Ruffer Investment Company Ltd

Fund Information / Factsheet • Sep 12, 2024

Ruffer Investment Company Limited

SHARE PRICE PERFORMANCE SINCE LAUNCH ON 7 JULY 2004

The portfolio was broadly flat in August. In July we suggested we were heading into an eventful second half of the summer. Eventful it was, but anyone who took their summer holiday over the first two weeks of August would be forgiven for assuming they hadn't missed much. Markets ended the month in a similar shape to how they began.

So what happened? On 5 August, the Nikkei had a 1987 moment, falling 12% in a day with record volume. The VIX was up a record 180% in a day and the S&P fell 7% in three days. The proximate cause was hard to pinpoint – was it a weak jobs number? A rallying yen? A turn in Trump's polling numbers? Perhaps more important is to note the fragility of the market setup, such that a minor informational change could cause considerable disruption.

However, this was just a market wobble: at the lowest point the S&P 500 was down less than 10% from its mid-July highs. That doesn't count as a correction, let alone a crisis. It was a warning shot, heard around the investment world, but heeded by few. Willingness to buy the dip has been evident in positioning and sentiment numbers. We weren't surprised by the nature of the tremor. The yen rising caused global damage, acting like the wrecking ball we thought it might be. Markets proved gappy and illiquid, with significant crash risk as the machines stepped back. Investors simply couldn't sell. That we had identified the potential for this sort of mechanical failure confirms we have been looking in the right direction.

This was proof of concept for the portfolio, if not the full realisation of the risks we seek to protect against. We can have a higher degree of confidence in the portfolio's ability to make money in downside conditions. The portfolio airbags worked. Our protections responded strongly and quickly. However, the window to monetise our potent options was short. Historically, when the VIX has exceeded 35, it has taken around six months to reset below 20.This time it took just seven days. We took profits on some of our protection before markets rallied. The portfolio coped well with the market stress, even though the volatility was too shortlived to have a major impact on performance.

As investors came to view the volatility as a discrete event, the equity market rallied back towards new highs. There was a notable giveback in our protection assets as credit spreads narrowed again and the VIX collapsed back to near where it started.

Late in the month, Federal Reserve (Fed) Chair Jerome Powell's speech at Jackson Hole was a confident declaration that unemployment risks are now greater than inflation risks. That signalled the all-clear for rate cuts from September. The market rushed to price in nine cuts before the end of 2025. The US dollar weakened meaningfully against sterling and the yen. We have used the subsequent bond market rally to sell US TIPS, reducing portfolio duration towards two years. This speaks to our view the rate cuts now priced in are only likely if bad news appears. In a nutshell, bonds and equities cannot both be right as they are forecasting opposite things. We made small additions to equity protection and bolstered credit protection as markets recovered and volatility came back down.

One canary in the coal mine might be the gold price – typically held as a hedge to worsening economic and market conditions – which surged to new highs above \$2,500. We continue to be excited by the prospects for our allocation to gold mining equities. Indeed, our largest holding rose 8% during the month.

AUGUST 2024

Performance %	Net Asset Value		Share price
August	-0.0		0.2
Year to date		2.6	1.5
1 year		4.2	4.4
3 years pa		2.5	-0.3
5 years pa		5.8	5.4
10 years pa		4.5	4.3
Since inception pa		6.9	6.5
Share price
RIC			277.00
Net Asset Value (NAV) per share			291.14
		Net	Gross
Duration (years)		1.9	2.0
Equity exposure %	17.7		24.2
RIC GBP	Volatility %	Sharpe	Sortino
3 years	5.1	-0.1	-0.2
5 years	6.5	0.6	1.0
10 years	5.9	0.5	0.9
Since inception	6.3	0.8	1.5
			%
Premium/discount to NAV			-4.9
NAV total return since inception1			286.5
Standard deviation2			1.83
Maximum drawdown2			-9.59

12 month performance to 30 June 2024

%			2020 2021 2022 2023 2024
RIC NAV total return	10.1	15.3	6.0	-1.7	1.0
FTSE All-Share TR £	-13.0	21.5	1.6	7.9	13.0
Twice Bank Rate	1.1	0.2	0.8	6.4	10.7

1 Including 50.0p of dividends 2 Monthly data (total return NAV). All figures in the performance table are calculated on a total return basis (including reinvestment of income). If monthly performance is quoted in the commentary, it may be calculated on a price return basis and differ from the information in this table. One to twelve month performance figures are cumulative, all others are annualised. Source: Ruffer LLP, FTSE International. Ruffer performance is shown after deduction of all fees and management charges, and on the basis of income being reinvested. Past performance is not a guide to future performance. The value of the shares and the income from them can go down as well as up and you may not get back the full amount originally invested. The value of overseas investments will be influenced by the rate of exchange.

INVESTMENT OBJECTIVE

The principal objective of the Company is to achieve a positive total annual return, after all expenses, of at least twice the Bank of England base rate. The Company predominantly invests in internationally listed or quoted equities or equity-related securities (including convertibles) or bonds which are issued by corporate issuers, supra-nationals or government organisations. Where appropriate, collective investment schemes will also be used to gain exposure to these assets.

