The tables and chart below display performance data for our Correction Protection Model (CPM) from 2011 through December 2020.
CPM’s Purpose & Key Features:
- Protects investors against significant market declines
- without sacrificing long term performance under a variety of market conditions,
- all while greatly reducing overall market risk.
More About CPM
- CPM is binary. It is either Risk On (invested in the market) or Risk Off (out of the market). There are no short positions, leveraged longs, or hedging via derivatives.
- CPM was designed to protect investor assets during adverse market conditions while taking advantage of the market’s historical propensity to move higher over time.
- CPM utilizes our own proprietary quantitative inputs.
- CPM uses the S&P 500 as a proxy for the market.
2020 Final Performance:
S&P 500 (SPX): +16.3%
Correction Protection Model (CPM): +31.2%
CPM Relative Outperformance: +14.9%
- CPM has averaged 5 round turn signals per year.
- CPM has only been “in the market” 66% of the time, significantly reducing market exposure.
- CPM’s beta (a measure of volatility and systemic risk) is 0.33. The S&P 500 has a beta of 1.0. The lower the number, the lower the level of risk.
- CPM’s Sharpe Ratio since 2011 is 2.69. The S&P 500’s 10-year Sharpe Ratio is 1.00. The Sharpe Ratio is used to help investors understand the return of an investment compared to its risk. The higher the Sharpe Ratio, the better the risk-adjusted return.
- Table 1 shows that CPM has outperformed the S&P 500 in 5 of the past 10 years. On average during this period, CPM has outperformed the S&P 500 by 2.62% per year.
Click on table to enlarge
- Table 2 shows that CPM’s average return over a rolling 90 day period has been 3.72% versus 3.61% for the S&P 500.
- Table 2 shows CPM’s maximum drawdown over a rolling 90-day period has been 9.51% versus 17.88% for the S&P 500.
- Table 2 also shows CPM’s standard deviation over a rolling 90-day period has been 4.29% versus 5.76% for the S&P 500, which means CPM’s returns have been significantly less volatile than the US broad market index.
Click on table to enlarge
- Chart 1 plots the daily performance in index points for both CPM and SPX from January 2011 through June 2020, showing that CPM has outperformed SPX by 659 index points or 18% during this period.
Click on chart to enlarge
Disclaimer: 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.
Attempting to get out of the way of an emerging market decline comes with the inherent risk of potentially missing out on some performance — especially considering the current “buy the dip” mentality engendered by a decade of accommodative central bank policy. However, our model’s performance since 2011 is a testament to intelligent quantitative risk management, showing that a conservative, systematic, and repeatable process of active management can, over time, significantly outperform passive buy and hold investing.
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