The Correction Protection Model (CPM):
Outperformed S&P 500 By 13.6% in 2022
The Correction Protection Model is our proprietary defensive model for the S&P 500. CPM’s primary objective is to protect investor assets during stock market corrections but to otherwise remain invested, taking advantage of equity prices’ historical propensity to move higher over time. CPM is objective, data-driven, and independent of the day-to-day price fluctuations in the major US stock indexes. CPM was designed for older and more risk-averse investors to participate in the stock market while still protecting what they have spent a lifetime building.
The CPM Model answers the question, “When should I be invested?”
CPM Model Performance Highlights:
On average since 2011, CPM has underperformed the S&P 500 by 2% per year but with:
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37% less risk than the S&P 500 according to standard deviation.
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less than half the maximum drawdown of the S&P 500.
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a beta of 0.44 versus 1.00 for the S&P 500.
The CPM Model vs. the S&P 500: 2011-2022
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The SEAF (Sector ETF Asset Flows) Model:
Outperformed S&P 500 By 12.0% in 2022
The flow of money is one of the only metrics we know of that actually leads price movement. The SEAF Model “follows the money” to determine where investor assets are going, and where they are coming from, in US stock market sectors. Our model tracks the total net assets invested in 11 Sector ETFs, in 3 different time frames, to determine the best opportunities to capture outright and relative performance in the sector space.
The SEAF Model answers the question, “Where should I be invested?”
SEAF Model Performance Highlights:
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- SEAF has double the total return (see chart below) and almost double the annualized total return of the S&P 500
- with a lower maximum drawdown.
- SEAF has a significantly higher alpha (excess return) and a slightly lower beta (systematic risk) than the S&P 500.
- SEAF has both a higher up capture ratio (gains in up markets) and lower down capture ratio (losses in down markets) than the S&P 500.
- SEAF has double the total return (see chart below) and almost double the annualized total return of the S&P 500
The SEAF Model vs. the S&P 500 over the past 10 Quarters
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Disclosure: All investment models have inherent limitations in that they look back over previous data but can’t see into the future. Hypothetical past performance does not guarantee future results. Attempting to avoid a market decline by moving to cash comes with the inherent risk of potentially missing out on upside performance. However, we believe our model’s hypothetical performance data 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 investing. Asbury Research’s models and investment research are used to inform our subscribers and clients but do not imply an actual investment portfolio.
Disclaimer: The information above is provided for information purposes only and is not intended to be a solicitation to buy or sell securities. Past performance as indicated from historical back-testing 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, and different types of investment vehicles, including ETFs, involve varying degrees of risk. Therefore, you should carefully consider whether such trading is suitable for you in light of your financial condition.