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This model selects periodically up to 10 stocks of the Russell 3000 index to sell short.
Stocks having a market-cap less than $800-million and those having a 10-week average daily total amount traded of less than $6,000,000 are not sold short.
Simulated performance over a 16 year backtest period shows an annualized return of 18.8% with a maximum drawdown of -48%.