The macro overlay index 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.

The overlay index has a long-term focus and consists of derivatives. Only margin capital is required for its calculation. It can be overlaid at various exposure levels to other benchmarks/portfolios because the underlying overlay model portfolio is portable.

  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%            

All illustrations on this webpage show the macro overlay index and its components before costs. Detailed examples of the decision-making process are publicly accessible at scienceinvesting.com

Recent History / Overlay Model Portfolio (EoM)

All deltas at the position opening

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

December 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
USD/JPY -20% 107.7 20.06.19 111.45     108.62
CHF/CAD 15% 1.3225 12.07.19 1.2945     1.3414
CHF/NZD 15% 1.5206 12.07.19 1.475     1.5343
GBPUSD -30% 1.2891 06.11.19 1.32 11.12.19 1.32  
EURGBP 170120Call0.83 30% 2.67 12.12.19 Option     3
CL1 -20% 60.38 18.12.19 63.36     61.23

November 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
USD/JPY -20% 107.7 20.06.19 111.45     109.48
CHF/CAD 15% 1.3225 12.07.19 1.2945     1.3267
CHF/NZD 15% 1.5206 12.07.19 1.475     1.5567
GBPUSD Nov19Put1.20 -15% 0.9 27.09.19 Option     0
SX5E Dec19 -20% 3529 27.09.19 3629cash 04.11.19 3652  
SIc1 10% 17.6 06.11.19 16.85 08.11.19 16.85  
GBPUSD -30% 1.2891 06.11.19 1.32     1.2928
EUR/USD 30% 1.1012 25.11.19 1.0987 29.11.19 1.0987  

October 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
USD/JPY -20% 107.7 20.06.19 111.45     108.02
CHF/CAD 15% 1.3225 12.07.19 1.2945     1.3338
CHF/NZD 15% 1.5206 12.07.19 1.475     1.58
NDX Dec19 -20% 7945 31.07.19 8030cash 25.10.19 8034  
SPXDec19 -20% 2980 31.07.19 3028cash 28.10.19 3029  
GBPUSD Nov19Put1.20 -15% 0.9 27.09.19 Option     0
SX5E Dec19 -20% 3529 27.09.19 3629cash     3606

September 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Sep19Put1.23 -23% 0.54 20.06.19 Option     0
USD/JPY -20% 107.7 20.06.19 111.45     107.75
CHF/CAD 15% 1.3225 12.07.19 1.2945     1.3261
CHF/NZD 15% 1.5206 12.07.19 1.475     1.598
SX5E Sep19 -20% 3462 31.07.19 3573cash 20.09.19 3570  
Nikkei Sep19 -20% 21512 31.07.19 21825cash 12.09.19 21610  
NDX Dec19 -20% 7945 31.07.19 8030cash     7770
SPXDec19 -20% 2980 31.07.19 3028cash     2978
GBPUSD Nov19Put1.20 -15% 0.9 27.09.19 Option     0.9
SX5E Dec19 -20% 3529 27.09.19 3629cash     3560

August 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
SIc1 15% 15.29 20.06.19 15.3 07.08.19 16.94  
PLc1 15% 814.47 20.06.19 815 07.08.19 859.21  
GBPUSD Sep19Put1.23 -23% 0.54 20.06.19 Option     2.11
USD/JPY -20% 107.7 20.06.19 111.45     106.28
CHF/CAD 15% 1.3225 12.07.19 1.2945     1.3442
CHF/NZD 15% 1.5206 12.07.19 1.475     1.6025
SX5E Sep19 -20% 3462 31.07.19 3573cash     3430
Nikkei Sep19 -20% 21512 31.07.19 21825cash     20678
NDX Sep19 -20% 7945 31.07.19 8030cash     7680
SPX Sep19 -20% 2980 31.07.19 3028cash     2920
WTIc1 -10% 53.19 07.08.19 55.8495 13.08.19 55.85  

