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Update Hedging Costs Q3-2023

September was a challenging month, with the S&P 500 (SPY US) experiencing a loss of over -4.74%. Most hedging strategies managed to profit and compensate a portion of the S&P 500's drawdown. Performance across various hedging strategies ranged from +2.07% for VIX Futures (VIXY US) to -1.23% for Put Options (TAIL US). When examining the results for Q3-2023, all hedging strategies incurred costs ranging from -0.07% to -4.90%. Even though the VIX Futures (VIXY US) performed the best during the September drawdown, they are the worst-performing hedge YTD, showing a decline of -14.76%.

During September 2023 our Z22 VolaBoost was not activated as the spikes in the VIX Futures were to short-term and quickly settled down.

Reviewing this year's results, our Z22 VolaBoost emerged as the top-performing hedging strategy. This emphasises again the significant advantage of having a dynamic, systematic, and emotionless hedging algorithm, as demonstrated by our Z22 VolaBoost's YTD performance in comparison to its peer group.

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