September featured heavy losses across all asset classes with global central bank policies remaining the major market focal point. DropShot returned -5.11% vs -5.78% for Barclay’s Balanced Index and -9.39% for ACWI. The algorithm avoided the worst of the losses offered by domestic and foreign equities but took slightly outsized losses in fixed income. The market volatility also triggered the money management system to carry a larger than normal cash position. The algorithm took 56% of equity downside while capturing 61% of gains. Overall, the fund managed to keep its equity market beta to a relatively low 0.46.

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