Update Hedging Cost 2024

In July 2024,?the S&P 500 (SPY US) gained over 3% in the first half of the month,?then dropped more than -4% before recovering to finish with a positive return of +1.21%.?Most hedging strategies profited from the S&P 500's decline and increased volatility, especially during the second half of July with the long volatility ETF (VIXY US),?tracking the front and second month VIX Futures, surging over 20%.

The performance across various hedging strategies ranged from -0.25% for the Put Protection Index (PPUT) to +2.07% for the Cambia Tail Hedge ETF (TAIL US).

The Z22 VolaBoost was activated in July,?establishing a long volatility position by month-end and maintaining it into early August.?A full trade analysis will be provided upon closing.

Reviewing the 2024 results, our Z22 VolaBoost still emerges as the top-performing hedging strategy with no hedging cost so far. This emphasizes again the significant advantage of having a dynamic, systematic, and emotionless hedging algorithm, as demonstrated by our Z22 VolaBoost's 2024 performance in comparison to its peer group:

In our view and as highlighted in all our updates, it's crucial to consider a hedging component, such as Z22 VolaBoost, within the context of a portfolio. Therefore, we combine Z22 VolaBoost in our Z22 Smart Mirror strategy (live in a product since 2019) with the S&P 500 (SPY US).

When combined, the 2024 performance of various strategies (as of July 31, 2024) compared to the S&P 500 (SPY US), appear as follows:

Interested in learning more about our intelligent hedging algorithm Z22 VolaBoost and our strategies? We look forward to engaging discussions.