Algorithm Data: 08/14/2023

1. The Market: +0.77%

2. Sector Neutral: +0.07%

3. Variable Sector Neutral: -0.01%

4. Base Algorithm: -0.32%

5. Long Term Portfolio: -0.34%

6. Variable Market Neutral: -0.36%

7. Market Neutral: -0.62%

I would like to finish tonight’s data with an update on the algorithm hold. As of tonight, we are reverting back to the previous version of the algorithm. We have run backtests on it over the last month of data, compared to a few updated versions. At this time, we feel more confident in its ability to outperform than any newer versions of the system.

I want to clarify that we aren’t abandoning any of the changes we’ve made in recent updates; we feel they can still improve the performance of our systems. However, most of them require us to choose parameters in order to fully utilize them. And in order to select parameters, we’re going to need a larger amount of training and testing data (i.e. data from after July 1 - when we selected our new portfolio). Therefore, we are choosing to put them on the back burner until a later date.

I also want to note that this is not the end of our hold on the algorithm. We’re going to want to see our old system performing well in a live setting before we make that call. I want to thank you for your patience while we tackle this issue. We will announce when we’re ready to lift the hold.