The portable overlay model portfolio aims to deliver positive returns in all market environments. It can take long, short, or delta neutral exposure and has an emphasis on the most liquid equity indices, currencies, interest rates, and commodities. The portfolio includes asymmetric risk/reward positions according to an evidence-based approach. It consists of multidisciplinary components that combine long-term cycle statistics with behavioral economics and technical analysis.
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
2017
19%
22%
-11%
9%
2018
12%
22%
-10%
9%
33%
8%
10%
30%
-6%
-3%
13%
20%
2019
-37%
-28%
-19%
-37%
50%
-34%
24%
33%
-49%
-21%
-23%
-5%
2020
52%
152%
27%
-22%
-68%
-23%
-24%
-5%
-1%
24%
62%
-16%
2021
1%
-4%
All illustrations on this webpage show the macro overlay index and its components before costs.
Recent History / Overlay Model Portfolio (EoM)
All deltas at the position opening
31st December 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
GBP/USD
-25%
1.2667
16.06.20
1.352
04.12.20
1.352
GBP/USD
-35%
1.3340
10.12.20
1.4400
1.3663
EUR/USD
-35%
1.2088
10.12.20
1.2750
1.2215
30th November 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
GBP/USD
-25%
1.2667
16.06.20
1.352
1.3321
FDAXq1
35%
11,500.0
30.10.20
11.11.20
13,199
SPXq1
35%
3,295.0
02.11.20
3,234.00
11.11.20
3,570
GCq1
15%
1,946.0
05.11.20
1,900
09.11.20
1,900
SIq1
15%
24.9
05.11.20
23.50
24.11.20
23.50
31st October 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
GBP/USD
-25%
1.2667
16.06.20
1.352
1.2950
NQ1
35%
11,137.0
08.09.20
14.10.20
12,139
FDAXq1
35%
11,500.0
30.10.20
10,650
11,564
30th September 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
GBP/USD
-25%
1.2667
16.06.20
1.352
1.2916
FDAXc1
-25%
13,141.0
27.08.20
02.09.20
13,182
ESc1
-25%
3,473.0
27.08.20
02.09.20
3,537
NKYc1
-25%
23,178.0
27.08.20
02.09.20
23,328
FTSEc1
-25%
6,182.0
16.06.20
02.09.20
5,926
GCc1
20%
1,941.0
27.08.20
1,860
23.09.20
1,860
NQ1
35%
11,137.0
08.09.20
10,500
11,407
11,407
31st August 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
GBP/USD
-25%
1.2667
16.06.20
1.352
1.337
FDAXc1
-25%
13,141.0
27.08.20
14,400
12,929
ESc1
-25%
3,473.0
27.08.20
3,750
3,499
NKYc1
-25%
23,178.0
27.08.20
25,500
23,160
FTSEc1
-25%
6,182.0
16.06.20
6,413
5,978
GCc1
20%
1,941.0
27.08.20
1,860
1,967
31st July 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
GBP/USD
-25%
1.2667
16.06.20
1.352
1.3082
FDAXc1
-25%
12,290
16.06.20
12,912
15.07.20
12,912
ESc1
-25%
3,105
16.06.20
3,232
15.07.20
3,232
NKYc1
-25%
22,423
16.06.20
23,200
21923
FTSEc1
-25%
6,182
16.06.20
6,413
5870
EUR/USD
-30%
1.1740
30.07.20
1.1816
31.07.20
1.1816
June 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
EUR/USD
-25%
1.0910
15.04.20
1.1200
03.06.20
1.1200
GBP/USD
-25%
1.2500
15.04.20
1.2660
05.06.20
1.266
NDXc1
-20%
9,330
19.05.20
9,797
05.06.20
9,797
DAX_Sep20_10.2kPut
-20%
277
02.06.20
Option
09.06.20
194
SPX_Sep20_2.6kPut
-20%
61
02.06.20
Option
09.06.20
38.50
NKYc1
-20%
22,523.00
02.06.20
23,500.0
09.06.20
22735
FTSEc1
-20%
6,230
02.06.20
6,600
09.06.20
6,318
GBP/USD
-25%
1.2667
16.06.20
1.3515
1.2396
FDAXc1
-25%
12,290
16.06.20
12,912
12330
ESc1
-25%
3104.9
16.06.20
3232
3090
NKYc1
-25%
22,423
16.06.20
23,200
22270
FTSEc1
-25%
6182
16.06.20
6413
6149
May 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
EUR/USD
-25%
1.0910
15.04.20
1.1200
1.1169
GBP/USD
-25%
1.2500
15.04.20
1.2660
1.2348
Gold
-25%
1,677
21.04.20
1,748
15.05.20
1,748
WTI July20 Future
25%
23.7
21.04.20
11
01.05.20
21.94
NDXc1
-20%
8,770.0
01.05.20
18.05.20
9,346
NKYc1
-20%
19,523.00
01.05.20
18.05.20
20575
FTSE 100
-20%
5,743
01.05.20
18.05.20
6,052
NDXc1
-20%
9,330
19.05.20
9,796.5
9560
NKYc1
-20%
20,485
19.05.20
21,509
28.05.20
21,509
FDAX
-20%
11,035.00
19.05.20
11,586.8
27.05.20
11586
April 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
Goldc1
-15%
1,490
16.03.20
1,666
06.04.20
1,666
GBP/USD
-15%
1.1930
25.03.20
1.2500
13.04.20
1.2500
NDXc1
-15%
7,650.0
27.03.20
8,005
06.04.20
8,005
NKYc1
-10%
18,623.0
27.03.20
19,200
06.04.20
19,200
DAXc1
-10%
9,600.0
27.03.20
10,400
07.04.20
10,400
WTIc1
25%
21.4
31.03.20
02.04.20
26.86
EUR/USD
-25%
1.0910
15.04.20
1.1200
1.095
GBP/USD
-25%
1.2500
15.04.20
