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 following is a brief excerpt from this morning’s Keys To this Week report for the US stock market. Asbury Research subscribers also receive separate Keys To This Week reports for US market sectors, US interest rates, alternative investments/commodities/ETFs and the US Dollar.
Keys To This Week displays and discusses 10 key market factors that are most likely to influence the direction of the US stock market over the next several weeks to several months.
The report also includes the current signal of our Correction Protection Model, which protects investors against market declines and greatly reduces volatility of returns without sacrificing long term performance.
Key #2 of 10 of this week’s report, with the accompanying chart, appears below.
Keys To This Week: The US Stock Market
Monday May 23rd 2016: Key #2 of 10
Asset Flows: PowerShares QQQ ETF.
NEAR TERM BEARISH, MAJOR DECISION POINT.
Chart 2 below shows that the total net assets invested in QQQ declined below their the 21-day moving average on April 21st, indicating a trend of monthly contraction that is characteristic of US broad market declines.
However, the chart also shows that these assets are starting to stabilize from $35.3 to $32.8 billion, a level that has coincided with significant bottoms in the NASDAQ 100 (NDX) on February 10th and in August 2015 and October 2014. A sustained rise above the 21-day moving average, from this key level, would suggest that another similarly-important bottom is in place.
Asbury Research subscribers can view the entire report by logging into our Research Center.
Interested investors can request more information about us, including services, pricing and a sample copy, by completing our Contact Us page or by calling 888-960-0005.
The table and chart below below display updated performance data through March 2016 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 14.9% CAGR (Compound Annual Growth Rate) with a volatility (standard deviation on a rolling 90 day basis) of 10.83%. During the same period the S&P 500 has had a CAGR of 5.9% with volatility of 20.92%. 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 Sharpe Ratio) over a rolling 90 day period is 1.43 for CPM versus 0.28 for SPX. The table also indicates that the average return of CPM on a rolling 90 day basis since 2007 has been 3.57% compared to 1.88% for SPX.
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-Q1 2016
click on table to enlarge
CPM Outperforms The S&P 500
Chart 1 below shows that $100 invested in CPM at the beginning of 2007 was worth $243 by the end of Q1 2016. $100 invested in SPX was worth $145 during the same period.
click on table to enlarge
This data is provided for information purposes only. Past performance or back-tested results may not necessarily indicate future results. The performance indicated from back-testing or historical track record may not be typical of future performance. No inferences may be made and no guarantees of profitability are being stated by Asbury Research LLC. The risk of loss trading in financial assets can be substantial. Therefore, you should therefore carefully consider whether such trading is suitable for you in light of your financial condition.
Global Seasonal Analysis , one of 9 different reports we produce for our subscribers, is a monthly report that displays and analyzes annual, quarterly and monthly seasonal trends for 17 global asset prices including equities, benchmark interest rates, foreign exchange, and key commodity prices based on historical data going back to the 1950s.
Our new May 2016 Global Seasonal Analysis report was sent to subscribers earlier today.
The following is an excerpt from our April Global Seasonal Analysis report:
S&P 500 Weekly Seasonal Pattern For Q2 Since 1957
The next chart breaks the seasonal pattern in the S&P 500 down further, into a quarterly time frame via 13 weekly increments, and highlights the month of April in green.
The chart shows that the third week of April (the week of April 18th) is the strongest of the entire 2nd Quarter, and that the last two week of June are the 1st and 3rd weakest of the quarter.
continued in the Research Center>>>
The next chart shows that the the S&P 500 did in fact peak during the week of April 18th, on April 20th at 2,111, and has already declined by 64 points or 3% into today’s 2,047 low.
Moreover, the first chart shows that the S&P 500 has historically continued to decline into the last week of June, and then into the end of the quarter, based on data since 1957.
Any one market metric by itself, including the seasonality data shown above, has very limited predictive value. However, when the more than 20 different metrics that we track , including:
- intermarket relationships
- investor asset flows
- relative performance
- investor sentiment
- price patterns and trend
- credit spreads
- market breadth
Active investment management’s weekly magazine
Read John Kosar’s new article, entitled “A Repeatable Process: The Only Thing We Can Control”, published in the latest issue of Proactive Investor Magazine, by clicking either the linked title earlier in this sentence or the graphic below.
by John Kosar, CMT
More than 30 years of studying financial asset prices and related data have convinced me of one thing: Your investment process has to be logical, consistent, and repeatable. Why? Because the things that drive financial asset prices—such as economics, geopolitics, and intermarket relationships—are not. Your methodology, whatever it is, must be as robust as possible. In other words, the larger and more diverse set of tools used in your analysis, the better answers you are likely to get.
