The tables and chart below display performance data for our Correction Protection Model (CPM) from 2011 through the 1st Half of 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 is not a returns-driven model. It 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.
Performance Highlights since 2011:
- CPM has averaged 5.4 round turn signals per year.
- CPM has only been “in the market” 65% of the time, significantly reducing market exposure.
- CPM’s beta (a measure of volatility and systemic risk) is 0.31. 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 2.48. The S&P 500’s 10-year Sharpe Ratio is 0.84. 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 4 of the past 9 years. On average during this period, CPM has outperformed the S&P 500 by 1.26% per year.
- Table 2 shows that CPM’s average return over a rolling 90 day period has been 3.93% versus 3.22% for the S&P 500.
- Table 2 also shows CPM’s maximum drawdown over a rolling 90-day period has been 9.51% versus 27.64% for the S&P 500.
- Table 2 also shows CPM’s standard deviation over a rolling 90-day period has been 4.33% versus 6.41% for the S&P 500, which means CPM’s returns have been significantly less volatile than the US broad market index.
- 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 627 index points or 20.2% during this period.
- From January through June 2020, CPM has outperformed the S&P 500 by 493 index points or 11.7%
Click on tables and charts above 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.