Here we periodically publish a chart and a brief excerpt from one of our 8 research reports for the purpose of familiarizing potential subscribers/clients to our investment research, and to stay on the radar screen of those who have already expressed an interest in us.
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The table and chart below below display updated performance data through December 2015 for our Correction Protection Model (CPM).
Purpose & Key Features:
- Defensive, quantitatively-driven model that
- protects investors against market declines
- without sacrificing long term performance under a variety of market conditions
- while reducing volatility of returns.
Back-Tested Returns (excluding dividends)
Back-tested since the start of 2007 and running in real time since September 2013, the Correction Protection Model (CPM) has had a 15.0% CAGR (Compound Annual Growth Rate) with a volatility (standard deviation on a rolling 90 day basis) of 10.8%. During the same period the S&P 500 has had a CAGR of 6.0% with volatility of 21.2%. CPM is producing a significantly better return than SPX with half the volatility.
Further, Table 1 below shows the Reward/Risk Ratio (CAGR/volatility; a modified Sharp Ratio) over a rolling 90 day period is 1.43 for CPM versus 0.29 for SPX. The table also indicates that the average return of CPM on a rolling 90 day basis since 2007 has been 3.72% with a volatility (standard deviation) of 10.83%, compared to SPX’s average rolling 90 day return of 2.01% with a volatility of 21.15%.
The model’s performance is directly attributable to its ability to limit downside risk as can be seen in CPM’s maximum drawdown of -9.81% on a rolling 90 day basis versus a maximum drawdown of -39.93% for SPX.
Correction Protection Model (CPM) statistical performance vs. S&P 500: 2007-2015
click on table to enlarge
- Click Here for more charts and information pertaining to the Correction Protection Model.
Interested investors can learn more about our research services by completing an information request or by calling 1-888-960-0005.
The following is a brief excerpt from this morning’s Keys To this Week report for the US stock market, one of many different reports that Asbury Research subscribers receive throughout the month.
Keys To This Week includes 10 key market factors that are most likely to influence the US stock market over the next one to several weeks. Key #9 of 10 of this week’s report, with the accompanying chart, appears below.
Key #9 of 10> Intermarket Relationships: Crude Oil Prices. NEAR TERM BULLISH.
Chart 5 below shows that spot West Texas Intermediate crude oil prices tested and rebounded last week from underlying support at their $28.10 per barrel December 1996 high, trading as low as $28.35 before finishing the week at $33.67. The tight positive correlation between oil prices and the S&P 500 since December suggests that as long as $28.10 holds as support, last week’s US stock market rally is likely to continue.
from the February 1st 2016 Keys To This Week report
Asbury Research subscribers can view the entire report by logging into the Research Center via
the big gold button in the upper right corner of the screen.
Interested investors can request more information about us, including services and pricing, by visiting
our Contact Us page or by calling 888-960-0005.
Click the link below to listen to John’s Kosar’s Thursday January 21st interview with Jim Puplava of the popular Financial Sense website.
Jim welcomes back John Kosar CMT, Director of Research at Asbury Research LLC. John notes that long-term technical uptrends, dating to the beginning of the bull market in 2009 are breaking down, not just in the US but in overseas markets as well. He believes there has been technical damage that speaks to the potential for a global recession, as major trends in effect for more than five years have been broken. John makes the point that globalization has made the world a smaller place, and overseas data from major markets is now correlating with US markets. John also covers his outlook for oil and gold, as well as where he is currently deploying capital in this environment.
You can also click here to visit the Financial Sense website and listen to Jim’s hour-long show, which includes more analysis and commentary from additional sources.
Thanks to Jim Puplava and his staff for the invitation and another opportunity to speak to his large and loyal following of professional and individual investors.
The London FTSE 100 Index met our 5700 downside target today (January 20th), which was first mentioned in our January 7th report entitled Europe Warns Of More US Market Weakness (access requires subscription), to capture a 3% decline in a little less than 2 weeks.
Here is the chart from our January 7th report.
London FTSE 100 daily through January 7th
Here is the current chart updated through Wednesday January 20th.
London FTSE 100 daily through January 20th
Our primary interest in the FTSE 100 was its positive statistical correlation to the S&P 500 (SPX), the latter which has coincidentally declined by 144.00 points or 7.2% during the same 2-week period.
Warren Buffett’s Berkshire Hathway (BRKA) met our $190,000 downside target last week (January 13th), which was first mentioned in our December 9th report entitled Today’s Reversal Warns Of More Near Term Market Weakness (access requires subscription) and again in the MarketWatch.com article entitled Apple, Berkshire shares signal more pain for market, to capture a 4% decline in about 5 weeks.
Here is the chart from our December 11thh report.
BRKA daily through December 9th 2015
Here is the current chart updated through Friday January 15th.
BRKA daily through January 15th 2016
Our initial interest in BRKA was its positive statistical correlation to the S&P 500 (SPX), the latter which has declined by 190.00 points or 9.3% during the same 5-week period.
The SPDR S&P 500 Retail Sector ETF (XRT) met our $40.00 initial downside target today, which was first mentioned in our November 16th Keys To This Week report, to capture a 3.02 point, 7% decline in 2 months.
Here is the chart from our November 16th report.
XRT daily through November 13th, 2015
Here is the current chart updated through 2:26 pm ET today (January 15th).
