Performance / Market Calls


All of the market calls / investment ideas listed in this section are taken directly from our published research reports.

updated on 01-18-2018

In addition to our top-down, macro analysis of the US financial landscape, we also provide subscribers with specific trading ideas in individual stocks and ETFs that include entry price, target price, stop loss level, and corresponding risk/reward parameters.

We began providing these trading ideas to subscribers in August 2016.  The table below details their collective performance from then through December 2017.

Highlights:

  • Our ideas were profitable 57% of the time.
  • The average percent gain per profitable trade was 8.7%.
  • The average initial risk on any one idea was less than 5%.
  • The average percent gain on profitable ideas (8.7%) was 2.5 times larger than the average percent loss (3.5%) on unprofitable ideas.
  • on average, each of the 87 ideas listed above outperformed the S&P 500 by 1.8%.

Our model utilizes several quantitative and technical inputs to screen the entire S&P 500, plus about 100 ETFs that track US sectors and industry groups, foreign stock indexes, and economically influential commodities like copper, crude oil and gold, for special opportunities when the initial risk is very low (less than 5%) and the risk to reward ratio is at least 1 to 3 (risking $1.00 to make $3.00).

This methodology is designed to produce:

  1. a high percentage of winning trades,
  2. significantly larger winning trades than losing trades, and
  3. very small drawdowns, all as shown by the small black and yellow table above.

Investing in financial assets is a risky endeavor and past performance does not guarantee future results.

US Stock Market

The Correction Protection Model (CPM)

Introduction

In 2013 we introduced our Correction Protection Model (CPM) to Asbury Research subscribers, which we had back-tested to 2007.  That model did an outstanding job of essentially avoiding the entire 2008 Financial Crisis, and subsequently performed well in real time by simply staying invested during market advances and moving to cash during market declines.

However, the character of the market has changed over the past several years (as it typically does over time) due to a number of factors including quantitative easing, a more accommodative central bank policy, and the fact that 70% of daily stock market volume is now attributable to algorithmic trading.  In our view, these factors have resulted in more sustained market advances, smaller, quicker market declines, and more choppy and erratic day-to-day price movement.

Although our original 2013 CPM entries have continued to perform very well in the current environment, the exits have become less effective.  Because of this, in early 2019 we began working on updating and improving CPM.

This newly updated version of CPM, which has been back-tested to 2011, has the exact same purpose of the original version.  It is a defensive model with the primary objective of protecting investor assets during adverse market conditions, but otherwise remaining invested to take advantage of the market’s historical propensity to move higher over time.

Here are the details.

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 market risk as measured by actual time invested and by volatility of returns.

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 3 quantitative inputs.
  • CPM uses the S&P 500 as a proxy for the market.

Performance Highlights.  Since 2011:

  • CPM has averaged 5.6 round turn signals per year.
  • CPM has only been in the market 64% of the time, significantly reducing risk.
  • Table 1 below shows that CPM has outperformed the S&P 500 4 of the past 8 years.

    Table 1

  • Table 2 below shows CPM’s maximum drawdown (over a rolling 90-day period) has been 9.5% versus 17.9% for the S&P 500, which is 47% less.
  • Table 2 also shows CPM’s implied volatility has been 4.45% versus 5.91% for the S&P 500, which means CPM has been 25% less risky.

    Table 2

  • The chart below plots the daily performance in index points for both CPM and SPX from January 2011 through May 2019, showing that CPM has outperformed SPX by 273 index points or 9.9% during this period.


Click on tables and charts above to enlarge

The Bottom Line

Since 2011, CPM has:

  • outperformed the S&P 500 (SPX),
  • reduced the time invested in the market by 36%,
  • reduced the maximum drawdown in SPX by 47%, and
  • reduced the volatility of market returns (implied volatility) by 25%.

Simply stated, CPM provides Asbury Research subscribers with a methodology to participate in US stock market advances while significantly reducing market exposure and market risk during stock market declines.

Disclaimer

All investment models have inherent limitations in that they look back over previous data but can’t see into the future.  Past performance does not guarantee future results.  These limitations aside, however, our model argues against the buy and hold “strategy”, and the assertion by its proponents that “you can’t time the market” or “you can’t beat the market”.

Attempting to get out of the way of an emerging market decline comes with the inherent risk of potentially missing out on some performance — especially considering the current “buy the dip” mentality engendered by a decade of accommodative central bank policy.  However, our model’s performance since 2011 is a testament to intelligent quantitative risk management, showing that a conservative, systematic, and repeatable process of active management can, over time, significantly outperform passive buy and hold.

This is provided for information purposes only and is not intended to be a solicitation to buy or sell securities.  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.