In historical tests on TRAITS and the ongoing live runs, we endeavour to provide performance figures that are as close as possible to trading a real portfolio. The performance figures for TRAITS quoted in the live runs section and elsewhere on the website include the following factors:

• 0.2% transaction fee on entry and on exit of any position
• stock borrowing costs:
  • interest paid daily to the broker on the full value of a long position, at LIBOR+0.75%
  • interest paid daily by the broker on the full value of a short position, at LIBOR-0.25%
  • stock lending fee paid daily to the broker on the full value of a short position, at 0.5% pa
• dividends received on long positions, if the position is open at the ex date
• dividends paid on short positions, if the position is open at the ex date
• interest on uncommitted cash, at LIBOR, risk-free

In addition, the size of an entry order is capped if it exceeds 10% of the previous day's total volume in that stock. For entries, orders are placed overnight, and traded at the next day's open price. For exits triggered by limit orders, the trade is made at the limit price, bounded by the day's high-low range for that stock.