The table and chart below below display updated performance data through December 2015 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 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 15.0% CAGR (Compound Annual Growth Rate) with a volatility (standard deviation on a rolling 90 day basis) of 10.8%.  During the same period the S&P 500 has had a CAGR of 6.0% with volatility of 21.2%.  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 Sharp Ratio) over a rolling 90 day period is 1.43 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 3.72% with a volatility (standard deviation) of 10.83%, compared to SPX’s average rolling 90 day return of 2.01% with a volatility of 21.15%.

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: 2007-2015

Table 1

click on table to enlarge

Click Here for more charts and information pertaining to the Correction Protection Model.

Interested investors can learn more about our research services by completing an information request or by calling 1-888-960-0005.

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