The table and chart below below display updated performance data through June 2016 for our Correction Protection Model (CPM).
Purpose & Key Features:
- Defensive, quantitatively-driven model that
- protects investors against market declines
- without sacrificing long term performance under a variety of market conditions
- while greatly reducing volatility of returns.
Back-Tested Returns (excluding dividends)
Back-tested since the start of 2007 and running in real time since September 2013, the Correction Protection Model (CPM) has had a 13.8% CAGR (Compound Annual Growth Rate) with a volatility (standard deviation on a rolling 90 day basis) of 10.71%. During the same period the S&P 500 has had a CAGR of 6.1% with volatility of 20.72%.
This means CPM is producing a significantly better return than SPX with half the volatility.
Further, Table 1 below shows the Reward/Risk Ratio (CAGR/volatility; a modified Sharpe Ratio) over a rolling 90 day period is 1.29 for CPM versus 0.29 for SPX. The table also indicates that the average return of CPM on a rolling 90 day basis since 2007 has been 3.55% compared to 1.97% for SPX.
The model’s performance is directly attributable to its ability to limit downside risk as can be seen in CPM’s maximum drawdown of -9.81% on a rolling 90 day basis versus a maximum drawdown of -39.93% for SPX.
Correction Protection Model (CPM) statistical performance vs. S&P 500: 2007-Q1 2016
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CPM Outperforms The S&P 500
Chart 1 below shows that $100 invested in CPM at the beginning of 2007 was worth $234 by the end of Q2 2016. $100 invested in SPX was worth $147 during the same period.
click on table to enlarge
Interested investors can learn more about our research services, including the Correction Protection Model, by completing an information request or by calling 1-888-960-0005.
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.