July 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
CHF/CAD 30% 1.3307 29.11.18 1.2945 12.07.19 1.3225  
SIc1 15% 15.29 20.06.19 15.3     16.19
PLc1 15% 814.47 20.06.19 815     856
GBPUSD Sep19Put1.23 -23% 0.54 20.06.19 Option     2.13
USD/JPY -20% 107.7 20.06.19 111.45     108.71
CHF/CAD 15% 1.3225 12.07.19 1.2945     1.3265
CHF/NZD 15% 1.5206 12.07.19 1.475     1.534
NDX Sep19 -20% 7946 12.07.19   26.07.19 8025  
SPX Sep19 -20% 3009 12.07.19   26.07.19 3021  
SX5E Sep19 -20% 3462 31.07.19 3573cash     3444
Nikkei Sep19 -20% 21512 31.07.19 21825cash     21500
NDX Sep19 -20% 7945 31.07.19 8030cash     7867
SPX Sep19 -20% 2980 31.07.19 3028cash     2982

June 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option     0
CHF/CAD 30% 1.3307 29.11.18 1.2945     1.3407
AUD/JPY -20% 78.73 21.12.18 81 20.06.19 74.38  
TN Jun 19 30% 122-075 07.02.19 3.05% ir 20.06.19 128-04  
FESX Jun 19 -15% 3342 16.05.19 3410 18.06.19 3410  
FDX Jun 19 -15% 12066 16.05.19 12340 18.06.19 12340  
SPX Jun 19 -15% 2810 23.05.19 2900 10.06.19 2900  
NDX Jun 19 -15% 7285 23.05.19 7640 18.06.19 7640  
SilverC1 15% 15.29 20.06.19 14.5     15.31
PlatinumC1 15% 814.47 20.06.19 775     834.57
GBPUSD Sep19Put1.23 -23% 0.54 20.06.19 Option     0.49
USD/JPY -20% 107.7 20.06.19 111.45     107.82

May 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option     0.33
CHF/CAD 30% 1.3307 29.11.18 1.2945     1.3538
AUD/JPY -20% 78.73 21.12.18 81     75.15
TN Jun 19 30% 122-075 07.02.19 3.05% ir     126-14
FESX Jun 19 -15% 3342 16.05.19 3410     3272
FDX Jun 19 -15% 12066 16.05.19 12340     11704
SPX Jun 19 -15% 2810 23.05.19 2900     2752
NDX Jun 19 -15% 7285 23.05.19 7640     7137

 April 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option     0.15
CHF/CAD 30% 1.3307 29.11.18 1.2945     1.3125
AUD/JPY -20% 78.73 21.12.18 81     78.4
TN Jun 19 30% 122-075 07.02.19 3.05% ir     123-21
FDX Jun 19 -20% 11367 25.03.19 11821.68 03.04.19 11822  
SPX Jun 19 -20% 2810 25.03.19 2922.4 23.04.19 2922.4  
CL1 -15% 62.08 03.04.19 64.1 08.04.19 64.1  

March 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option     1.06
CHF/CAD 30% 1.3307 29.11.18 1.2945     1.3395
AUD/JPY -20% 78.73 21.12.18 81     78.67
SPX Mar 19 -40% 2710 07.02.19   04.03.19 2815  
TN Jun 19 30% 122-075 07.02.19 3.05% ir     124-08
FDX Jun 19 -20% 11591 06.03.19 11680 15.03.19 11680  
CL1 -15% 55.4 06.03.19 57.62 13.03.19 57.62  
SPX Jun 19 -20% 2767 07.03.19 2819 13.03.19 2819  
NDX Jun 19 -20% 7099 07.03.19 7206 12.03.19 7206  
FDX Jun 19 -20% 11367 25.03.19 11821.68     11565.5
SPX Jun 19 -20% 2810 25.03.19 2922.4     2839.75

February 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option     0.7752
CHF/CAD 30% 1.3307 29.11.18 1.2945     1.3188
AUD/JPY -20% 78.73 21.12.18 81     79.05
USD/JPY -15% 108.75 31.01.19   04.02.19 110  
SPX Mar 19 -40% 2710 07.02.19 2815     2784.75
SX5E Mar 19 -40% 3165 07.02.19   14.02.19 3215  
TN Mar 19 30% 122-075 07.02.19 3.05% ir     121-24

