Every trading day of each research model, published the evening after settlement. The models are recorded separately. Outcomes are shown as returns only; no positions, names, sizes or account values are shown. Days without a position are shown as such, because the decision not to act is part of the record.
Defined-risk structures in US listed options, held for one session. Return is expressed on the capital at risk that day.
Short positions in individual equities, with the wider market’s direction offset. Return is expressed on the model’s capital, net of borrowing costs.
Positions in real assets held for protection against stress in equities, credit and currencies; capital not in use earns the Treasury bill rate. Return is expressed on the model’s capital.