XRT daily through January 15th, 2016
Our initial interest in XRT was its positive statistical correlation to the S&P 500 (SPX), which has declined by 195.00 points or 9.5% during the same 2-month period.
The following is the accompanying presentation package for a 1-hour webinar that Asbury Research’s John Kosar presented yesterday (January 13th) for one of the largest American multinational financial services corporations.
This presentation package is very similar in both format and content to our Monthly Investment Compass, one of 9 different reports that we produce for Asbury Research subscribers every month, and includes an accompanying video.
Asbury Research subscribers can view our latest Monthly Investment Compass and video by logging into the Research Center via the big gold button in the upper right corner of this page.
Interested investors can request services and pricing information by contacting us.
by Mark Hulbert
CHAPEL HILL, N.C. (MarketWatch) — The age-old debate between technicians and fundamental analysts appears to be on the verge of being answered.
Over investment horizons ranging from one month to one year, top technicians come out well ahead of leading analysts.
In fact, according to the academic study that reached this conclusion, it’s not even close: While the average buy recommendation from well-known technicians outperforms the broad stock market by 8% over the subsequent nine months, the average stock recommended by leading fundamental analysts underperforms the market.
This groundbreaking study, which just began circulating in academic circles, was conducted by Doron Avramov and Haim Levy, finance professors at the Hebrew University of Jerusalem; and Guy Kaplanksi, a finance professor at Bar-Ilan University. The focus of their study were a thousand pairs of recommendations made between November 2011 and December 2014 on the TV show “Talking Numbers,” which is jointly broadcast by CNBC and Yahoo YHOO, +1.56% . The first half of each pair was a recommendation from a top technician about a stock in the news; the second half was a recommendation about that same stock from a leading fundamental analyst.
Asbury Research’s John Kosar has been a frequent guest contributor on CNBC/Yahoo! Finance’s Talking Numbers.
In retrospect, Professor Avramov told me in an interview, it’s curious that no one before bothered to analyze these recommendations, since the show provides an ideal laboratory for comparing the relative worth of the two investment approaches.
The researchers measured the performance of each recommendation beginning with its closing price on the day the show first aired. That’s a crucial methodological detail, since that means the researchers are excluding the price impact of the recommendations in the first minutes after the show airs.
Click the highlighted title at the top of the page to view the entire column on MarketWatch.com.
The PHLX Semiconductor (SOX) Index met our 615.00 downside target this morning, first mentioned in yesterday’s (January 6th) report entitled Deeper Decline Coming? Watch The Semis, to capture an additional 3% decline in one day.
Here is the chart from yesterday’s report.
PHLX Semiconductor Index daily since August
Here is the current chart updated through this morning.
SOX Index as of 10:00 am ET today
In addition, the S&P 500 (SPX) met our 1965 target the morning, first mentioned in our December 9th report entitled Today’s Reversal Warns Of More Near Term Market Weakness, to capture a 69 point, 4% decline in just about a month.
Here is the chart from our December 9th report.
S&P 500 daily since August
Here is the current chart updated through this morning.
S&P 500 as of 10:00 am ET today
For our latest research on the direction of the US stock market, Asbury Research subscribers can see:
2015 was a particularly difficult year for professional and individual investors alike as the US broad market essentially moved sideways for 9 months, with a nasty 12% decline and quick recovery of virtually all those losses occurring between August and October. It’s very easy to get chopped to pieces in a market like this, and what we already know about 2015 professional money manager performance suggests this may have indeed been the case.
Outside of a handful of big cap high flyers like Netflix (NFLX) and Amazon (AMZN), there simply was a limited number of good opportunities to be had this year. The US stock market was unchanged, most sectors of the S&P 500 were relatively flat to lower, long term US interest rates were also unchanged, and the commodity space was under siege all year long.
In years like 2015, retaining your wealth/ avoiding losses is at least as important as capturing market gains during positive years. This very important concept often gets lost in a media-driven world that focuses on 24-hour performance chasing.
During 2015 our Correction Protection Model (CPM) was unchanged for the year — just like the S&P 500, which is precisely what it was designed to do. That is, keep up with the US broad market index over the mid to long term while avoiding major drawdowns and significantly reducing risk along the way.
Note: CPM is not a returns-driven model but rather a defensive hedge that was designed to reduce risk during stock market declines, without sacrificing long term market performance as — over time — the US stock market historically goes up. The hard part of investing is avoiding the bad years, like 2008, which can drastically and detrimentally affect future performance if not mitigated by smart money management.
CPM outperformed the S&P 500 by more than 2.0% in 2007, completely avoided the 2008 decline, and since 2008 has kept pace with the annual performance of the US broad market index and — most important — with half the volatility of returns throughout the entire 2007-2015 period.
Also during 2015, our non-model-related research captured:
Asbury Research’s focus is the US financial landscape which includes US stocks and sectors, US interest rates, the US Dollar, and economically influential commodities. However, our scope is global because many of the non-US assets listed above are positively correlated to the S&P 500, and can often give us advance warning of what may be headed our way here in the States.
When you are making your 2016 investment decisions, consider Asbury Research as a resource to first and foremost help protect your assets under any conditions — while seeking to identify emerging investment opportunities before the rest of the investment community catches on.
We offer research services for all types of investors. Contact us by phone at 888-960-0555, via email at firstname.lastname@example.org, or via the internet through our Contact Us page.