January 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option     1.38
Silver 15% 13.97 14.11.18   29.01.19 15.86  
EUR/USD -20% 1.1334 16.11.18   14.01.19 1.1456  
CHF/CAD 30% 1.3307 29.11.18 1.2945     1.3219
AUD/JPY -20% 78.73 21.12.18 81     78.99
SX5E Mar18 Future -15% 3040 10.01.19   18.01.19 3088  
SPX Mar18 Future -15% 2564 10.01.19   15.01.19 2603  
USD/JPY -15% 108.75 31.01.19 110     108.86

December 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option     3.08
Silver 15% 13.97 14.11.18 13.86     15.47
EUR/USD -20% 1.1334 16.11.18 1.1622     1.1466
CHF/CAD 30% 1.3307 29.11.18 1.2945     1.3892
CL1 15% 52.33 11.12.18   17.12.18 49.39  
AUD/JPY -20% 78.73 21.12.18 81     77.29

November 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option 09.11.18 1.04  
TN Dec18 Future 25% 118-06 15.10.18   08.11.18 117-26  
Nifty 50 Nov 18 15% 10230 30.10.18   16.11.18 10689  
FXI 15% 38.43 30.10.18   07.11.18 41.86  
NDX 100 Dec18 15% 6740 30.10.18   07.11.18 7181  
EUR/USD -30% 1.156 11.10.18   01.11.18 1.1355  
CL1 15% 63.46 05.11.18   06.11.18 62.5  
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option     3.06
Silver 15% 14.3 09.11.18   14.11.18 13.91  
Silver 15% 13.97 14.11.18 13.63     14.15
EUR/USD -20% 1.1334 16.11.18 1.1622     1.1319
CHF/CAD 30% 1.3307 29.11.18 1.258     1.3299

October 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option     2.01
TN Dec18 Future 25% 119-08 13.06.18   03.10.18 118-10  
USDCHF 25% 0.9686 10.09.18   11.10.18 0.989  
Taiex Oct18 Future 15% 10858 14.09.18   05.10.18 10500  
CL1 Future 20% 72.07 24.09.18   18.10.18 69  
NDX 100 Dec18 15% 7376 09.10.18   10.10.18 7180  
SPX Dec18 15% 2885 09.10.18   10.10.18 2800  
EUR/USD -30% 1.156 11.10.18   01.11.18   1.1322
TN Dec18 Future 25% 118-06 15.10.18 3.25%ir     118-15
Nifty 50 Nov 18 15% 10230 30.10.18 10030     10416
FXI 15% 38.43 30.10.18 2520ssec     39.29
NDX 100 Dec18 15% 6740 30.10.18 6574     6965

September 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option     1.47
TN Dec18 Future 25% 119-08 13.06.18 3.13%ir     118-23-5
CAC 40 Sep 18 Future 20%° 5446 26.07.18   05.09.18 5286  
Nikkei Sep18 Future 20% 21885 13.08.18   06.09.18 22503  
Nikkei Sep18 Future -5% 22250 20.08.18   06.09.18 22503  
NDX Sep 18 Future 20% 7388 17.08.18   14.09.18 7608  
Nifty Sep18 Future 10% 11585 20.08.18   06.09.18 11530  
Taiex Sep18 Future 15% 10710 20.08.18   06.09.18 10924  
FDAX Sep18 Future 10% 12333 20.08.18   05.09.18 12122  
USDJPY -25% 111.45 04.09.18   11.09.18 111.58  
USDCHF 25% 0.9686 10.09.18 0.9512     0.9817
Taiex Oct18 Future 15% 10858 14.09.18 10530     10948
CL1 Future 20% 72.07 24.09.18 67     73.53

August 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option     1.21
TN Sep18 Future 25% 119-13 13.06.18 3.13%ir     120-11
Nifty Aug18 Future 20% 10904 09.07.18   20.08.18 11578  
CL1 Future 25% 67.29 17.07.18   15.08.18 66.66  
CAC 40 Sep 18 Future 20%° 5446 26.07.18 5286 cash     5406
Nikkei Sep18 Future 20% 21885 13.08.18 21800 cash     22823
PLV18 10% 764 15.08.18   22.08.18 793  
PAU18 10% 838 15.08.18   22.08.18 902  
GCV18 10% 1186 15.08.18   22.08.18 1196  
NDX Sep 18 Future 20% 7388 17.08.18 7230 cash     7672.25
Nikkei Sep18 Future -5% 22250 20.08.18 closing     22823
Nifty Sep18 Future 10% 11585 20.08.18 11050     11748.5
Taiex Sep18 Future 15% 10710 20.08.18 10480 cash     11023
FDAX Sep18 Future 10% 12333 20.08.18 12135 cash     12360

