Determinant portfolio: situation as of 01.07.2023

The months follow one another and are similar for the Swiss franc, which continues its soaring against other currencies. It has thus gained 1.2% against the dollar this last month and even 3.9% against the yen (while it had already gained 2.6% last month against the JPY). Since the beginning of the year, our national currency has left the yen behind at nearly 12%. This forces us to achieve indecent performances in the respective foreign currencies, just to keep going.

Monthly performance in CHF

This is good timing, since the portfolio has actually performed very well this past month. While The MSCI Switzerland index was lagging behind with +0.6% (and even -0.5% for the SPI), the determining portfolio progressed significantly, at +3.8%, helped in particular by a very strong take-off of its microcaps. The American stock market did even better, at +4.8% for the S&P 500, driven by the large technological capitalizations at the top of the index.  

The strategies

In detail, here is the performance of the PF and each of its strategies:

There QVM strategy has, unlike in recent months, played the role of locomotive, clearly pulling up the overall result. Microcaps have taken off strongly, which has helped to compensate for the weakness of the foreign currencies concerned. I wrote last month about this approach: "I remain confident in it in the longer term". I did not think that the effect would be so rapid and dazzling. The strategy thus regains its letters of nobility, those it had acquired in the past, whether in backtest or in productive. It proves to us that we must still and always count on it. 

There Blue Chips Strategy ends with a gain that is certainly more modest, but quite appreciable. The performance is perfectly in line with the backtests.

THE Trading Auto Signal also achieves a good result. It continues to progress steadily, making nice gains, over relatively short exposure times and low volatility. We are slightly lower than the target compared to past performances (in backtest or real), but it remains quite honorable.

Finally, the ETFs managed in adaptive allocation, Unlike last month, they ended with a very small loss. Ethereum and especially gold weighed down the performance of this strategy, despite a very good result from the Nasdaq and Bitcoin.

We note that these four strategies complement each other well. When some lag, the others take over. While the QVM strategy had been struggling for some time, it has picked up speed in the last month, while the adaptive allocation has followed the opposite path. This alternation of strategies is very appreciable within the PF, since it ensures gains that are as stable as possible and limits overall volatility.

Year-to-date performance in CHF

This gives us a performance in CHF since the beginning of the year of 7.3% for the determining PF, with a volatility of 9%. It thus catches up a large part of the delay accumulated in recent months vis-à-vis the MSCI Switzerland (which stands at 8.9%). It nevertheless remains quite far behind the S&P 500 (with a nice performance of 12.9% over only six months).

With 7.3% over this first half, the portfolio is very close to the expected profitability, for a volatility twice lower than that of the market.

Determinant portfolio (01.01.2023-30.06.2023)

Portfolio (2010-2022)

Changes within the PF

Following the separation of the portfolio into four distinct strategies, since last May, the "Valuation" column will disappear. Indeed, it is no longer necessary given that each of the approaches is weighted strategically (over the long term) rather than tactically (over the short term). The "Volatility" column is however preserved, because it is used for ETFs managed in adaptive allocation.

I will update the portfolio in the member section on July 3rd.