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