^ Delta at position opening

° Rolled into next expiry

July 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option     1.07
TN Sep18 Future 25% 119-13 13.06.18 3.13%ir     119-13-5
SI Sep18 Future -15% 16.22 26.06.18   04.07.18 16.15  
BZ Sep18 Future 15% 77.30 28.06.18   04.07.18 78  
Nikkei Sep18 Future 15% 22265 29.06.18   02.07.18 22000  
Nifty Aug18 Future 20% 10904 09.07.18 10740cash     11415
EURUSD -25% 1.175 09.07.18   30.07.18 1.171  
SPX Sep18 Future 25% 2791 10.07.18   17.07.18 2796  
CL1 Future 25% 67.29 17.07.18 65.50     68.38
Nikkei Sep18 Future 20% 22533 24.07.18   31.07.18 22539  
CAC 40 Aug 18 Future 20% 5449 26.07.18 5320     5511

June 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 180618 1.24 Put -20%^ 1.07 06.11.17 Option   0  
GBPUSD 210918 1.32 Put -25%^ 0.95 17.01.18   14.06.18 1.22  
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option     1.3
Nasdaq Sep18 Future 33%° 6619 24.04.18   19.06.19 7207  
DAX Sep18 Future 17%° 12995.5 11.05.18   18.06.18 12961  
Nikkei Sep18 Future 16%° 22718 11.05.18   18.06.18 22643  
SPX 150618 2735 Put -66%* 34.4 14.05.18   15.06.18 0  
Nifty 280618 Future 9% 10471 24.05.18   19.06.19 10725  
Nasdaq Sep18 Future -16%° 6996 24.05.18   19.06.19 7207  
SPX Sep18 Future 16%° 2738 24.05.18   19.06.19 2756  
CL1 Future 15% 65.55 06.06.18   18.06.18 64.20  
EURCHF 150618 1.13P 300%* 0.022% 07.06.18   15.06.18 0  
TN Sep18 Future 25% 119-13 13.06.18 3.13%ir     120-02
SI Sep18 Future -15% 16.22 26.06.18 16.50     16.20
BZ Sep18 Future 15% 77.30 28.06.18 73     79.23
Nikkei Sep18 Future 15% 22265 29.06.18 22038 cash     22290

^ Delta at position opening

*  notional value

°  rolled into next contract

May 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 180618 1.24 Put -20%^ 1.07 06.11.17 Option     0.01
GBPUSD 210918 1.32 Put -25%^ 0.95 17.01.18 Option     1.62
Nasdaq Jun18 Future 33% 6592 24.04.18 SPX Put     6977
SX5E Jun18 Future 33% 3394 17.04.18   11.05.18 3536  
CL1 Future 10% 67.65 02.05.18   03.05.18 67.65  
GCM18 10% 1309.6 02.05.18   21.05.18 1285  
SPX 180518 2575 Put -66%* mkt opn. 03.05.18       0
DAX Jun18 Future 17% 13013.5 11.05.18 SPX Put     12612
Nikkei Jun18 Future 16% 22718 11.05.18 SPX Put     22190
Nifty May18 Future 8% 10802 11.05.18   18.05.18 10631  
EURUSD -33% 1.199 14.05.18   16.05.18 1.18  
SPX 150618 2735 Put -66%** 34.4 14.05.18       41.5
CL1 Future -10% 72 23.05.18 73.60 25.05.18 68.52  
TN1 Future 25% 119-03 23.05.18   29.05.18 120-24  
Nifty Jun18 Future 9% 10471 24.05.18 SPX Put     10703,5
DAX Jun18 Future -9% 12995 24.05.18   29.05.18 12669  
Nasdaq Jun18 Future -16% 6969 24.05.18 Closing     6977
SPX Jun18 Future 16% 2731 24.05.18 SPX Put     2705,5
EURUSD 25% 1.1615 28.05.18 1.1544 29.05.18 1.1544  

