategy-account added +1.74% which was better than the 100% equity ACWI index (All Country World Index) which was only up by 1.47%. The significant difference however was the much lower volatility of the EPP strategy with a max drawdown of 1.34% versus 3.83% for the ACWI on May 12. Fortunately this intermediate drawdown was only of short duration.

Your Rational Invest Team
Walter Baumann / Frank Grossmann / Thomas Ritter
Tel +41 79 306 11 60 / Email

Newsletter end of April 2021

For the month of April 2021, the Enhanced Permanent Portfolio strategy-account added +2.48%.
In April, Gold (+3.5%) and Treasuries (+2.5%) finally stopped their huge decline they had since last summer. Equity had a good month with the S&P500 up +5%.

Your Rational Invest Team
Walter Baumann / Frank Grossmann / Thomas Ritter
Tel +41 79 306 11 60 / Email

Newsletter end of March 2021

For the month of March 2021, the Enhanced Permanent Portfolio strategy-account lost -0.61%.
In March, Gold (-1.15%) and Treasuries (-5.25%) continued to decline. Equity had a very good month with the S&P500 up +4.5%. Year to date Treasuries are now down by -13.9% and Gold down -10.35% while the S&P500 is up +6.35%.
It is important to point out, that the goal of this strategy is not to outperform the stock market during rallies, like we see it since some months, but the goal is to achieve long term returns with 2x to 3x lower risk (volatility).
It looks like Treasuries have reached a bottom after consolidating 20% since their August 2020 culmination. Due to again quite attractive yields they should from now on act again as a reliable hedge against market downturns and again add a positive contribution to the strategy performance.

Your Rational Invest Team
Walter Baumann / Frank Grossmann / Thomas Ritter
Tel +41 79 306 11 60 / Email

Newsletter end of February 2021

For the month of February 2021, the Enhanced Permanent Portfolio strategy-account lost -1.17%.
February, Gold and Treasuries continued to decline, and both are now down by about 10% since beginning of the year. The good equity and premium returns could not fully compensate this draw down. Gold and Treasuries are now both down about 20% since July 2020.

This consolidation is one of the biggest safe-haven asset consolidations during the last 30 years, however after the huge gains, Gold and Treasuries posted during the Covid crash of last year, this consolidation is necessary to reestablish the ability of the hedge to act as a buffer during the next equity correction.

Your Rational Invest Team
Walter Baumann / Frank Grossmann / Thomas Ritter
Tel +41 79 306 11 60 / Email

Newsletter end of January 2021

For the month of January 2021, the Enhanced Permanent Portfolio account lost -1.8%.
January was a difficult month with all three asset classes declining. Treasuries declined -3.49%, Gold -2.86 and Equity (S&P500) -0.8%. This translated in a loss of 2.4% for the underlying strategy. Option premium income added a positive +0.6% to that loss so that the strategy ended with a loss of -1.8%.
It is quite rare that all three asset classes decline together, because most of the time they show negative correlations to each other and money which flows out of one asset will flow into the other. All three assets declining means that investors go to cash. In general, the save haven assets Gold and Treasuries are still consolidating after the huge jump during the March 2020 Corona crisis and investors are still shifting money into the riskier equity assets.

Your Rational Invest Team
Walter Baumann / Frank Grossmann / Thomas Ritter
Tel +41 44 515 48 00 / Email