The charts in this article were selected from our firm’s Monthly Investment Compass (MIC), presented to our clients on March 16, 2016. This is a comprehensive collection of our best investment ideas for the upcoming one to several months, based on the collective input of numerous different charts and metrics.
These metrics are like colors in a painting—the more you have, the more detail you can see. Ultimately, this mosaic helps inform our actively managed investment process, which can cross several different time frames. There are as many ways to devise an investment approach as there are ways to paint a picture. These metrics are a small sample of what we find works for our firm and our clients.
Proactive Advisor Magazine is dedicated to promoting and educating the advisor community on active investment management through original, leading-edge content. Distribution reaches a wide audience of financial professionals who advise clients on investments and portfolio management. Each issue features an experienced investment advisor who offers insights on active money management, client service, and investment approaches. Additionally, Proactive Advisor Magazine offers an up-close look at topics with current relevance to the field of active management.
Interested investors can request more information about Asbury Research, including services and pricing, by visiting our Contact Us page or by calling 888-960-0005.
US Dollar/Yen (USDJPY) met our 107.00 downside target this morning (April 29th), which was first mentioned in our February 8th Keys To This Week report (access requires subscription), to capture a 7% decline in a little less than 3 months.
Here is the chart from our February 8th report.
Here is the current chart updated through this morning.
On Thursday April 14th we did a webinar for Interactive Brokers entitled Asbury Research’s US Investment Analysis: A review of Q1 2016. The purpose of the webinar was to promote a small subset of our suite of investment research reports that we are now offering via the Interactive Brokers trading platform.
More generally, however, the video provides an in-depth look at some of the tools and metrics that Asbury Research’s Chief Market Strategist John Kosar, CMT, a 35-year veteran of the financial markets, uses to find opportunity while avoiding risk – some which you may consider adding to your own investment process. And, for those already interested in Asbury Research, this video should help you to better determine whether our approach is right for you.
The YouTube link to the video is available here: https://www.youtube.com/watch?v=-OCV4G0m4-o&feature=youtu.be
A PDF of the webinar slides is available here: http://www.interactivebrokers.com/webinars/WB-2468AsburyResearchUSInvestmentAnalysisAReviewQ12016.pdf
Contact us directly for more information about our new services for individual investors.
Click the link below to listen to John’s Kosar’s Thursday April 15th interview with Jim Puplava of the popular Financial Sense website.
John Kosar: We’re at the Top of a Trading Range – Market Vulnerable to a Pullback
Jim welcomes back John Kosar CMT, Chief Investment Strategist at Asbury Research LLC. John believes we are vulnerable to a pullback near term, as momentum is stretched and the market is up against overhead resistance. John is more, positive longer term, but advises adding tighter stops and not adding to positions at these levels. John also covers the oil, gold and fixed income markets as well.
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 NASDAQ Composite (COMP) Index met our 4950 upside target late in the session on Wednesday April 13th, which was first mentioned in our February 29th Keys To This Week report, to capture a 392 point, 9% advance in about 6 weeks.
Here is the current chart updated through April 13th.
Back on March 4th we pointed out that our $19.50 upside target in the SPDR S&P Metals and Mining ETF (XME), first mentioned in our February 29th Keys To This Week report (access requires subscription), was met to capture a 22% advance in 4 days.
More recently, in Monday’s (April 11th) Keys To This Week report (access requires subscription), we displayed and discussed our expectations for an additional 5% rise in XME to $22.50.
Here is the chart from that April 11th report.
Here is the updated version of the chart which shows that our $22.50 target was met this morning.
The following is a brief excerpt from Monday morning’s (April 11th) Keys To this Week report for the US stock market.
Keys To This Week, one of 9 different reports we produce during the month, displays and discusses 10 key market factors that are most likely to influence the direction of the US stock market over the next several weeks to several months.
Key #10 of 10 of this week’s report, with the accompanying chart, appears below.
Asbury Research’s Keys To This Week for the US Stock Market
Monday, April 11th 2016
Key #10 of 10: Seasonality in the S&P 500 (SPX).
NEAR TO INTERMEDIATE TERM NEGATIVE.
Chart 7 of last week’s report (access requires subscription) a quarterly chart, showed that that the 3rd week of April, which is the week of April 18th this year, is the strongest of the entire quarter, after which the index declines into the second to last week of June, the weakest of the quarter.
Chart 6 above, the daily version of last week’s chart, shows that the S&P 500 statistically peaks for the month on the 7th day of April, which is April 11th.
Editor’s Note: Seasonality data is a statistical composite of how the price of an asset typically moves during a specific period of time, based on historical data over a defined number of years. Although history may not always repeat, it usually rhymes — especially in certain asset prices like the US stock market, US interest rates and crude oil prices.