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 |
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.