This model is intended to be used hedging long market exposure, not as a stand-alone model. It periodically holds a maximum of 5 short positions of large-cap stocks. The model was backtested from Jan-2-2000 to May-4-2014 on the Portfolio123 simulation platform as a stand-alone-model and would have provided an annualized average return of 26.5% with a max drawdown of -22.7% over this period.