The tables and chart below below display 2019 performance data for our Correction Protection Model (CPM).

CPM’s Purpose & Key Features:

  • A defensive, quantitatively-driven model that
  • has historically produced exceptional risk-adjusted performance by
  • protecting investors against market declines
  • without sacrificing long term performance.

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.

Back-Tested Returns (excluding dividends)

Back-tested results since January 2011 and running in real time since January 2018, the Correction Protection Model (CPM) has:

  • averaged 5.4 round turn signals per year.
  • only been in the market 65% of the time, significantly reducing market exposure.
  • a beta (a measure of volatility and systemic risk) of 0.379, compared to a beta of 1.0 for the S&P 500.  The lower the beta, the lower the level of risk.
  • outperformed the S&P 500 4 of the past 9 years (see Table 1 below).
  • on average since 2011, outperformed the S&P 500 by 11.30% or 1.26% per year.

    Table 1
  • produced an average return of 3.71% over a rolling 90 day period (see Table 2 below) versus 3.60% for the S&P 500.
  • had a maximum drawdown (rolling 90-day period, Table 2) of 9.51% versus 17.88% for the S&P 500.
  • had an implied volatility of 4.28%, versus 5.76% for the S&P 500.  The lower the implied volatility, the lower the expected risk.

    Table 2
  • managed to slightly outperform the S&P 500 for  most of the past 9 years by simply avoiding the drawdowns.
Chart 1

Click on tables and charts above to enlarge

Disclaimer: This data is provided for information purposes only. Past performance or back-tested results may not necessarily indicate future results. 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.

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