Making The Best Of A Tough 2020
Asbury Research’s Stock Market Update & Asbury Investment Management Video is a free report that we use to keep in contact with existing clients, and those who have previously asked for information about either Asbury Research or Asbury Investment Management (AIM). Feel free to contact us anytime for further information about our services for professional and private investors.
With less than 10 business days left in what has been a scary and crazy 2020, this will be our final Stock Market Update & Asbury Investment Management Video of the year. We use this free bi-weekly report to keep in contact with those who have previously expressed interest in either Asbury Research or Asbury Investment Management (AIM). We appreciate your interest in us, thank you for giving us the opportunity to show you what we do for our clients, and hope that is more than offset by the information that we provide here.
Being the last report of this kind for the year, this is a good time to take a look back at our quantitative models to see how they have performed in what — to say the least — has been a most treacherous year for investors.
Through Friday, our Correction Protection Model (CPM) is +29.6% for 2020 year-to-date (YTD), doubling the S&P 500’s (SPX) YTD performance of +14.8%. CPM has had an exceptional year because it had a real correction to protect against and, as the chart below shows, was on a Risk Off status as of February 24th before moving back to Risk On on April 9th, avoiding a huge 436 collapse in SPX and then reinvesting at much cheaper levels.
This year’s flashy performance aside, though, in our view the best thing about CPM — and what it was actually designed for — is its ability to limit downside risk while also reducing volatility in investor accounts. This can be seen in a number of quantitative metrics:
- CPM’s historical beta (a measure of volatility and systemic risk) is 0.31. The S&P 500 has a beta of 1.0. The lower the number, the lower the level of risk.
- Historically, CPM has only been “in the market (Risk On) 65% of the time, significantly reducing market exposure.
- CPM’s historic Sharpe Ratio is 2.48. The S&P 500’s 10-year Sharpe Ratio is 0.84. The Sharpe Ratio is used to help investors understand the return of an investment compared to its risk (risk-adjusted returns). The higher the Sharpe Ratio, the better the risk-adjusted return.
- CPM’s maximum drawdown over a rolling 90-day period has been 9.51% versus 27.64% for the S&P 500.
More information about CPM is available by Clicking Here.
Wishing you and yours a safe, Happy Holiday and a healthy and much more enjoyable 2021!
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This communication is for informational purposes only. It is not intended as investment advice, or as an offer or solicitation for the purchase or sale of any financial asset. 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 carefully consider whether such trading is suitable for you in light of your financial condition.