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