The SEAF Model: Outperforms During A Weak Quarter
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. This 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.
John Kosar discussed and explained the SEAF Model in his February 16th, 2022 interview with Investors Business Daily (IBD). Click the graphic below to view it.
The next two tables below display performance data for the SEAF Model through March 2022. Each performance category is compared to the benchmark S&P 500 (SPX). The more significant comparisons are highlighted in green.
The first table below displays the quarter-by-quarter relative performance of the SEAF Model vs. the S&P 500, showing that SEAF has outperformed the S&P 500 in six of seven quarters (86%) tested.
The bottom part of the table highlights SEAF’s relative outperformance during 2021 and since Q3 2020.
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The next table below compares quantitative performance vs. the S&P 500, showing that the SEAF Model:
- Has a significantly higher total return (see chart below) and annualized total return
- with a lower maximum drawdown.
- Has a significantly higher alpha (excess return) and a lower beta (systematic risk).
- Has both a higher up capture ratio (gains in up markets) and significantly lower down capture ratio (losses in down markets).
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The chart below plots the daily performance of the SEAF Model vs. the S&P 500, in terms of percentage return, since May 2020.
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How To Read & Interpret The SEAF Model
- The leftmost column, Sector (Symbol), lists the 11 sectors of the S&P 500 as represented by the Select Sector SPDR ETFs.
- The next column, As Of (Date), indicates what percentage of the total assets invested in all 11 sectors each individual sector comprises through the closing date shown.
- The next three columns show the percentage of the total assets invested in each of these sectors one week ago (the Trading time frame), one month ago (the Tactical time frame), and three months ago (the Strategic time frame.)
- Then, for the two sectors with the biggest percentage increase in inflows (green highlights) and biggest percentage outflows (red highlights) in each of the three time periods, we replace the percentage value with the actual date that trend of “being in the top two” began to provide some historical context to those sectors showing a significant trend of inflows or outflows.
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Disclosure/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.