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CCM Portfolio Models
The CCM Growth Model
Objective: Provide long-term growth while reducing the probability of large portfolio drawdowns, especially in bear markets. The model seeks to outperform the S&P 500 during a complete market cycle, which includes a bull and bear market. During favorable periods, the growth model can allocate a larger percentage of the portfolio to higher beta assets (small caps, technology, emerging markets, etc.) relative to the moderate portfolio.
Total Return Backtested Performance vs. S&P 500 ETF SPY (2003-2015)
Net Results After All Fees & Transaction Costs
Reasonable Fees: The backtested performance figures shown above include all CCM fees and transaction costs. CCM's fees are calculated and deducted on a quarterly basis. Fees vary from quarter to quarter based on the portfolio's composition. The average annual fee in the period above (2003-2015) was 0.80%. More information on management fees.
CCM Growth Model vs. SPY Buy and Hold
Backtested Performance - Assumes $500K Initial Investment
The performance data shown includes backtested past performance, which is not a guarantee of future results. Investment returns and principal value will fluctuate. Therefore, investors' accounts may be worth more or less than their original deposit. Current performance may be lower or higher than the performance data cited. Hypothetical or simulated performance results have certain inherent limitations unlike actual performance record; simulated results do not represent actual trading.
Market Exposure: The market model allocates between more conservative assets, such as bonds, and more growth-oriented assets, such as foreign and domestic stocks. The most common ETFs selected by the model include, but are not limited to:
* = Under specific and well-defined conditions, the model can select to hedge or go short using SH (short S&P 500) or similar hedging/short ETFs.
Methodology Step One: Determine portfolio's allocation to more conservative assets and growth-oriented assets. The CCM Moderate Growth Model uses input from five proprietary sub-models providing a form of allocation redundancy. The final allocation is determined via a weighted average from the five distinct sources. This weighted average approach provides a more robust methodology, enabling the model to handle a much wider variety of market conditions. The weighted average approach also reduces the probability of curve fitting.
Methodology Step Two: Compare alternatives in each allocation category (conservative & growth-oriented) head-to-head using a proprietary trend-following methodology. For example, in the growth-oriented category, small caps are compared to all other options. The least attractive alternatives are eliminated allowing the model to focus on the strongest areas of the global markets.
Other Options: The CCM Aggressive Growth Model allows for greater exposure to higher beta assets, such as gold, small caps, and emerging markets. To reduce volatility the CCM Moderate Growth Model limits exposure to higher beta ETFs.
Model Inputs: The CCM Equity Step-In and CCM Equity Step-Out Models were created using historical data from the CCM Bull Market Sustainability Index (BMSI) and CCM 80-20 Correction Index (80-20). The CCM Market Risk Model (MRM) is also an integral piece of the CCM Moderate Growth Model.
Chris Ciovacco is the Chief Investment Officer for Ciovacco Capital Management, LLC. More on the web at www.ciovaccocapital.com