Ruffer Investment Company Limited 31 Aug 24

ASSET ALLOCATION CURRENCY ALLOCATION

Inflation	%
Gold and precious metals exposure	6.0
Long-dated UK inflation-linked bonds	4.6
Protection
Short-dated nominal bonds	46.9
Cash	2.6
Credit and derivative strategies	14.4
Growth
Financials equities	3.8
Energy equities	3.1
Consumer staples equities	2.8
Consumer discretionary equities	2.7
Other equities	11.8
Commodity exposure	1.3

Currency allocation	%
Sterling	83.1
Yen	15.6
Euro	1.4
Geographical equity allocation	%
UK equities	10.8
Asia ex-Japan equities	4.8
Europe equities	4.0
North America equities	3.5
Other equities	1.0

5 LARGEST EQUITY HOLDINGS

Stock	% of fund
iShares MSCI China A UCITS ETF	3.2
BP	2.2
Alibaba Group ADR	1.3
Prudential	0.7
Reckitt Benckiser	0.7

The credit and derivatives strategies allocation is calculated using market value. In some cases, this allocation might be negative due to the nature of how the instruments, in particular credit default swaps, are priced. Largest equity holdings exclude Ruffer funds | Source: Ruffer LLP | Totals may not equal 100 due to rounding

RUFFER LLP

The Ruffer Group manages investments on a discretionary basis for private clients, trusts, charities and pension funds. As at 31 July 2024, assets managed by the Ruffer Group exceeded £21.2bn.

NAV £1,024.9M SHARES 352,037,764

MARKET CAPITALISATION £975.1M

FUND INFORMATION

Annual management charge %		(no performance fee) 1.00
Ongoing Charges Ratio %		(audited at 30 Jun 23) 1.08
Valuation point		Weekly, every Tuesday and the last business day of the month
Ex dividend dates		March, October
Administrator		Apex Fund and Corporate Services (Guernsey) Limited
Custodian		Northern Trust (Guernsey) Limited
Broker		Investec
Structure		Guernsey domiciled limited company
Discount management		Share buyback Discretionary redemption facility
Listing		London Stock Exchange
NMPI status		Excluded security
Stock ticker		RICA LN
Wrap		ISA/SIPP qualifying
Share class	ISIN	SEDOL
RIC	GB00B018CS46	B018CS4

ENQUIRIES

Ruffer AIFM Ltd 80 Victoria Street London SW1E 5JL

rif@ruffer.co.uk +44 (0)20 7963 8218 ruffer.co.uk/ric

FUND TEAM

Duncan MacInnes FUND MANAGER

Joined Ruffer in 2012. He graduated from the University of Glasgow School of Law in 2007 and spent four years working at Barclays in Glasgow, London and Singapore. He is a CFA charterholder and co-manager of two of Ruffer's flagship funds.

Jasmine Yeo FUND MANAGER

Joined Ruffer in 2017, having graduated with a degree from Warwick Business School. She is a member of the CISI, and co-manager of two of Ruffer's flagship funds and Ruffer's investment trust.

GLOSSARY

Volatility measures the extent to which returns vary over a given period. High volatility means returns have been more variable over time

Duration measures the sensitivity of a bond or fixed income portfolio's price to changes in interest rates. The higher the duration, the more sensitive the price or portfolio is to changes in interest rates

UK Bank Rate the rate the Bank of England charges banks and financial institutions for loans with a maturity of one day

Sharpe ratio measures the performance of an investment, adjusting for the amount of risk taken (compared to risk-free). The higher the ratio, the better the returns compared to the risk taken Sortino ratio measures the extra return an investment makes for each unit of bad risk (the chance of losing money below a certain target)

DISCLAIMER

The views expressed in this report are not intended as an offer or solicitation for the purchase or sale of any investment or financial instrument. The views reflect the views of RAIFM at the date of this document and, whilst the opinions stated are honestly held, they are not guarantees and should not be relied upon and may be subject to change without notice. The information contained in this document does not constitute investment advice and should not be used as the basis of any investment decision. References to specific securities are included for the purposes of illustration only and should not be construed as a recommendation to buy or sell these securities. RAIFM has not considered the suitability of this investment against any specific investor's needs and/or risk tolerance. If you are in any doubt, please speak to your financial adviser.

The portfolio data displayed is designed only to provide summary information and the report does not explain the risks involved in investing in this product. Any decision to invest must be based solely on the information contained in the Prospectus and the latest report and accounts. The Key Information Document is provided in English and available on request or from ruffer.co.uk

FTSE® is a trade mark of the London Stock Exchange Group companies and is used by FTSE International Limited under licence. All rights in the FTSE indices and/or FTSE ratings vest in FTSE and/or its licensors. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and/or FTSE ratings or underlying data and no party may rely on any FTSE indices, ratings and/or underlying data contained in this communication. No further distribution of FTSE Data is permitted without FTSE's express written consent. FTSE does not promote, sponsor or endorse the content of this communication.

This financial promotion is issued by Ruffer AIFM Limited (RAIFM), 80 Victoria Street, London SW1E 5JL. RAIFM is authorised and regulated by the Financial Conduct Authority. © RAIFM 2024 ruffer.co.uk/ric