Conditional Price Movement

We provide asset allocation research to professional investors, including:

• Forecasts of investor sentiment (e.g., risk-on/risk-off, optimism/pessimism, euphoria/panic) for the US equity market.
• Resilience ratings for 100+ markets encompassing stock, bond, commodity, and currency indices plus cross-asset pairs. 
• Multi-asset sleeves (model portfolios) targeting loss avoidance.  

Our two proprietary sentiment indicators support these products. Our indicators forecast sentiment cycles related to investor emotion rather than cycles related to economic developments (e.g., business cycle, credit cycle). 

Two Indicators 

• Market Resilience Index (MRI) series - Our Market Resilience Index® series was developed in 2008 and indicates the ability of a market to recover quickly from negative news and events. It is based on a proprietary measure of return acceleration, which we believe is a good indicator of collective investor optimism. We can forecast market resilience approximately three weeks into the future and use the MRI in our asset allocation algorithms. The algorithms favor a market when its condition is resilient and avoid it when its condition is vulnerable. They have produced a strong 12-year real-time track record for avoiding losses in the DJIA. We generate MRI for major stock, bond, commodity, and currency indices.  We describe the MRI in greater detail here. 

• Risk Tolerance Driver (RTD) series - Our Risk Tolerance Driver series was launched in 2023 and tracks physics-based factors associated with alternating periods of investor optimism and pessimism. Our RTD are described in this recent Institutional Investor magazine article.  The RTD are currently calibrated to the Dow Jones Industrial Average as a proxy for the US stock market (Why DJIA?). We can reliably forecast the RTD eight-plus weeks into the future. We provide additional information here. 

The RTD series tells us when investors are likely to put a positive or negative spin on future news and events. The MRI tell us when they have done so and to what degree. During times of market stress, the RTD and MRI move together more closely.  We describe how they work together here.

Investment managers using fundamental, macroeconomic, technical, and other methods can improve their implementation strategies using our indicators and sentiment forecasts. Any insights an investment manager has about future events and market conditions can be enhanced by more accurate timing of implementation.  See this page for use cases. 

Our focus to date has been on developing the RTD related to the investors in the US stock market, as measured by the DJIA (Why DJIA?). 

We create MRI for a wide range of stock, bond, commodity, and currency indexes. We use them along with price trend and return reversal metrics to create multi-asset ETF sleeves that rotate assets among ETFs representing different asset classes.      

Range of Products to be Offered

CPM plans to provide professional investment managers with the products profiled in the table below. 

• Sentiment Forecast (US Equity Market). 
  • Launch: August 2023
  • Free trial available
• Multi-Asset Sleeves. Launch: Fall 2023
• MRI Ratings. Launch: Fall 2023