Research Excerpts

Asbury’s 2012 Performance Data
for US Stock Market Sectors

Posted on: Tuesday, December 18th, 2012

We break down our market performance, which is taken directly from the trading and investment strategies published in Asbury Research reports, into 3 categories:

  1. the broad areas of the US financial landscape: the US stock market, US interest rates, and the US Dollar,
  2. US market sectors (relative outperformance or underperformance versus the S&P 500), and
  3. long/short ideas in individual assets.

With about 2 weeks left in the year, we are posting our 2012 market calls for US stock market sectors (see table below), which are based on two criteria: 1) relative momentum versus the S&P 500, and 2) investor asset flow between the individual sectors of the S&P 500.  We use our own metrics to determine both of these, and utilize the Select Sector SPDR ETFs to measure our performance.

The pie chart below pertains to the investor asset flow component of our methodology.  It shows the historic daily average percentage of sector bet-related assets, as represented by the Rydex Sector Funds, that have been invested in each sector of the S&P 500, as represented by the iShares Select Sector SPDR ETFs.

We compare this historic chart with a companion chart (not shown) that shows the current breakdown of sector-related asset flows, to determine which sectors are historically either over- or under-invested versus the benchmark S&P 500.  Our work shows that historically under- or over-invested sectors, per our metric, typically lead one to several quarter periods of relative sector outperformance or underperformance as these assets eventually migrate back to their historical norms.

The following table lists each sector call that we have made, via our published research, that was closed out during 2012.  The rightmost two columns list: 1) the actual relative performance of that particular sector versus the S&P 500 between the Entry Date and Exit Date (closing prices), and 2) Asbury Research’s own hypothetical performance * based on that market call.

* These performance data are based on specific market calls taken directly from Asbury Research reports that were closed out during 2012, a limited number of which were initiated during 2011. The “Asbury Performance” column in the table refers to returns relative to the S&P 500, via either outperformance or underperformance. We acknowledge that hypothetical performance results have many inherent limitations. No representation is being made that subscribers will achieve results similar to those shown. All market calls that appear in Asbury Research reports are based on “at the close” entries and exits, hours after these reports were issued to subscribers.

We made a total of 22 calls thus far in 2012:  13 were profitable, 5 were unprofitable, and 4 were closed out for no gain or loss.

The average profitable idea produced +5.2% of relative performance versus the S&P 500, while the average unprofitable idea resulted in -3.5% of relative performance versus the broad market index.

Three sector calls (available to Asbury Research subscribers only) are still open and will be posted to the Performance page of our website once they have been closed out.

Interested professional investors can request further information about our research, including services and pricing, by clicking here and completing the on-line form or by calling us at 1-888-960-0005.