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Correction Protection Model: Performance Update

Posted on: Tuesday, February 24th, 2015

The table below includes newly-updated, more comprehensive performance data through December 2014 for our “Correction Protection Model” (CPM).

We back-tested the model from 2007 forward during a period that includes uptrends, downtrends, and sideways trends.  It has been running in real-time since September 2013.

Key Features:

  • Protects investors against market declines
  • without sacrificing performance under a variety of market conditions
  • while reducing volatility of returns.

Asbury Research’s Correction Protection Model (CPM)

Asbury Research's Correction Protection Model

click on table to enlarge

About CPM:

  • The model utilizes 4 quantitative inputs.
  • The model uses the S&P 500 as a proxy for the market.
  • The model is either long or neutral: no short positions, leveraged longs, or hedging via derivatives.
  • The model was designed to: 1) be in the market as much as possible, 3) exit on meaningful declines, and 4) quickly re-enter as soon as a positive trend has been reestablished.
  • Since 2007, the model has been in the market 74% of the time
  • Since 2007, the model has averaged 3.9 signals per year or approximately 1 per quarter.

Click Here for more charts and information pertaining to the Correction Protection Model.