The table below includes newly-updated, more comprehensive performance data through December 2014 for our “Correction Protection Model” (CPM).
We back-tested the model from 2007 forward during a period that includes uptrends, downtrends, and sideways trends. It has been running in real-time since September 2013.
- Protects investors against market declines
- without sacrificing performance under a variety of market conditions
- while reducing volatility of returns.
Asbury Research’s Correction Protection Model (CPM)
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- The model utilizes 4 quantitative inputs.
- The model uses the S&P 500 as a proxy for the market.
- The model is either long or neutral: no short positions, leveraged longs, or hedging via derivatives.
- The model was designed to: 1) be in the market as much as possible, 3) exit on meaningful declines, and 4) quickly re-enter as soon as a positive trend has been reestablished.
- Since 2007, the model has been in the market 74% of the time
- Since 2007, the model has averaged 3.9 signals per year or approximately 1 per quarter.