1.2660
1.2593
NDXc1
-35%
8,592
15.04.20
9,011
29.04.20
9,011
USO Jun20Call2.0
25%
1.95
20.04.20
Option
21.04.20
1.6
Gold
-25%
1,677
21.04.20
1,748
1686
WTI July20 Future
25%
23.7
21.04.20
11
01.05.20
21.85
March 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
CHF/CAD
15%
1.3225
12.07.19
09.03.20
1.4675
CHF/NZD
15%
1.5206
12.07.19
02.03.20
1.6663
EURGBP 130320Call0.83
30%
3.58
16.01.20
13.03.20
8.13
SPX 190620P3000
-54%
38.85
22.01.20
02.03.20
199
NDX 190620P8200
-57%
128.76
22.01.20
02.03.20
482
DAX 190620P12200
-51%
154.29
22.01.20
02.03.20
1028
NKY 12062020P21500
-63%
3.21
22.01.20
02.03.20
18.4
Kospi200c1
-20%
303
24.01.20
02.03.20
267
Kospi200c1
-10%
267
02.03.20
17.03.20
221.05
NKYc1
-10%
20835
02.03.20
09.03.20
19000
DAXc1
-10%
11728
02.03.20
09.03.20
10761
NDXc1
-10%
8424
02.03.20
25.03.20
7737
SPXc1
-10%
2929
02.03.20
25.03.20
2485
Goldc1
-20%
1605.5
02.03.20
1666
05.03.20
1666
EUR/USD
-30%
1.1111
02.03.20
1.1242
05.03.20
1.1242
EUR/USD
-30%
1.1275
11.03.20
25.03.20
1.0834
Goldc1
-15%
1490
16.03.20
1666
1575
GBP/JPY
-15%
130.35
16.03.20
25.03.20
132.72
NDXc1
-10%
7171
17.03.20
25.03.20
7737
GBP/USD
-15%
1.193
25.03.20
1.25
1.2423
SX5Ec1
-25%
2690
26.03.20
26.03.20
2770
NDXc1
-15%
7650
27.03.20
8080
7786
NKYc1
-10%
18623
27.03.20
19750
18920
DAXc1
-10%
9600
27.03.20
10400
9791
WTIc1
25%
21.4
31.03.20
19.2
20.1
February 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
USD/JPY
-20%
107.7
20.06.19
111.45
111.45
CHF/CAD
15%
1.3225
12.07.19
1.2945
1.39
CHF/NZD
15%
1.5206
12.07.19
1.475
1.66
EURGBP 130320Call0.83
30%
3.58
16.01.20
Option
4.08
SPX 190620P3000
-54%
38.85
22.01.20
Option
206
NDX 190620P8200
-57%
128.76
22.01.20
Option
472
DAX 190620P12200
-51%
154.29
22.01.20
Option
904
NKY 12062020P21500
-63%
3.21
22.01.20
Option
20.63
SX5Ec1
-20%
3770
24.01.20
3815
11.02.20
3815
Kospi200c1
-20%
303
24.01.20
310
268
January 2020
Underlying
Delta
Price Open
Date Open
Stop / Loss
Date Close
Price Close
Price EoM
USD/JPY
-20%
107.7
20.06.19
111.45
108.35
CHF/CAD
15%
1.3225
12.07.19
1.2945
1.37
CHF/NZD
15%
1.5206
12.07.19
1.475
1.61
EURGBP 170120Call0.83
30%
2.67
12.12.19
16.01.20
3.19
CL1
-20%
60.38
18.12.19
63.36
03.01.20
63.36
EURGBP 130320Call0.83
30%
3.58
16.01.20
Option
1.80
SPX 190620P3000
-54%
38.85
22.01.20
Option
66.54
NDX 190620P8200
-57%
128.76
22.01.20
Option
196
DAX 190620P12200
-51%
154.29
22.01.20
Option
298
NKY 12062020P21500
-63%
3.21
22.01.20
Option
6.21
SX5Ec1
-20%
3770
24.01.20
3815
3616
Kospi200c1
-20%
303
24.01.20
310
285.7
Detailed examples of the decision-making process are publicly accessible at scienceinvesting.com
Warning: Past performance is not a reliable guide to future performance.
This webpage content is not intended to be comprehensive and is designed to provide summary interim information. IT IS INTENDED FOR QUALIFIED ELIGIBLE PERSONS ONLY. It is not a recommendation or investment research and is classified as a marketing communication in accordance with the European Union (Markets in Financial Instruments) Regulations 2017. It does not constitute an offer or solicitation for the purchase or sale of any financial instrument, trading strategy, product or service and does not take into account the investment objectives, knowledge and experience or financial situation of any particular person. Investors should obtain advice based on their own individual circumstances from their own client adviser, where applicable, investment intermediary or other legal or tax advisor before making an investment decision. Further information in relation to the management of potential conflicts of interest is available upon request. These documents are available from ESI Analytics Limited, Merchants House, 27-30 Merchants Quay, Dublin 8, Ireland.
All performance figures are based on the overlay model portfolio before fees and transaction costs. Changes to the model portfolio are immediately communicated by e-mail to institutional clients. The data should not be reproduced, published or disseminated in any manner. Although ESI Analytics Limited considers the data to be reliable, no warranty is given as to its accuracy or completeness. Any comparisons against indices are for illustrative purposes only.