Portable Overlay

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% -12% 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%    

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 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.

Macro Overlay