^ Delta at position opening

* 66% notional value of total assets opened at USD 15.00

** 66% notional value of total assets opened at USD 34.40

April 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17 Option      0.04
GBPUSD 210918 1.32 Put -25% 0.95 17.01.18 Option      0.93
ZN Jun18 Future 60% 120-10 01.03.18   12.04.18   120-145  
FDAX Jun18 Future 33% 11905 23.03.18   10.04.18 12391  
SPX Jun18 Future 17% 2638 26.03.18   02.04.18 2634  
CL1 Future -15% 63.48 04.04.18   09.04.18 63.45  
Nasdaq Jun18 Future 33% 6592* 24.04.18 6162      6613
CL1 Future -20% 64.76 10.04.18     11.04.18   66.52  
SX5E Jun18 Future 33% 3394 17.04.18 3415 cash      3462
CL1 Future 15% 66.89 18.04.18    25.04.18  67.70  
CL1 Future 15% 68.16 23.04.18    25.04.18   67.70  

*increased position

March 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17 Option     0.05
GBPUSD 210918 1.32 Put -25% 0.95 17.01.18 Option     0.77
ZN Mar18 Future 60% 121% 05.02.18   01.03.18 120-285  
ZN Jun18 Future 60% 120-10 01.03.18 2.96%ir     121-01
Kospi 200 Mar18 Future 17% 304.35 09.02.18   07.03.18 310  
Kospi 200 Jun18 Future 17% 311 07.03.18   19.03.18 321  
Nikkei Mar18 Future 16% 21430 09.02.18   02.03.18 21302  
FDAX Mar18 Future 17% 12074 09.02.18   02.03.18 12000  
EURUSD -33% 1.241 20.02.18   19.03.18 1.235  
FDAX Mar18 Future 66% 12030 02.03.18   02.03.18 12000  
FDAX Mar18 Future 66% 11911 02.03.18   05.03.18 11869  
EURCHF -33% 1.171 08.03.18   15.03.18 1.171  
FDAX Jun18 Future 16% 12191 08.03.18   19.03.18 12340  
CAC 160318 Future 16% 5200 08.03.18   15.03.18 5270  
CAC Apr 18 Future 16% 5249 15.03.18   19.03.18 5235  
Nifty50 28318 Future 16% 10235 08.03.18   19.03.18 10140  
Nasdaq Mar18 Future 16% 7020 09.03.18   15.03.18 7050  
Nasdaq Jun18 Future 16% 7074.5 15.03.18   19.03.18 6950  
SPX Mar 18 Future 16% 2758 09.03.18   15.03.18 2754  
SPX Jun18 Future 16% 2758.5 15.03.18   19.03.18 2738.5  
SPX Jun18 Future 33% 2677 22.03.18   22.03.18 2663  
FDAX Jun18 Future 33% 11905 23.03.18 11680     12115.5
SPX Jun18 Future 17% 2638 23.03.18   23.03.18 2625  
Nasdaq Jun18 Future 17% 6650 23.03.18   23.03.18 6620  
SPX Jun18 Future 17% 2638 26.03.18 2585     2637.25

February 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17 Option     0.15
EURCHF -25% 1.1672 06.12.17   20.02.18 1.1515  
GBPUSD 210918 1.32 Put -25% 0.95 17.01.18 Option     1.10
Nifty50 220218 Future 15% 10992 22.01.18   06.02.18 10342  
SX5E 160318 Future 30% 3649 22.01.18   01.02.18 3587  
ZN Mar18 Future 60% 121% 05.02.18 3%ir     120-210
FDAX Mar18 Future 16% 12290 06.02.18   08.02.18 12442  
Nikkei Mar18 Future 16% 21706 06.02.18   08.02.18 21755  
SPX Mar18 Future 16% 2618 06.02.18   08.02.18 2662  
FDAX Mar18 Future 16% 12495 06.02.18   08.02.18 12442  
Nikkei Mar18 Future 16% 21990 06.02.18   08.02.18 21755  
SPX Mar18 Future 16% 2661 06.02.18   08.02.18 2662  
Kospi 200 Mar18 Future 17% 304.35 09.02.18 303.5     312.95
Nikkei Mar18 Future 16% 21430 09.02.18 20950     22100
CAC 160318 Future 16% 5115 09.02.18   16.02.18 5266  
FDAX Mar18 Future 17% 12074 09.02.18 12000     12432.5
SX5E Mar18 Future 33% 3386 14.02.18   16.02.18 3420  
EURUSD -33% 1.241 20.02.18 1.2556     1.2193

