For the month of July 2020, the Enhanced Permanent Portfolio account returned net 2.49%.
The strategy succeeded in compensating for the significant weakness of the US-dollar, which would have reduced the performance of dollar-denominated products in the month under review, by means of partial hedges. The S&P 500 volatilities are still high at “25”. This favors the profitability of the strategy, as we hold synthetic long positions (short put instead of long underlying). Due to the high decline in the time value of these put positions, the portfolio gains much more than would be expected with such a low portfolio volatility. For the coming month, we are maintaining the allocation and the implementation method.
Your Rational Invest Team
Walter Baumann / Frank Grossmann / Thomas Ritter
Tel +41 44 515 48 00 / Email