The chart below shows updated performance through January 2015 for the Asbury Research trend model for the S&P 500, which we now call the “Correction Protection Model” (CPM) because it’s purpose is to simply stay invested in the stock market as much as possible while avoiding significant declines.
We back-tested the model from 2007 forward because this period includes both uptrends, downtrends, and sideways trends. It has been been running in real-time since September 2013. The graph below details how the model has fared during this 8 year period, both outright and relative to the S&P 500, through January 2015.
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.
US Stock Market Trend Model: “Correction Protection Model” (CPM)
Key Features & Objectives
- The model utilizes 3 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 constructed with the objectives of: 1) being in the market as much as possible, 3) exiting on meaningful declines, and 4) quickly re-entering as soon as a positive trend has been reestablished.
- Since 2007, the model has averaged 3.9 signals per year or approximately 1 per quarter.