Portfolios: situation as of 01.06.2025

This time, the American market really exploded, as Trump would say. MAGA supporters will argue he was right. Personally, I prefer Stephen King's remark: "Even a stopped clock gives the right time twice a day." Especially when the clock was deliberately stopped, only to be repaired and restarted at the desired time.

The S&P 500 performed remarkably well in May, rising 5.95 % in CHF. It could be said that Trump wasn't entirely wrong on this point. The index did indeed experience a real surge this month. However, this was only a partial recovery from the losses accumulated since the start of the monarch's term.

As we will see later, the performance of the American market, which seems rather respectable, in fact masks a much less attractive reality. Indeed, if we take into account the sharp depreciation of the dollar against other major currencies, the American market has recorded a sharp decline since the beginning of the year, despite the rebound observed over the last month.

Past month's performance (portfolios and benchmarks - in CHF)

THE Determinant portfolio ended the month of May with a slight increase of 0.25 % in CHF. For its part, the PP 2.x, whose performance is more correlated with the market, shows an increase of 1.34 %. Unlike in April when our two portfolios outperformed, this time they are behind the benchmark indices.

• Wallets :
  • Determinant portfolio : 0.25%
  • PP 2.x : 1.34%
• Benchmarks :
  • MSCI Switzerland: 2.13%
  • S&P 500: 5.95%
  • VT : 5.48%
  • 60/40 "Boglehead : 2.66%

Key portfolio strategies (past month - in CHF)

• Blue Chips: 0%
• Micro Caps: 3.06%
• Trading Auto Signal: -3.34%
• Long / Short: -1.70%
• Gold: -0.37%
• Swiss bonds: 0.58%
• Real estate Swiss: 3.92%
• Swiss stocks: -0.80% (strategy started during the month of May)

Blue chips remain on hold, in cash positions. Microcaps are beginning to rebound, but caution remains. Half of this allocation remains in cash. The Swiss real estate strategy, meanwhile, posted exceptional performance this month, offsetting the disappointing results of the Trading Auto Signal.

This situation illustrates the benefits of thoughtful diversification in asset allocation: when one component underperforms, the others can support the portfolio's overall performance. Swiss bonds also acted as a buffer against the decline in gold.

Let's now take a look at the Trading Auto Signal and the Long-Short strategy, two methods that performed disappointingly well during the month of May. Since both have a bearish side, it's hardly surprising that a bullish reversal, like the one we experienced, had a negative impact on their performance.

This past month, the Trading Auto Signal recorded a significant loss, an exceptional event given its usual performance. Without the strategic adjustments undertaken last April, it would have even suffered the heaviest loss on a short position since 1995 (backtesting and real conditions). This setback would have thus exceeded the previous negative record, established between December 2018 and January 2019.

Quick reminder: Trump was already in office at this time. To put the facts into context, here is what was reported latribune.fr December 13, 2018:

This last month of the year has seen an unprecedented roller coaster: after suffering its worst weekly debacle since October 2008 in mid-December, The Dow Jones plummeted by 2.91% on Christmas Eve, before posting a spectacular rebound on Wednesday, December 26, its best session since 2009 ! The flagship index of the New York Stock Exchange gained more than 1,000 points that day and 4.98%. The S&P-500 index, which had almost reached the threshold of 20% of loss on its closing record at the end of September, revealing the entry into a bear market, had also rebounded by 4.8% and the Nasdaq by 5.8%. In a market at the volatility accentuated by low volumes, investors were looking for some hope in the latest tweets from Donald TrumpOn Saturday, the US president reported "great progress" in his trade talks with his Chinese counterpart, Xi Jinping. "We are making good progress toward an agreement. If we get there, it will be very broad and cover all areas and all disputes," he said on Twitter.

More than six years later, we've just relived EXACTLY the same scenario. Same clowns, same ingredients, same results. Incredible. Conscious. for a long time of Father Donald's market manipulation, I took the lead a month ago to avoid this kind of misfortune. This has helped to significantly limit the damage, but it is still insufficient in my opinion.

I will therefore continue adjusting all of my strategies to minimize the impact of the tweets and ramblings of the carotene-enriched troublemaker. In addition to the changes made in April, I also made several additional adjustments in mid-May, particularly regarding the Trading Auto Signal. The other strategies will be adapted during the month of June.

The Long-Short strategy lagged somewhat during this month, marked by a sharp rebound in the stock markets. As expected, it was characterized by particularly high volatility, which justifies its relatively modest share in the overall composition of the strategy. The stocks selected within this framework proved very nervous, alternately posting significant gains and losses.

To limit risk exposure, the Long-Short strategy is spread across a large number of securities, each representing only a very limited fraction of the portfolio. Therefore, while individual fluctuations can be significant, their overall impact remains limited. This approach allows the PFD to adopt a so-called "Market Neutral" position on a portion of its allocation, thereby helping to reduce both market risk and overall portfolio volatility.

Reducing the overall volatility of a portfolio by incorporating highly volatile securities may seem counterintuitive. However, this is explained by the use of bearish positions, which, by nature, have a negative correlation with market performance. Furthermore, the high volatility of these securities allows for a positive impact on the portfolio with a relatively small allocation. As the saying goes, "the dose makes the poison."

Determinant portfolio (year-to-date - in CHF)

Since the beginning of this year, the determining portfolio shows a barely positive result, with 0.20% in CHF. This is less good than the MSCI Switzerland (8.86%), which had performed well in January and February, thanks to a rebound, following a disappointing 2024. But it is significantly better than the S&P 500, which, despite the strong rebound in May, shows a loss of -8.54% in CHF since the beginning of the year.

Determinant portfolio (since launch - in CHF)

The key portfolio in in its new configuration since October 2024shows the following results (in Swiss francs):

• Annualized performance (%): 8.05 (MSCI Switzerland: 5.97)
• Max Drawdown (%): -6.62 (MSCI Switzerland: -15.16)
• Standard deviation (%): 8.02 (MSCI Switzerland: 14.85)
• Sharpe ratio: 0.99 (MSCI Switzerland: 0.44)
• Correlation with MSCI Switzerland: 0.31

The consistent performance since the October 2024 redesign is confirmed, despite a particularly volatile environment marked by significant macroeconomic uncertainties. The Determinant Portfolio shows more stable growth than the MSCI Switzerland, reflecting the relevance of a diversified allocation and the robustness of the underlying investment model. Volatility remains contained thanks to the complementarity of the different strategies, some of which, despite occasionally disappointing results (such as the Trading Auto Signal in May), are largely offset by others. We note that the rapid market correction phases were absorbed without the portfolio suffering major losses, demonstrating controlled risk management.