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

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

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

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

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