Summary

Through 3rd Quarter 2022 (through 09-30-2022), the Sector ETF Asset Flows (SEAF) Model is -19.53% year-to-date versus -26.68% for the S&P 500 (SPX), resulting in +7.2% of relative outperformance by SEAF. 

Bigger picture, SEAF has outperformed the S&P 500 in 7 of the past 9 quarters, is currently outperforming by 7.2% year-to-date, and has outperformed by 31.5% since Q3 2020 — all during a period that has included major uptrends and major downtrends.  Moreover, since Q3 2020 the SEAF Model has outperformed the S&P 500 with 56% less risk according to Beta, with 5% less risk according to Standard Deviation, and with a 56% smaller Maximum Drawdown during that period.  

About SEAF

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 the 11 Sector SPDR ETFs, in 3 different time frames, to determine the best opportunities to capture outright and relative performance in the sector space. This model is updated weekly, over the weekend when the markets are closed, through the closing date shown on the table.

The SEAF Model

Performance Data

The next two tables below display performance data for the SEAF Model through September 2022. The starting date is May 2020 because we had to allow for the data from the Communication Services Select Sector SPDR Fund (XLC, the newest addition to the Select Sector SPDR ETFs) to normalize to the rest of the data.  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 seven of the past nine quarters (78%) tested.

The bottom part of the table shows that SEAF has outperformed the S&P 500 by 7.2% for the first three quarters of 2022, and has outperformed the S&P 500 by 31.5% since Q3 2020.

 

 

 

 

 

 

 

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The next table below compares quantitative performance vs. the S&P 500, showing that the SEAF Model:

 

 

 

 

 

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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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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.