January 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
Nikkei Mar18 Future 15% 22150 06.12.17   10.01.18 23730  
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17       0.05
CL G18 Future 10% 57.81 22.11.17   10.01.18 63.45  
Nifty50 250118 Future 15% 10548 27.12.17   22.01.18 10964  
EURCHF -25% 1.1672 06.12.17 1.19     1.1559
Bovespa INDG18 15% 78280 02.01.18   11.01.18 79035  
FDAX 160318 15% 13105 04.01.18   11.01.18 13263  
CAC 160318 Future 15% 5372 04.01.18   11.01.18 5505  
Kospi 200 KSH18 15% 331.85 10.01.18   11.01.18 327.35  
EURUSD -25% 1.2127 12.01.18   15.01.18 1.2288  
GBPUSD 210918 1.32 Put -25% 0.95 17.01.18       0.78
Nifty50 220218 Future 15% 10992 22.01.18 10500     11058
CAC 160318 Future 30% 5536 22.01.18   25.01.18 5477  
SX5E 160318 Future 30% 3649 22.01.18 3587     3600
CLH18 Future 10% 64.86 24.01.18   30.01.18 64.90  

December 2017

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
RSX 151217 20 Call 15% 2.30 13.11.17   06.12.17 1.70  
Nikkei Dec17 Future 15% 20830 26.10.17   06.12.17 22155  
Nikkei Mar18 Future 15% 22150 06.12.17 20830     22703
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17       0.32
CL Jan18 Future 10% 57.77 22.11.17 54.50     60.09
Nifty50 281217 Future 15% 10081 06.12.17   27.12.17 10506  
Nifty50 250118 Future 15% 10548 27.12.17 9722     10552.25
EURCHF -25% 1.1672 06.12.17 1.18     1.1683

November 2017

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
RSX 171117 20 Call 15% 1.86 26.10.17   13.11.17 2.25  
RSX 151217 20 Call 15% 2.30 13.11.17       1.77
Nikkei Dec17 Future 15% 20830 26.10.17 20830     22620
EUR/USD -15% 1.161 30.10.17   14.11.17 1.1775  
CL Dec17 Future -15% 56 06.11.17   09.11.17 56.73  
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17       0.48
Dax Dec17 Future 15% 13073 17.11.17   17.11.17 13022  
CL Jan18 Future 10% 57.77 22.11.17 54.50     57.4

October 2017

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
Nifty50 261017 Future 15% 9932 04.10.17   17.10.17 10235  
Kospi200 Dec12 Future 15% 307.5 01.09.17   18.10.17 329.2  
RSX 201017 21 Call 10% 1.37 04.10.17   17.10.17 1.31  
CHF Dec17 Future -25% 1.023 06.10.17   09.10.17 1.0269  
CL Nov17 Future -10% 50.62 13.10.17   14.10.17 51.25  
Nifty50 301117 Future 15% 10272 17.10.17   30.10.17 10396  
Dax Dec17 Future 30% 13099 26.10.17   30.10.17 13208  
RSX 171117 20 Call 15% 1.86 26.10.17       1.85
Nikkei Dec17 Future 15% 20830 26.10.17 20750     21950
Kospi200 Dec12 Future 10% 327.2 27.10.17   30.10.17 330.45  
EUR/USD -15% 1.161 30.10.17 1.1775     1.1646

September 2017

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
Nifty50 290917 Future 15% 9952.0 01.09.17   22.09.17 9952.0  
Kospi200 Dec12 Future 15% 307.5 01.09.17 302.0     317.65
EWZ 201017 37 Call 15% 4.25 01.09.17   21.09.17 6.00  
SX5E Dec12 Future 45% 3495 12.09.17   29.09.17 3557  

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 displayed and updated on website scienceinvesting.com. The accounting currency for all calculations on this webpage is in US Dollar. Forex exposure is hedged at each EoM. All information is based on unaudited signals excluding fees. Margin requirements are almost always below 10% of total capital. This 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