Determinant portfolio: situation as of 01.10.2023

I thought I was right last month when I said that the Swiss franc could not strengthen indefinitely without provoking a reaction from the national bank.

Central bankers, doubtless troubled by their early morning reception, acted precisely by doing paradoxically nothing, that is to say by keeping rates unchanged.

Economists had expected an increase of 0.25 percentage points. Thanks to this, the CHF has finally weakened considerably in the last month against other currencies:

• -3.5% against the Canadian dollar
• -3.4% against the US dollar
• - 1.4% against the yen
• -1.3% against the euro

This is good after many months of having to endure an almost uninterrupted rise in the franc against other currencies, which weighed heavily on the performance of the determining portfolio since the beginning of this year.

Monthly performance in CHF

Under these conditions, it becomes easier to compete with the market again. The latter was quite shaken up this month of September, because of the Fed, which wanted to maintain a restrictive monetary policy for quite some time. The reception was apparently a little less friendly for the American central bankers...

So while the MSCI Switzerland index fell by -2.1%, and its American counterpart, the S&P 500, by -1.3% (in CHF), the determining portfolio remained practically balanced, with -0.1%.  

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

Unlike last month, the QVM strategy has this time clearly pulled up the overall result. We note that this approach, as mentioned last time, tends to play a roller coaster from one month to the next. In order to mitigate the impact of this volatility on the entire portfolio, as announced last month, I have underweighted this strategy to some extent. The current allocation now seems ideal to me to benefit from profitability without exaggerating risk.

First, to complement the QVM strategy's allocation reduction, the Blue Chips Strategy was strengthened. The latter posted a negative result, but one that was relatively interesting compared to the Swiss and American markets. The weakness of the Swiss franc and the relatively good performance of defensive quality securities played a positive role in performance.

I also mentioned last time wanting to strengthen the Trading Auto Signal. This has not been possible so far, however, as the signal has remained unchanged since last month. It is the first time it has performed disappointingly since its reintroduction, with -1.3%. This is exactly the same result posted by the ETFs managed in adaptive allocation which end with a loss like the last few months. For these two strategies, we can console ourselves by saying that we are doing better than on the Swiss market.

This is not the first time that we have recorded an alternation in the results of the strategies. This phenomenon is appreciable, since we can see that it allows a reduction in overall volatility, while smoothing performance across the months.

Year-to-date performance in CHF

This gives us a performance in CHF since the beginning of the year of 5.1% for the determining PF. It remains very slightly behind the MSCI Switzerland (which stands at 5.4%). However, thanks to its lower volatility, the determining portfolio obtains a much better Sharpe ratio, which measures profitability in relation to risks.

Determinant portfolio and MSCI Switzerland index since the beginning of the year (performance in CHF)

Performance since 2010 in CHF

Since its launch in 2010, The portfolio maintains a slight lead over the Swiss market (7.3% annual average against 6.5%).

MSCI Switzerland portfolio and index since 2010 (performance in CHF)